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研究生:陳枚伶
研究生(外文):Mei-Ling Chen
論文名稱:南非匯率升貶因素之研究
論文名稱(外文):The Factors Affecting the Exchange Rate in South Africa
指導教授:陳旭昇陳旭昇引用關係
口試委員:張勝凱周有熙
口試日期:2014-05-16
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:經濟學研究所
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:49
中文關鍵詞:單根檢定向量自我迴歸模型Granger因果關係檢定衝擊反應分析預測誤差變&;#63842;&;#63849;分解
外文關鍵詞:unit root testvector autoregression modelGranger causality testimpulse response analysisforecast error variance decomposition
相關次數:
  • 被引用被引用:5
  • 點閱點閱:276
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:3
本研究應用時間序&;#63900;計&;#63870;方法&;#63789;探討黃金價格、消費者物價指數、貨幣供給額以及利率等總體經濟變數與南非幣匯率之間的互動關係。研究期間為1971&;#63886;1月至 2013&;#63886;4 月的月資&;#63934;,共508筆月資料觀察值。

&;#63965;用向&;#63870;自我迴歸模型探討各個變&;#63849;之關&;#63895;性。研究結果顯示,黃金價格相對於其他總體經濟變數對南非幣兌美元匯率具有解釋力。而從穩健性檢視的VAR模型中匯率的預測誤差變&;#63842;&;#63849;分解結果來看,投資人在進行南非幣投資時,可將消費者物價指數視為比較重要的參考指標。本文的研究結果可提供投資人決策或作為南非幣匯率相關學術研究之參考。


In this study ranging from January 1971 to April 2013, covering 508 entries of observation data, the time-series econometrics approach is applied to explore the interaction between macro-economic variables, such as gold prices, consumer price inflation (CPI), money supply (M2), and interest rates, and the South African Rand to US Dollar exchange rate.

The correlation between the variables is determined with the vector autoregression model (VAR). The result shows that gold price has more explanatory power than other macro-economic variables in terms of South African rand to US Dollar exchange rate; whereas the result of the forecast error variance decomposition from the robustness check in the VAR indicates that consumer price index is a more important reference index when investing in South African Rand. The results of the study may serve as a reference for investors in their decision-making as well as for academic research on the exchange rate of South African Rand.


目&;#63807;
第1 章 .................................................................................................................. 1
前言 ....................................................................................................................... 1
第2 章 .................................................................................................................. 5
研究方法 .............................................................................................................. 5
2.1 單根檢定 ...................................................................................................... 6
2.2 向&;#63870;自我迴歸模型( VAR ) .......................................................................... 9
Granger 因果關係檢定 .................................................................................... 10
衝擊反應函&;#63849; ................................................................................................... 11
預測誤差變&;#63842;&;#63849;分解 ...................................................................................... 13
第3 章 ................................................................................................................ 14
資&;#63934;敘述 ............................................................................................................ 14
第4 章 ................................................................................................................ 17
實證結果 ............................................................................................................ 17
4&;#8208;1 單根檢定 .................................................................................................. 17
4&;#8208;2 向&;#63870;自我迴歸模型 ( VAR ) ................................................................... 18
Granger 因果關係檢定 .................................................................................... 19
衝擊反應函&;#63849;分析 ........................................................................................... 20
預測誤差變&;#63842;&;#63849;分解 ...................................................................................... 22
4&;#8208;3 穩健性檢視 .............................................................................................. 24
第5 章 ................................................................................................................ 27
結語 ..................................................................................................................... 27
&;#63851;考文獻 ............................................................................................................ 29
附圖與附表 ........................................................................................................ 31

1. ALPANDA, S., KOTZ&;Eacute;, K. and WOGLOM, G., 2010b. The role of the exchange rate in
a New Keynesian DSGE model for the South African economy, South African
Journal of Economics, 78: 170&;#8208;191.
2. Chaudhuri K. , Daniel B. C., 1998. Long&;#8208;run Equilibrium Real Exchange Rates and
Oil Prices, Economics Letters, 58(2):231&;#8208;8.
3. Caporale, G. M., Gil&;#8208;Alana, L. A.,2010. Testing PPP for the South African Rand/US
Dollar Exchange Rate at Different Frequencies, Economics and Finance Working
Paper, Brunel University, 10&;#8208;11.
4. Cody, B.J., Mills, L.O., 1991. The Role of Commodity Prices in Formulating
Monetary Policy. Review of Economics and Statistics 73, 358–365.
5. Frankel, J. A., 2007. On The Rand: Determinants of The South African Exchange
Rate, South African Journal of Economics, 75, 425&;#8208;441
6. Kargbo, J.M., 2004. Purchasing power parity and exchange rate policy reforms in
Africa, The South African Journal of Economics, 72, 258&;#8208;81.
7. Marquis, M.H., Cunningham, S.R., 1990. Is There a Role of Commodity Prices in
the Design of Monetary Policy? Some Empirical Evidence. Southern Economic
Journal 57, 394–412.
8. Ocran, Matthew Kofi, and Nicholas Biekpe.,2007. The role of commodity prices in
Macroeconomic policy in South Africa. South African Journal of Economics 75.2,
213&;#8208;220.
9. Ronald Macdonald &; Luca Antonio Ricci, 2004. Estimation Of The Equilibrium
Real Exchange Rate For South Africa, South African Journal of Economics,Economic Society of South Africa, vol. 72(2), pages 282&;#8208;304, 06.
10. Saayman, A., 2007. The real equilibrium Rand/US Dollar exchange rate: A
comparison of alternative measures, International Advances in Economic
Research, 13:183&;#8208;199.
11. Toda, H.Y., Yamamoto, T., 1995. Statistical Inference in Vector Autoregression with
Possibly Integrated Processes. Journal of Econometrics 66, 225–250.
12. 陳旭昇(2011),時間序&;#63900;分析-總體經濟與財務&;#63754;融之應用,東華書局。
13. 楊奕農(2011),時間序&;#63900;分析-經濟與財務上之應用(二版),雙&;#63854;書&;#63784;有限公司。

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