教師資料查詢 | 類別: 會議論文 | 教師: 聶建中 NIEH, CHIEN-CHUNG (瀏覽個人網頁)

標題:Bounds Testing Approach to the Exchange Rate Overshooting in Taiwan
學年92
學期2
發表日期2004/06/24
作品名稱Bounds Testing Approach to the Exchange Rate Overshooting in Taiwan
作品名稱(其他語言)
著者Wang, Yu-Shan; Nieh, Chien-Chung
作品所屬單位淡江大學財務金融學系
出版者臺北縣淡水鎮淡江大學管理學院會計學系
會議名稱2004年兩岸會計與管理學術研討會
會議地點安徽省蚌埠市; 湖北省武漢市, 中國
摘要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.
關鍵字ARDL;bound test;overshooting;exchange rate
語言英文
收錄於
會議性質兩岸
校內研討會地點
研討會時間20040624~20040628
通訊作者
國別中國
公開徵稿Y
出版型式
出處2004年兩岸會計與管理學術研討會論文集(下)頁360-376
相關連結
Google+ 推薦功能,讓全世界都能看到您的推薦!