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序號 學年期 教師動態
1 103/2 財金系 葉佳燕 助理教授 期刊論文 發佈 Relationship of Threshold Effect among Gold, Oil, and Exchange Rate , [103-2] :Relationship of Threshold Effect among Gold, Oil, and Exchange Rate期刊論文Relationship of Threshold Effect among Gold, Oil, and Exchange RateChien-Chung Nieh; Chia-Yen YehGold;Oil;Exchange rate;Threshold effects;STARThe Empirical Economics Letters 14(5)We employ smooth transition autoregressive (STAR) model to investigate the nonlinear dynamic behavior of gold price, oil price, and the dollar/euro. Results indicate that these variables exist in a nonlinear relationship. We consider the change rate of the dollar/euro as the threshold value that represents the dynamic LSTAR-type process, whereas the oil price as the threshold value represents the smooth symmetric ESTAR-type process. The results present the greater threshold effect that exists between the gold price and the change rate of the dollar/euro.en1681 8997國外否TWN
2 106/1 財金系 李沃牆 教授 期刊論文 發佈 An Analysis on the Correlation between RMB Exchange Rate Fluctuation and East Asian Exchange Rate Fluctuations” , [106-1] :An Analysis on the Correlation between RMB Exchange Rate Fluctuation and East Asian Exchange Rate Fluctuations”期刊論文An Analysis on the Correlation between RMB Exchange Rate Fluctuation and East Asian Exchange Rate Fluctuations”李沃牆; 余世昌Asian Economic and Social Society 7(11), p.1045-1054Before 2005 July 21st, RMB exchange rate was pegged to US Dollar and adopted a fixed exchange rate. The correlation between RMB exchange rate and exchange rates of other East Asian economies was not significant. Empirical findings indicated that since Mainland China changed its exchange rate regime to a basket of currencies on July 22nd, 2005, in addition to the insignificant correlation between RMB exchange rate and exchange rates of Hong Kong, Malaysia, Thailand, and Indonesia duration the certain period, the correlation between exchange rate fluctuations of RMB and other East Asian economies is significantly related. This shows that the exchange rate regime of East Asian economies is mostly pegged to a
3 103/2 財金系 聶建中 教授 期刊論文 發佈 Relationship of Threshold Effect among Gold, Oil, and Exchange Rate , [103-2] :Relationship of Threshold Effect among Gold, Oil, and Exchange Rate期刊論文Relationship of Threshold Effect among Gold, Oil, and Exchange RateNieh, Chien-Chung; Yeh, Chia-YenThe Empirical Economics Letters 14(5)We employ smooth transition autoregressive (STAR) model to investigate the nonlinear dynamic behavior of gold price, oil price, and the dollar/euro. Results indicate that these variables exist in a nonlinear relationship. We consider the change rate of the dollar/euro as the threshold value that represents the dynamic LSTAR-type process, whereas the oil price as the threshold value represents the smooth symmetric ESTAR-type process. The results present the greater threshold effect that exists between the gold price and the change rate of the dollar/euro.en1681-8997國外Nieh, Chien-Chung是TWN
4 101/1 政經系 馬為騰 副教授 期刊論文 發佈 Multiple Asymmetries and Exchange Rate Exposure at Firm Level: Evidence from Taiwan Stock Market , [101-1] :Multiple Asymmetries and Exchange Rate Exposure at Firm Level: Evidence from Taiwan Stock Market期刊論文 Multiple Asymmetries and Exchange Rate Exposure at Firm Level: Evidence from Taiwan Stock Market馬為騰全球政治經濟學系International Journal of Economics and Finance 4(10), pp.26-40It has been viewed as an unsolved puzzle that for only a small number of firms a significant impact of foreign exchange rate risk on firm value could be detected empirically even though the financial theory strongly supports that a change in the exchange rate should affect the value of the firm. We explain it by the facts that (i) previous studies mostly investigated mature and non-open economies and (ii) they mostly concentrated on one part of the relationship between exchange exposure and firm value. Our empirical results are based on a sample of 107 Taiwanese non-financial firms from 6th June 1990 to 14th July 2010 and the bilateral exchange rate USD / TWD. We use an orthogonalized model with conventional augmented CA
