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研究生:陳建良
研究生(外文):Chien-liang Chen
論文名稱:台幣兌美元之匯率波動受其他外匯之影響─IGARCH模型之應用
論文名稱(外文):The Influence of other Exchange Rate of Volatility Rates on the Exchange Rate Market in Taiwan:An Application of IGARCH Model
指導教授:張瑞真張瑞真引用關係
指導教授(外文):Jui-chen Chang
學位類別:碩士
校院名稱:南華大學
系所名稱:財務金融學系財務管理碩士班
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
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:34
中文關鍵詞:匯率不對稱效果
外文關鍵詞:exchange rateGARCHARCHasymmetric effectIGARCH
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  • 收藏至我的研究室書目清單書目收藏:1
  過去有關匯率波動的文獻研究,大部分多探討匯率波動之群聚效果,但甚少考量不對稱效果將會影響未來波動預測之正確性。本研究探討台幣兌加幣、英磅與日圓之匯率報酬率是否影響台幣兌美元之匯率報酬率,以作為匯率預測之參考,研究資料期間採自2000年1月4日到2006年12月29日的匯率資料。依Bollerslev(1986)所提之GARCH模型,建構GRACH-M模型探討匯率波動率的波動過程。而由實證結果顯示AR(5)-IGARCH(1,1)模式對探討匯率波動率的擬合是合適的,實證結果發現,匯率波動率未具有不對稱效果。
  Majority of the previous studies about foreign exchange rate were using GARCH model to estimate the volatility clustering of exchange rate with very little consideration on the accuracy of volatility prediction from the asymmetrical effect. This research analyzed whether the return of foreign exchange rate between New Taiwan Dollar and Canadian Dollar, or British Pound, or Japanese Yen influences the return of exchange rate between New Taiwan Dollar and US Dollar and apply as the reference point for exchange rate prediction. The collected data of exchange rate from January 4, 2000 to December 29, 2006 were used to evaluate the asymmetrical effect. Taking the GARCH model by Bollerslev (1986) to construct a AR(5)-IGRACH(1,1) model for evaluating the volatility process of exchange rate volatility. The empirical result demonstrates that the AR(5)-GARCH(1,1) model is appropriate to discuss the exchange rate volatility process. However, the result also discovers that the exchange rate volatility rate did not present an asymmetrical effect.
論文口試委員審定書………………………………… iii
中文摘要……………………………………………………v
英文摘要…………………………………………………vi
目錄………………………………………………………vii
表目錄……………………………………………………viii
圖目錄………………………………………………………ix
  
第一章 緒論………………………………………………1
第一節 研究背景…………………………………………1
第二節 研究動機…………………………………………3
第三節 研究目的…………………………………………4
第四節 論文架構…………………………………………5
  
第二章 文獻探討…………………………………………7
第一節 影響匯率因素相關文獻回顧……………………7
第二節 相關實證文獻回顧…………………………….9
第三節 GARCH模型相關文獻回顧…………………………10
第四節 文獻探討小結……………………………………12
  
第三章 研究方法………………………..............13
第一節 實證樣本說明與資料處理方式及基本統計……….….……....13
第二節 GARCH模型之介紹…………………………………18
  
第四章 實證結果分析……………………………………20
第一節 台幣兌四國匯率之ADF檢定………………………20
第二節 ARCH效果檢定……………………………………21
第三節 IGARCH模型估計與標準殘差診斷分析…………24
  
