臺灣博碩士論文加值系統

本文使用分量自我迴歸方法，以1997年亞洲金融風暴為分界，分析亞洲十種貨幣實質匯率的反應結果。實證發現金融風暴中受創較深的貨幣其均數回復的行為較受創較輕的貨幣更容易被觀察出來。分量單根檢定顯示所有期間內購買力平價假說皆成立。各經濟大國普遍均數回復差異發生的情形都較其他國家少。匯率大幅波動後的回復速度，明顯快於小型波動發生時的速度，而金融風暴後的回復速度相較之下也快於金融風暴前。

This paper applies a quantile autoregression approach , with Asian financial crisis for the boundary, to analyze responses of the real exchange rate of ten Asian economic system. Empirical findings indicate that recovery in deep-injured currencies is easier to be detected than the others. Quantile unit root test shows that purchasimg power parity was established in all period. Difference in mean reversion occurred in larger economic countries is generally less than smaller countries. The speed of recovery after experiencing sharp fluctuations is obviously faster than slight disturbances, and the speed of mean reversion in post-crisis period was also faster than the other in pre-crisis period.

中文摘要i
英文摘要ii
誌謝iii
目錄iv
表目錄vi
圖目錄vii
第一章、前言1
第一節、研究背景1
第二節、研究目的2
第二章、文獻探討5
第一節、單根檢定之結構性變動.5
第二節、亞洲金融風暴的匯率變動衝擊6
第三章、研究方法8
第一節、資料來源與期間之性質與敘述8
第二節、傳統單根檢定方法9
第三節、分量單根檢定方法10
第四章、實證結果11
第一節、傳統單根檢定11
第二節、分量單根檢定13
第三節、跨分量差異檢定14
第四節、半衰期比較17
第五章、結論21
參考文獻 23
表一 各國匯率的敘述性統計8
表二 傳統單根檢定12
表三 分量單根檢定P值表13
表四 跨分量差異檢定15
表五 半衰期分析18
圖一 研究流程圖4

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