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    Title: The Effect of the Asian Financial Crisis on Exchange Rate Volatility, Export, Import and Productivity among Asian Countries
    Authors: Nieh, Chien-Chung
    Contributors: 淡江大學財務金融學系
    Keywords: 匯率波動;衝擊反應函數;亞洲;金融危機;生產力;進口;出口;共整合檢定;Exchange Rate Volatility;Impulse Response Function;Asia;Financial Crisis;Productivity;Import;Export;Cointegration Test
    Date: 2000-03
    Issue Date: 2014-02-11 23:57:12 (UTC+8)
    Abstract: This study investigates the Asian financial crisis effect for Taiwan, Korea, Malaysia, and Indonesia. Cointegration test shows no change for the long-run equilibrium relationship among these variables through crisis. Granger causality finds that some exogeneity orderings alter from pre- to post-crisis period for countries considered. Impulse response functions (IRs) for pre-crisis period demonstrate an important role of productivity, then export. For post-crisis period, oscillatory paths around zero of the IRs imply an ambiguous finding for the direction of effect and relative exogeneity among variables studied. Finally, the variance decompositions in export for Taiwan, Korea and Malaysia, and in productivity for Malaysia and Indonesia did not change from pre-crisis to post -crisis era. Most of the rest forecast error variances in variables were decomposed into their own innovation more proportional in pre-crisis period than in post-crisis period, which is supported by Vector error correction model that all variables were strongly affected by their own past information.
    Relation: 二000年亞太金融市場研討會會議論文集=Proceedings of the 2000 Conference on Asia-Pacific Financial Markets and Economies,頁161-185
    Appears in Collections:[財務金融學系暨研究所] 會議論文

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