第五章 結論與建議………………………………………28
第一節 結論………………………………………………28
第二節 建議……………………………………………29
  
參考文獻……………………………………………………31
一、中文部份
 
王泓仁 (2005),「台幣匯率對我國經濟金融活動之影響」,中央銀季刊,第二十七卷第一期,13-46。
 
方文碩、張倉耀、葉志權(2005),「匯率貶值及其風險與出口」,經濟研究月刊,41卷1期,105-139。
 
余麗珠(2003),「匯率決定因素之探討」,中山大學財務管理研究所碩士論文。
 
李瑞苓(2002),「政策跨時搭配、政策不確定與匯率動態」,逢甲大學經濟學系研究所碩士論文。
 
吳景梅 (2003),「我國匯率與總體經濟指標關係之實證研究」,世新大學經濟研究所碩士論文。
 
林育秀(2007),「新台幣對人民幣與美元的匯率波動對台灣出口的影響」,朝陽科技大學財務金融系碩士論文。
 
邱建良、吳佩珊、邱哲修(2004),「亞洲外匯市場行爲之探討-不對稱門檻GARCH模型之應用」,臺灣管理學刊,4卷2期,187-201。
 
張錦源(2005),「國際貿易實務詳論」,三民書局。
 
張鼎煥、李彥賢、林卓民(2008),「台幣與日圓匯率共同跳躍強度分析-CBP-GJR-GARCH-S模型之應用」,輔仁管理評論,15卷2期,23-40。
 
蘇煒倫(2007),「以多變量GARCH模型探討亞洲區域匯率市場之波動傳遞效應」,銘傳大學財務金融學系碩士論文。
 
二、西文部份
 
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Berndt, E.K., Hall, B.H., Hall, R.E. and Hausman, J.A. (1974). Estimation and inference in nonlinear structural models. Annals of Economic and Social Measurement 4, 653-665.
 
Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31, 307-327.
 
Bollerslev, T. (1990). Modeling the coherence in short-run nominal exchange rates: A multi-variance generalized ARCH approach. Review of Economics and Statistics, 72, 498-505.
 
Branson, W. H. and D. W. Henderson, 1985, The Specification and Influence of Asset Markets, in R. W. Jones and P. B. Kenen eds., Handbook of International economics, vol.2, 749-805.
 
Brooks,C.(2001).A double threshold GARCH model for the FrenchFranc/Deutschmark exchange rate, Journal of Forecasting, 20, 135-143.
 
Campell, J.Y. and Hentschel, L. (1992). No News is good News:An Asymmetric model of Changing Volatility in Stock Returns. Journal of Financial Economic, 31, 281-318.
 
Christie, A.A. (1982). The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects. Journal of Financial Economics 10, 407-432.
 
Dickey , D.A. and Fuller , W.A.(1979). Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427-431.
 
Dickey, D. A. and Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49, 1057-1072.
 
Engle, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom Inflation. Econometrica, 50, 987-1007.
 
Engle, R.F. and Ng, V.K. (1993). Measuring and Testing the Impact of News on Volatility. Journal of Finance, 45, 1749-1777.
 
French, K.R., Schwert, G.W. and Stambaugh, R.F. (1987). Expected Stock Returns and Volatility. Journal of Financial Economics, 19, 3-29.
 
Glosten, LR., Jagannathan, R. and Runkle, D.E. (1993). On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks. Journal of Finance, 48, 1779-1801.
 
Horng, W.J. (2007). An Impact of the U.S. and the U.K. Return Rates’ Volatility on the Stock Market Returns: An Evidence Study of Japan’s Stock Market Returns. Journal of Probability and Statistical Science, 5(2), 217-231.
 
Kapetanios, G., Shin, Y. and Snell, A. (2003) Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics 112(2), 359-379.
 
Koutmos, G. and Booth, G.G. (1995). Asymmetric volatility transmission in international stock markets. Journal of International Money and Finance, 14, 747-762.
 
Koutmos, G. (1996). Modeling the Dynamic Interdependence of Major European Stock , Markets. Journal of Business Finance and Accounting, 23, 975-988.
 
Ljung, G.M. and Box, G.E.P. (1978). On a measure of lack of fit in time series models. Biometrika, 65, 297-303.
 
Lobo, B.J. and Tufte, D. (1998). Exchange Rate Volatility:Does Politics Matter. Journal of Macroeconomics, 20, 351-365.
 
Nelson, D.B. (1990). Stationarity and persistence in the GARCH(1, 1) model. Econometric Theory, 6, 318-334.
 
Nelson, D.B. (1991). Conditional heteroscedasticity in asset returns: A new Approach. Econometrica, 59, 347-370.
 
Poon, W. P. H. and Fung, H.G. (2001). Red chip or H shares: which China-backed securities process information the fastest. Journal of Multinational Financial Management, 10, 315-343.
 
Schwert, G.W. (1990). Stock Volatility and the Crash of 1987. The Review of Financial Studies, 3, 77-102.
 
Tsay, R.S. (2004). Analysis of Financial Time Series. New York: John Wiley & Sons, Inc.
 
Wang, L.R. and Shen, C.H. (1999). Do foreign investments affect foreign exchange and stock markets- the case of Taiwan. Applied Economics, 31, 1303-1314.
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