Regime-switching analysis for the impacts of exchange rate volatility on corporate values: a Taiwanese case

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/72548

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题名:	Regime-switching analysis for the impacts of exchange rate volatility on corporate values: a Taiwanese case
作者:	Nieh, Chien-chung;Lin, Jeng-bau
贡献者:	淡江大學財務金融學系
关键词:	Exchange rate uncertainty;Corporate values;GARCH;Markov switching model
日期:	2008-02
上传时间:	2013-05-31 10:49:13 (UTC+8)
出版者:	Abingdon: Routledge
摘要:	A second-moment, regime-switching model with not only a switching intercept and a switching slope, but also a switching error variance, is applied to examine the impacts of exchange rate volatility (ERV) on corporate values (CV) for the 10 industries investigated in Taiwan. Two different regimes categorized as strong-impact and weak-impact are identified. The dominant power varies from one industry to another. The Wald statistics for the null of equality are ambiguous, which show that if the Markov-switching (MS) model is plausible, then the ERV might not be one major factor, but another factor that could switch the CV of Taiwan's industries. For the model's volatility influence, the data of 8 out of 10 industries are shown to fit a two-state model when the volatility is stimulated. A two-state, first-order MS model is appropriate for the ‘goodness of fit’ analysis at the 10% significant level.
關聯:	Applied Economics 40(4), pp.491-504
DOI:	10.1080/00036840600690066
显示于类别:	[財務金融學系暨研究所] 期刊論文

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