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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/88990


    Title: Bounds Testing Approach to the Exchange Rate Overshooting in Taiwan
    Authors: Wang, Yu-Shan;Nieh, Chien-Chung
    Contributors: 淡江大學財務金融學系
    Keywords: ARDL;bound test;overshooting;exchange rate
    Date: 2004-06-24
    Issue Date: 2013-05-01 19:43:21 (UTC+8)
    Publisher: 臺北縣淡水鎮:淡江大學管理學院會計學系
    Abstract: We employ the newly developed ARDL-ECM-MAIC bounds test (Pesaran, Shin and Smith. 2001) testing for the exchange rate overshooting phenomenon in Taiwan over 1986:01-2003:04. The ARDL approach is appropriate to test for the dynamic modeling irrespective of whether the variables are I (0) or I (1). We find the evidence that there do not exist a short-run overshooting phenomenon, which implies that no abnormal fluctuation of exchange rate in the presence of speculative bubble occurs during the sample period considered in Taiwan. The empirical fmding also provides the evidence for no existence of a long-run relationship between exchange rate and macroeconomic variables (money supply, industrial production, interest rate, and inflation rate), which objects the Dornbusch's (1976) stick price model of monetary approach to exchange rate determination.
    Relation: 2004年兩岸會計與管理學術研討會論文集(下),頁360-376
    Appears in Collections:[財務金融學系暨研究所] 會議論文

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