5 101/1 財金系 聶建中 教授 期刊論文 發佈 Threshold effects in the capital asset pricing model using panel smooth transition regression (PSTR) Evidence from net oil export and import groups , [101-1] :Threshold effects in the capital asset pricing model using panel smooth transition regression (PSTR) Evidence from net oil export and import groups期刊論文Threshold effects in the capital asset pricing model using panel smooth transition regression (PSTR) Evidence from net oil export and import groupsNieh, Chien-Chung; Yao, Hsueh-ChuCAPM, crude oil price; exchange rate; panel smooth transition regression model (PSTR); Schwarz's inequality; Triangle inequalityAdvances in Management and Applied Economics 3(2), pp.179-192In this study, we used the PSTR (panel smooth transition regression) model to investigate the nonlinear relationship between beta (systematic risk) and returns (world market excess returns) for net oil export and net oil import groups. We set the volatility of world market excess return as the threshold variable and the percentage changes of crude oil price and exchange rate as the control variables. Our results support the use of a nonlinear model to elucidate the behavior b
6 101/1 財金系 聶建中 教授 期刊論文 發佈 Does the Phillips Curve Dominant the Fluctuations of Inflation , [101-1] :Does the Phillips Curve Dominant the Fluctuations of Inflation期刊論文Does the Phillips Curve Dominant the Fluctuations of InflationNieh, Chien-Chung; Fan, Yi-Jen淡江大學財務金融學系Phillips curve; CPI; PSTR modelInternational Business Research 5(10), pp.65-75We used the panel smooth transition regression (PSTR) model to investigate whether the relationship between inflation and macro variables remain consistent and identify the macro variables that dominate the fluctuations of inflation based on the uncertainty of interest rates and exchange rates for G7 over the period from 19841Q to 20114Q. The results of the empirical tests show that the real activity variables have superior explanatory power to CPI than unemployment rates based on the volatility of interest rates. The real activity variables have greater exploratory power to CPI because the volatility of the exchange rate is over than 40.95%.tku_id: 000107780;Submitted by 建中 聶 (niehcc@mail.tku.edu.tw) on 2013-10-23T17:45:17Z No. of bitst
7 90/1 財金系 聶建中 教授 期刊論文 發佈 Dynamic relationship between stock prices and exchange rates for G-7 countries , [90-1] :Dynamic relationship between stock prices and exchange rates for G-7 countries期刊論文Dynamic relationship between stock prices and exchange rates for G-7 countriesNieh, C. C.; Lee, C. F.淡江大學財務金融學系C32;Cointegration;Exchange rate;F31;G15;Stock price;VECMAmsterdam: Elsevier BV * North-HollandQuarterly Review of Economics and Finance 41(4), pp.477-490There are two major findings from our time-series estimations. First, we find that there is no long-run significant relationship between stock prices and exchange rates in the G-7 countries. This result interfaces with Bahmani-Oskooee and Sohrabian’s (1992) finding, but contrasts with the studies that suggest there be a significant relationship between these two financial variables. Our second finding is that the short-run significant relationship has only been found for one day in certain G-7 countries. For instance, currency depreciation often drags down stock returns in the German financial market, but it stimulates the Canadian and UK markets
