關鍵字查詢 | 類別:會議論文 | | 關鍵字:Bounds Testing Approach to the Exchange Rate Overshooting in Taiwan

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1 92/1 財金系 聶建中 教授 會議論文 發佈 區間測試法:應用於台幣匯率過度反應現象 , [92-1] :區間測試法:應用於台幣匯率過度反應現象會議論文區間測試法:應用於台幣匯率過度反應現象Bounds Testing Approach to the Exchange Rate Overshooting in Taiwan聶建中; 王友珊淡江大學財務金融學系台灣;匯率;過度反應;區間測試法;自我迴歸遞延落差模型;新台幣;Taiwan;Exchange Rate;Overreaction;Bound Test;Ardl Moel;New Taiwan Dollar2003開放經濟與總體計量會議論文集,20頁中央研究院經濟研究所; 行政院主計處本文採Pesaran,Shin and Smith (2001)區間測試法,以台灣1986:01至 2003:04區間為樣本,探討Dornbush (1976)價格僵固的貨幣理論匯率決定模型及其隱含的匯率「過度反應」現象。以克服同時存在I(1)及(0)整合級次不一致現象問題的ARDL-UECM-MAIC(1, 10, 10, 8, 10)模型設定,本研究之實證發現,不但無法支持Dornbush(1976)價格僵固模型的匯率貶值過度反應現象,即一般學理所認定貨幣供給額增加對匯率之走勢的正向貶值效應(此隱含著台灣在短期間之匯率過度波動的泡沫投資現象不易發生),更也推翻了匯率決定模型中總體經濟變數於長期間對匯率的影響預估能力。;We employ the newly developed ARDL-UECM-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 abnorma
2 92/2 財金系 聶建中 教授 會議論文 發佈 Bounds Testing Approach to the Exchange Rate Overshooting in Taiwan , [92-2] :Bounds Testing Approach to the Exchange Rate Overshooting in Taiwan會議論文Bounds Testing Approach to the Exchange Rate Overshooting in TaiwanWang, Yu-Shan; Nieh, Chien-Chung淡江大學財務金融學系ARDL;bound test;overshooting;exchange rate臺北縣淡水鎮:淡江大學管理學院會計學系2004年兩岸會計與管理學術研討會論文集(下),頁360-376淡江大學; 中南財經法政大學; 安徽財經大學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 produ
3 92/2 財金系 王友珊 講師 會議論文 發佈 Bounds Testing Approach to the Exchange Rate Overshooting in Taiwan , [92-2] :Bounds Testing Approach to the Exchange Rate Overshooting in Taiwan會議論文Bounds Testing Approach to the Exchange Rate Overshooting in TaiwanWang, Yu-Shan; Nieh, Chien-Chung淡江大學財務金融學系ARDL;bound test;overshooting;exchange rate臺北縣淡水鎮:淡江大學管理學院會計學系2004年兩岸會計與管理學術研討會論文集(下),頁360-376淡江大學; 中南財經法政大學; 安徽財經大學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 produ
4 92/1 財金系 聶建中 教授 會議論文 發佈 Bounds testing approach to the exchange rate overshooting in Taiwan , [92-1] :Bounds testing approach to the exchange rate overshooting in Taiwan會議論文Bounds testing approach to the exchange rate overshooting in Taiwan區間測試法---應用於台幣匯率過度反應現象聶建中; Nieh, Chien-chung; 王友珊淡江大學財務金融學系2003開放經濟與總體計量會議論文集,台北市tku_id: 000107780;Made available in DSpace on 2009-11-30T09:39:43Z (GMT). No. of bitstreams: 0en<links><record><name>機構典藏連結</name><url>http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23451</url></record></links>
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