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

標題:The Role of New Taiwan Dollar In the Late Stage of Twenty Century: Cointegration Test for the International Finance
學年101
學期1
出版(發表)日期2013/01/01
作品名稱The Role of New Taiwan Dollar In the Late Stage of Twenty Century: Cointegration Test for the International Finance
作品名稱(其他語言)
著者Nieh, Chien-Chung; Cheng, Kuang-Cheng; Ou, Hong-Kou
單位淡江大學財務金融學系
出版者Beverly Hills: West World Productions, Inc.
著錄名稱、卷期、頁數Storage Management Solution 2013(5), pp.197-210
摘要Exploiting the idea of Enders and Hurn (1994), this study estimates the theory of G-PPP, investigating the long-run equilibrium relationship among bilateral real rates of New Taiwan dollar and other currencies under consideration. This study improves upon previous cointegration work by implementing multivariate maximum likelihood with consideration of Johansen (1988, 1990, & 1994) five VAR models. Moreover, applying the critical value of test statistics by Osterwald-Lenum (1992) enables us to consider the system up to eleven variables which overcomes the limitation of only up to five variables as Sarno (1997) faced. The results show that all three multi-country settings are found to constitute “optimal currency area” from this empirical work. Especially for the Asian four little dragons, they are highly integrated with three cointegrating vectors (almost full rank), but in the presence of no linear trend and quadratic trend. The finding of testing on the Pacific Rim nations is consistent with Enders and Hurn (1994) that the currencies of all the nations within the Pacific basin are mutually influenced. The result also advocates that there exists a long-run equilibrium relationship among NT$ together with the currencies of seven large industrialized countries.
關鍵字NT dollar; Generalized-Purchasing Power Parity (G-PPP); Optimal currency area; Cointegration; Linear and Quadratic trend
語言英文(美國)
ISSN2223-0491
期刊性質國外
收錄於EI
產學合作
通訊作者
審稿制度
國別美國
公開徵稿
出版型式紙本
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