淡江大學機構典藏:Item 987654321/95258
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/95258


    Title: Regime-Switching Analysis for the Impacts of the Exchange Rate Uncertainty on the Taiwan's Corporate Values
    Authors: Nieh, Chien-Chung
    Contributors: 淡江大學財務金融學系
    Keywords: 公司價值;GARCH模式;馬可夫轉換模型;匯率;不確定性;台灣;Corporate Value;Garch Model;Markov Switching Model;Exchange Rate;Uncertainty;Taiwan
    Date: 2002-05
    Issue Date: 2014-02-11 23:59:53 (UTC+8)
    Abstract: A second-moment regime-switching regression, which considers not only a switching intercept and a switching slope, but a switching error variance is applied to investigate the impacts of the exchange rate uncertainty (ERU) on the corporate values (CVs) for the industries concerned in Taiwan. Two different regimes of a strong-impact and a weak-impact are identified. However, the dominant power varies from industry to industry. The Wald statistics for the null of equality are mixed, which shows that if the Markov-switching (MS) model is appropriate, the ERU might not be the major factor but other factors, which could switch the CVs of Taiwan's industries. Nonetheless, for the model's volatility influence, the data of eight industries are shown to fit a two-state model when the volatility is stimulated. Finally, based on the 10% significant level, a two-state first-order MS model is appropriate for the "goodness of fit" analysis.
    Relation: 2002年國立台灣大學財務金融國際研討會論文集=Proceedings of 2002 NTU International Conference on Finance，25頁
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Proceeding

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