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研究生:張媛茹
研究生(外文):Chang, Yuan-Ru
論文名稱:檢驗匯率決定的貨幣模型─非線性共變量單根檢定之應用
論文名稱(外文):Testing for Monetary Model of the Exchange Rate Determination: The Application of Nonlinear Covariate Unit Root Test
指導教授:欉清全欉清全引用關係
指導教授(外文):Tsong, Ching-Chuan
口試委員:李政峯蔡麗茹
口試委員(外文):Lee, Cheng-FengTsai, Li-Ju
口試日期:2014-05-16
學位類別:碩士
校院名稱:國立暨南國際大學
系所名稱:經濟學系
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:2014
畢業學年度:102
語文別:中文
論文頁數:41
中文關鍵詞:名目匯率貨幣模型非線性過程共變量單根檢定共整合
外文關鍵詞:Nominal exchange rateMonetary modelNonlinear processesCovariates unit root testCointegration
相關次數:
  • 被引用被引用:2
  • 點閱點閱:258
  • 評分評分:
  • 下載下載:65
  • 收藏至我的研究室書目清單書目收藏:0
本研究為國內首篇嘗試應用非線性共變量單根檢定檢測匯率決定理論的貨幣模型之實證研究。我們重新檢驗非線性動態的匯率決定之貨幣模型,從名目匯率與貨幣基要之間的離差來解釋其實證表現,並採用Tsong (2011) 提出的CKSS單根檢定,應用於16個國家在後布雷頓森林時期,探討是否支持長期匯率決定的貨幣模型。本研究使用CKSS單根檢定,實證結果指出:由於捕捉非線性調整以及加入恆定共變量,檢定力大幅提升,除了挪威、瑞士以及義大利這三個國家仍無法找到匯率與貨幣基要間存在共整合外,其他13個國家顯示有足夠的證據支持長期匯率決定之貨幣模型。
This study serves one of the first paper adopting the nonlinear covariate unit root test to examine the performance of monetary models of the exchange rate determination. We reexamine empirical performance of monetary exchange rate with nonlinear dynamics of nominal exchange rate deviation from the monetary fundamentals. We employ CKSS unit root test proposed by Tsong (2011), and test the long-run monetary models of the exchange rate determination for 16 countries using data during the post-Bretton Woods. Our empirical evidence which applies CKSS unit root test shows that owing to capturing of nonlinear adjustment and adding stationary covariates in the regression equation improve the power of unit root tests. In all countries, except Norway, Swizerland and Italy, the nominal exchange rate is cointegrated with the monetary fundamentals. We find support for a simple form of the long-run monetary model in over half of the countries we consider.
目次
誌謝 i
摘要 ii
Abstract iii
目次 iv
表目次 v
第一章 緒論 1
第二章 文獻回顧 4
第三章 研究方法 14
第一節 匯率的貨幣模型 14
第二節 非恆定特性 15
第三節 單變量方法 17
第四節 共變量方法 19
第四章 實證結果分析 22
第一節 資料來源與說明 22
第二節 單變量單根檢定之實證結果 23
第三節 共變量單根檢定之實證結果 25
第五章 結論與建議 35
參考文獻 37
中文部分 37
英文部分 37

表目次
表 1. 匯率決定理論之貨幣模型的相關文獻整理 10
表 2. 研究國家與其研究期間 22
表 3. 各國離差值的單變量單根檢定結果 24
表 4. ∆e_t 為共變量之CKSS單根檢定結果 29
表 5. ∆(m_t^*-m_t) 為共變量之CKSS單根檢定結果 30
表 6. ∆(y_t^*-y_t) 為共變量之CKSS單根檢定結果 31
表 7. ∆inf_t 為共變量之CKSS單根檢定結果 32
表 8. ∆NR_t 為共變量之CKSS單根檢定結果 33
表 9. 總和各種共變量之CKSS單根檢定結果 34
中文部分
李建強、張倉耀、李起銓、林欣怡 (2010),「匯率與總體基本面之非線性動態關係-G-7國家的實證研究」,《經濟與管理論叢》,6,203–228。
陳旭昇 (2009),《時間序列分析:總體經濟財務金融之應用》,臺北市:東華書局。
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