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研究生:陳欣怡
研究生(外文):Hsin-I Chen
論文名稱(外文):A Re-examination of current account, exchange rate dynamics and the predictability: The experience of Taiwan and Korea
指導教授:李佩璇李佩璇引用關係
指導教授(外文):Pei-Hsuan Lee
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
畢業學年度:94
語文別:英文
論文頁數:40
中文關鍵詞:匯率經常帳共整合誤差修正項
外文關鍵詞:exchange ratecurrent accountcointegrationV
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Abstract
The difficulty in predicting exchange rates has been a long-standing problem in international economics. But Baharumshah and Masih (2005) conclude that the monetary model include current account variable can fit the data well and produce good in-sample as well as out-of-sample forecasts. Therefore, we follow the suggestion of B&M (2005) and re-examine the monetarist model by including the current account.

In Asia, Korea is Taiwan’s main trading and compete country. And both countries do lots of trade with Japan. Therefore, the New Taiwanese dollar and the Korea won against the yen are taken as our case studies.

In empirical investigation, using quarterly data, the study find that current account exhibits a long-run relationship with the exchange rate, income, interest rate and money supply in both countries. Second, we suggested that the large superior short-horizon performance of this model. Third, our finding indicates that the monetary model with current account variables performed better than standard monetary model. Therefore, we can confirm that the inclusion of current account variables in exchange rate determined model can improve forecasting ability.

Keywords: exchange rate; current account; cointegration; VECM
Abstract I
Contents .....................................................................................................................................Ⅱ
List of Tables Ⅲ
Contents
CHAPTER 1 INTRODUCTION 1
1.1. THE BACKGROUND OF THE STUDY 1
1.2. THE MOTIVATION AND PURPOSES OF THE STUDY 1
1.3. ORGANIZATION OF THE DISSERTATION 3
CHAPTER 2 LITERATURE REVIEW 4
2.1. THE MONETARY MODELS 4
2.2. THE EMPIRICAL EVIDENCE ON MONETARY MODELS 6
2.3 THE IMPORTANCE OF CURRENT ACCOUNT IN THE FOREIGN EXCHANGE EQUATION 11
CHAPTER 3 RESEARCH HYPOTHESIS AND METHODOLOGY 12
3.1. RESEARCH HYPOTHESIS 12
3.2. RESEARCH METHODOLOGY 13
3.2.1. Vector Error Correction Model 13
3.2.2. Data Description ........................................................................................14
3.2.2.1. Definition of Variables 14
3.2.2.2. Dataset 15
3.2.3. The Performance Measurement of Out-of-Sample Forecasting 16
CHAPTER 4 DATA 18
4.1. SUMMARY STATISTICS 18
4.2. UNIT ROOT TEST 19
4.3. THE JOHANSEN COINTEGRATION TEST 24
CHAPTER 5 RESULTS 29
5.1 VECTOR ERROR CORRECTION MODEL 29
5.2 FORECASTING PERFORMANCE 34
CHAPTER 6 CONCLUSIONS 37
REFERENCES 38
List of Tables
TABLE 1 DATASET 16
TABLE 2 DESCRIPTIVE STATISTICS OF TAKING FIRST DIFFERENCES OF ALL VARIABLES 18
TABLE 3 AUGMENTED DICKEY-FULLER UNIT ROOT TEST RESULTS 22
TABLE 4 PHILLIPS-PERRON UNIT ROOT TEST RESULTS 23
TABLE 5 JOHANSEN’S COINTEGRATION TEST 27
TABLE 6 ESTIMATED COINTEGRATED VECTORS IN JOHANSEN ESTIMATION 29
TABLE 7 TESTS OF EXCLUSION RESTRICTIONS 30
TABLE 8 THE ERROR-CORRECTION REGRESSION 32
TABLE 8 THE ERROR-CORRECTION REGRESSION (CONTINUED) 33
TABLE 9 DYNAMIC FORECASTING- RMSE AND MAE 35
TABLE 10 DYNAMIC FORECASTING- THEIL’S U-STATISTICS 35
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