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:Regime-Switching Analysis for the Impacts of the Exchange Rate Uncertainty on the Taiwan's Corporate Values
學年90
學期2
發表日期2002/05/24
作品名稱Regime-Switching Analysis for the Impacts of the Exchange Rate Uncertainty on the Taiwan's Corporate Values
作品名稱(其他語言)
著者Nieh, Chien-Chung
作品所屬單位淡江大學財務金融學系
出版者
會議名稱2002年國立台灣大學財務金融國際研討會=2002 NTU International Conference on Finance
會議地點臺北市, 臺灣
摘要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.
關鍵字公司價值;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
語言英文
收錄於
會議性質國際
校內研討會地點
研討會時間20020524~20020525
通訊作者
國別中華民國
公開徵稿Y
出版型式紙本
出處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 Finance25頁
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