8 99/1 管科系 倪衍森 教授 期刊論文 發佈 CRB現貨商品指數與股價指數、匯率關聯性之研究 , [99-1] :CRB現貨商品指數與股價指數、匯率關聯性之研究期刊論文CRB現貨商品指數與股價指數、匯率關聯性之研究Investigating the Relationships for CRB Spot Indexes with Stock Prices and Exchange Rates倪衍森; 黃寶玉; 蔡睿宇淡江大學管理科學學系CRB現貨商品指數;股價指數;匯率;CRB Spot Indexes;Stock Indexes;Exchange Rates桃園縣:中原大學企業管理研究所中原企管評論 8(2),頁1-16本研究以CRB現貨商品指數代表原物料價格走勢,探討2005年至2007年間CRB現貨商品指數與股價指數、匯率之關聯性及波動性外溢效果,並有以下之重要發現,其一CRB現貨商品指數與道瓊工業指數、那斯達克指數及台灣加權指數皆具有雙向回饋關係,CRB現貨商品指數對台灣及美國股市有負向影響,亦爲原物料上漲均對台美上市公司帶來負面衝擊;其二CRB現貨商品指數波動性會正向外溢至台灣加權指數,由於台灣不少原物料源自國外進口,所以當原物料價格波動時,則不免會受其牽連;其三乃是CRB現貨商品指數會負向影響美日匯率,低利率的日本貨幣政策好像吸引不少國際炒家舉借日債來投入商品原物料市場,是以CRB現貨商品指數對日圓幣值產生影響就在所難免,因爲舉外債成本除利率水準的高低外,匯率的影響更是動見觀瞻。 This paper uses CRB Spot Indexes to represent raw materials' prices, and investigates the relationships for CRB Spot Indexes with stock indexes and exchange rates from 2005 to 2007, and there are several important results shown as follows: 1. CRB Spot Indexes have dual feedback relationships with Dow Jones Industrial Average Indexes, NASDAQ Indexes, and Taiwan Weighted Average Indexes. In addition
9 96/1 財金系 邱建良 教授 期刊論文 發佈 The Impact of the QFIIs Deregulation on Normal and Abnormal Information Transmission between the Stock and Exchange Rates in Taiwan , [96-1] :The Impact of the QFIIs Deregulation on Normal and Abnormal Information Transmission between the Stock and Exchange Rates in Taiwan期刊論文The Impact of the QFIIs Deregulation on Normal and Abnormal Information Transmission between the Stock and Exchange Rates in TaiwanLee, Yen-hsien; Chiu, Chien-liang淡江大學財務金融學系Nashville: Economics BulletinEconomics Bulletin 3(22), pp.1-10This investigation adopts the Correlated Bivariate Poisson GARCH with Jump and Diffusion Volatility Spillover (CBP-GARCH-JDSV) model to determine whether the Qualified Foreign Institutional Investors (QFIIs) deregulation in Taiwanese stock markets influences normal and abnormal information transmission between stock and exchange rates. Empirical results demonstrated that the diffusion and jump process have significantly correlations and interacted with stock and exchange rates markets following the QFIIs deregulation. Finally, normal information transmission changed bi-directionally across markets and abnormal information
10 96/2 經濟系 蔡明芳 教授 期刊論文 發佈 Market Structure, External Exposure and Industry Profitability: A Theoretical Framework with Taiwan Evidence , [96-2] :Market Structure, External Exposure and Industry Profitability: A Theoretical Framework with Taiwan Evidence期刊論文Market Structure, External Exposure and Industry Profitability: A Theoretical Framework with Taiwan EvidenceHsu, Song-ken; Tsai, Ming-fang; Yang, Chih-hai淡江大學經濟學系concentration; export; exchange rate; industry profitabilityAbingdon, Oxon: RoutledgeInternational Economic Journal 22(2), pp.201-214This article aims to investigate empirically the influences of concentration, exports, and exchange rate on industry profitability in a small open economy, in Taiwan. Developing a simple theoretical framework and utilizing panel data of four-digit manufacturing industries over the period 1986–96 to test our findings indicate that concentration has a positive impact on profit margin, while the impacts of export intensity and external exposure are significantly negative. This result indicates that export-intensive industries tend to have a lower profitability in Taiwan, because export fir
11 95/2 財金系 黃健銘 助理教授 期刊論文 發佈 不動產投資與股匯市、利率敏感性動態分析-以日本為例 , [95-2] :不動產投資與股匯市、利率敏感性動態分析-以日本為例期刊論文不動產投資與股匯市、利率敏感性動態分析-以日本為例The Dynamic Analysis of Real Estate Investment、Stock and Exchange Rate Market and Interest Rate Sensitivity--A Case Study of the Japanese邱建良; 黃健銘; 吳佩珊淡江大學財務金融學系財團法人金融聯合徵信中心金融風險管理季刊3(1),頁113-134Submitted by 雅婷 許 (135406@mail.tku.edu.tw) on 2009-08-26T07:38:10Z No. of bitstreams: 0;Made available in DSpace on 2009-08-26T07:38:11Z (GMT). No. of bitstreams: 0;tku_id: 000100730; 000133803; 000123816zh_TW否<links><record><name>機構典藏連結</name><url>http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/18388</url></record></links>
12 95/2 財金系 吳佩珊 副教授 期刊論文 發佈 不動產投資與股匯市、利率敏感性動態分析-以日本為例 , [95-2] :不動產投資與股匯市、利率敏感性動態分析-以日本為例期刊論文不動產投資與股匯市、利率敏感性動態分析-以日本為例The Dynamic Analysis of Real Estate Investment、Stock and Exchange Rate Market and Interest Rate Sensitivity--A Case Study of the Japanese邱建良; 黃健銘; 吳佩珊淡江大學財務金融學系財團法人金融聯合徵信中心金融風險管理季刊3(1),頁113-134Submitted by 雅婷 許 (135406@mail.tku.edu.tw) on 2009-08-26T07:38:10Z No. of bitstreams: 0;Made available in DSpace on 2009-08-26T07:38:11Z (GMT). No. of bitstreams: 0;tku_id: 000100730; 000133803; 000123816zh_TW否<links><record><name>機構典藏連結</name><url>http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/18388</url></record></links>
