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研究生:陳界中
研究生(外文):Chen Chieh Chung
論文名稱:J曲線效果是否存在?跨國的實証研究
指導教授:陳仕偉陳仕偉引用關係
學位類別:碩士
校院名稱:東海大學
系所名稱:經濟系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
中文關鍵詞: J曲線 貶值 共整合 自我迴歸遞延分配
相關次數:
  • 被引用被引用:3
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貨幣貶值的國家往往發現貿易收支餘額於貶值初期將會惡化,經歷一段期間後,貿易餘額
將逐漸改善,此一現象即稱為J曲線效果。本文的研究目的主要在於探討台灣、新加坡、
韓國與香港四個國家的貿易與匯率間是否存在著J曲線的現象。目前國內外有關於J曲線效果的實證研究不勝枚舉,有別於其他文獻的作法,本文採用自我迴歸遞延分配共整合分析法,解決不同階次之變數無法做共整合分析的窘境,並採用衝擊反應函數與預測變異數分解來探討J曲線效果是否存在。實證結果顯示,亞洲四小龍的匯率變動與貿易收支餘額間並不存在J曲線效果。在長期時, 貶值則有助於各國改善貿易收支餘額。因此,在政策涵義上,若政府擬以貶值來改善貿易餘額,將可達成預期的效果。
1 前言 6
2 理論基礎 9
3 實證方法 13
3.1 單根檢定...............................................................................................................................13
3.2 自我迴歸遞延分配邊界檢定.........................................................................................16
3.3 Granger因果關係檢定.........................................................................................................19
3.3.1 Granger因果關係之定義........................................................................................19
3.3.2 Granger因果關係之檢定........................................................................................20
3.4 衝擊反應函數與預測誤差變異數分解.......................................................................21
3.4.1 衝擊反應函數.........................................................................................................22
3.4.2 預測誤差變異數分解...........................................................................................23
4 資料說明與實證結果分析 25
4.1 資料來源與基本統計特性..............................................................................................25
4.2 單根檢定結果.....................................................................................................................26
4.3 共整合分析檢定結果.......................................................................................................28
4.4 Granger因果關係檢定結果................................................................................................28
4.5 衝擊反應函數實證結果...................................................................................................29
4.6 預測誤差變異數分析實證結果.....................................................................................29
4.7 與過去文獻之比較............................................................................................................30
5 結論與建議 32
參考文獻 33
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