The Effect of the Asian Financial Crisis on Exchange Rate Volatility, Export, Import and Productivity among Asian Countries
學年 88
學期 2
發表日期 2000-03-13
作品名稱 The Effect of the Asian Financial Crisis on Exchange Rate Volatility, Export, Import and Productivity among Asian Countries
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 二０００年亞太金融市場研討會=2000 Conference on Asia-Pacific Financial Markets and Economies
會議地點 臺北市, 臺灣
摘要 This study investigates the Asian financial crisis effect for Taiwan, Korea, Malaysia, and Indonesia. Cointegration test shows no change for the long-run equilibrium relationship among these variables through crisis. Granger causality finds that some exogeneity orderings alter from pre- to post-crisis period for countries considered. Impulse response functions (IRs) for pre-crisis period demonstrate an important role of productivity, then export. For post-crisis period, oscillatory paths around zero of the IRs imply an ambiguous finding for the direction of effect and relative exogeneity among variables studied. Finally, the variance decompositions in export for Taiwan, Korea and Malaysia, and in productivity for Malaysia and Indonesia did not change from pre-crisis to post -crisis era. Most of the rest forecast error variances in variables were decomposed into their own innovation more proportional in pre-crisis period than in post-crisis period, which is supported by Vector error correction model that all variables were strongly affected by their own past information.
關鍵字 匯率波動;衝擊反應函數;亞洲;金融危機;生產力;進口;出口;共整合檢定;Exchange Rate Volatility;Impulse Response Function;Asia;Financial Crisis;Productivity;Import;Export;Cointegration Test
語言 en
收錄於
會議性質 國際
校內研討會地點
研討會時間 20000313~20000313
通訊作者
國別 TWN
公開徵稿 Y
出版型式 紙本
出處 二000年亞太金融市場研討會會議論文集=Proceedings of the 2000 Conference on Asia-Pacific Financial Markets and Economies，頁161-185
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