13 98/1 財金系 聶建中 教授 期刊論文 發佈 Testing for Cointegration with Threshold Effect between Stock Prices and Exchange Rates in Japan and Taiwan , [98-1] :Testing for Cointegration with Threshold Effect between Stock Prices and Exchange Rates in Japan and Taiwan期刊論文Testing for Cointegration with Threshold Effect between Stock Prices and Exchange Rates in Japan and TaiwanYau, Hwey-yun; 聶建中; Nieh, Chien-Chung淡江大學財務金融學系ElsevierJapan and the World Economy 21(3), pp.292-300This paper empirically investigates the exchange rate effects of the New Taiwan dollar against the Japanese Yen (NTD/JPY) on stock prices in Japan and Taiwan from January 1991 to Mach 2008. Our study employs the newly threshold error-correction model (TECM) elaborated by Enders and Granger [Enders, W., Granger, C.W.F., 1998. Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business Economics & Statistics 16, 304–311] and Enders and Siklos [Enders, W., Siklos, P.L., 2001. Cointegration and threshold adjustment. Journal of Business Economics & Statistics 19, 166–176], assuming the nature of the relationship betwe
14 94/1 財金系 聶建中 教授 期刊論文 發佈 Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate , [94-1] :Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate期刊論文Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rateYau, Hwey-Yun; 聶建中; Nieh, Chien-chung淡江大學財務金融學系Exchange rate;Stock price;Structural break;Granger causalityElsevierJournal of asian economics 17(3), pp.535-552Since the Asian Financial Crisis in 1997, the relationship between stock prices and exchange rates has received considerable amount of attention from the economists, international investors and policy makers. The work reported here employs various linear and non-linear, time-series methodologies to investigate the short-term and long-term interrelationships among the stock prices of Taiwan and Japan and the NTD/Yen exchange rate during the period of January 1991–July 2005. The findings from this study include: firstly, the stock prices of Taiwan and Japan impact each other for short durations; secondly, with regard to relationship between stock prices and exchang
15 94/1 財金系 聶建中 教授 期刊論文 發佈 區間測試法探討總體經濟與出國旅遊之影響關係 , [94-1] :區間測試法探討總體經濟與出國旅遊之影響關係期刊論文區間測試法探討總體經濟與出國旅遊之影響關係Bounds Testing Approach to Investigate the Relationship between Macroeconomics and Outbound Tourism周明智 ; 聶建中; Nieh, Chien-chung淡江大學財務金融學系出國旅遊人次;區間測試法;一般化衝擊反應函數;outbound visitors;ARDL;bounding test;G-IRF臺灣大學管理學院台大管理論叢 16(1),頁 1-20本文旨在探討旅遊模型中,工業生產指數、物價指數及匯率對於出國旅遊人次之長、短期影響。由Johansen共整法及ARDL區間測試法,分別得到各變數間之長期均衡,存在及不存在之相反結果。由於各項單根測試發現各變數之整合齊次不盡相同,因此採用了ARDL法所得變數間不存有長期共移的結果較具說服力,ARDL法之短期分析,發現於一段固定期間內之出國旅遊總人次應是某個固定數值,若於前些月份之出國旅遊人次過高,則會衝擊當月之出國旅遊意願,使出國旅遊人次降低。本研究又以一般化衝擊反應函數進行變數間之動態跨期衝擊影響做分析,發現對出國旅遊人次之影響,除了出國旅遊人次之自身短期顯著影響之短暫性衝擊外,工業生產指數於短期間對出國旅遊人次亦有負向之短暫性衝擊。 This articles aims to discuss the long-term and short-term influence on number of overseas visitors, price index, and exchange rate. Using Johansen Cointegration Method and ARDL Bounds testing, the long-term balance of different variants and the opposite results of existing and non-existing are reached. The short-term analysis by ARDL finds that the number of outbound visitors during a fixed term sh
16 95/2 財金系 邱建良 教授 期刊論文 發佈 不動產投資與股匯市、利率敏感性動態分析-以日本為例 , [95-2] :不動產投資與股匯市、利率敏感性動態分析-以日本為例期刊論文不動產投資與股匯市、利率敏感性動態分析-以日本為例The Dynamic Analysis of Real Estate Investment、Stock and Exchange Rate Market and Interest Rate Sensitivity--A Case Study of the Japanese邱建良; 黃健銘; 吳佩珊淡江大學財務金融學系財團法人金融聯合徵信中心金融風險管理季刊3(1),頁113-134Submitted by 雅婷 許 (135406@mail.tku.edu.tw) on 2009-08-26T07:38:10Z No. of bitstreams: 0;Made available in DSpace on 2009-08-26T07:38:11Z (GMT). No. of bitstreams: 0;tku_id: 000100730; 000133803; 000123816zh_TW否<links><record><name>機構典藏連結</name><url>http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/18388</url></record></links>
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