跳到主要內容

臺灣博碩士論文加值系統

(44.192.94.177) 您好!臺灣時間:2024/07/21 18:59
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

: 
twitterline
研究生:林俊宏
研究生(外文):LIN,JYUN-HONG
論文名稱:台幣與總體經濟及亞洲各國匯率之關聯性分析
論文名稱(外文):Testing the Co-movement between New Taiwan Dollar and Macroeconomic Factors and Asian Foreign Exchange Markets
指導教授:簡明哲簡明哲引用關係
口試委員:吳孟道周秀霞
口試日期:2016-07-21
學位類別:碩士
校院名稱:國立臺北大學
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:2016
畢業學年度:104
語文別:中文
論文頁數:59
中文關鍵詞:均等變異數檢定匯率
外文關鍵詞:Equal Variance TestExchange Rate
相關次數:
  • 被引用被引用:5
  • 點閱點閱:395
  • 評分評分:
  • 下載下載:106
  • 收藏至我的研究室書目清單書目收藏:0
影響外匯市場的因素一直是國內外學者所熱衷研究的議題,本文針對台幣兌美元匯率與股價、利率及國際原油價格等總體經濟因素及與台灣貿易往來頻繁或競爭激烈的亞洲各國貨幣的關聯性進行探討。由於傳統的共整合檢定法只能檢定總體經濟及亞洲各國匯率與台幣是否具長期均衡關係,但無法分析其間連動關係的強弱,本文採用Yang et al. (2014) 提出的均等變異數檢定來探討台幣與總體經濟及亞洲各國匯率連動關係的緊密程度。

研究結果顯示台幣匯率與股價、利率及原油價格並不存在長期均衡關係,但在短期存在連動關係且隨著不同研究期間而有所變動,第一次金融風暴後股價及油價與台幣之關聯性較利率與台幣之關聯性強,亦即國際金融市場對台幣匯率的影響在第一次金融風暴之後逐漸加深。台幣與亞洲各國匯率關聯性的強弱亦會隨著研究期間的不同而改變,本研究結果顯示台幣兌美元匯率與新加坡幣、韓圜、馬來西亞幣、泰銖與港幣存在長期均衡的關係,在全樣本期間及第一次金融風暴時泰銖及馬來西亞幣對台幣的關聯性最強,第二次金融風暴時新加坡幣及澳幣與台幣的關聯性開始逐漸轉強並延續至2015年年底。

Factors influencing foreign exchange market had been heavily studied by researchers. The major objective of this study is to test the co-movement between New Taiwan Dollar (NTD) and some macroeconomic factors such as stock prices, interest rate, and oil prices and those foreign exchange markets of major trading partners of Taiwan in Asia. Other than traditional co-integration test which can only analyze the existence of long run equilibrium relationships, this study utilizes the equal variance test proposed by Yang et al. (2014) to analyze the co-movement relationships between NTD and some macroeconomic factors and Asian foreign
exchange markets.
Results show that there exist no long run equilibrium relationships between NTD and stock prices, interest rate, and oil prices. Different sample periods exhibit different co-movement relationships between NTD and stock prices, interest rate and oil prices. Among these, periods after Asian financial crisis, the co-movement relationships between NTD and stock and oil prices are found to be stronger than that of interest rate. It implies that NTD is more closely affected by the international financial market after Asian financial crisis. Long run equilibrium relationships are found existed between NTD and Singapore, Korean, Malaysia, Thailand, and Hong Kung currencies. Among these, Thailand and Malaysia are found to have stronger co-movement relationships with NTD during Asian financial crisis. Co-movement relationships between NTD and Singapore and Australia currencies become stronger
after the second financial crisis.

第一章 緒論 1
第一節 研究動機及背景 1
第二節 研究目的 3
第三節 研究架構 3
第二章 文獻回顧 5
第一節 匯率與利率關係之文獻回顧 5
第二節 匯率與股價關係之文獻回顧 7
第三節 匯率與油價關係之文獻回顧 8
第四節 小結 10
第三章 研究方法 11
第一節 理論基礎 11
一、利率對匯率的影響 11
二、股價對匯率的影響 12
第二節 單根檢定 14
一、 Augmented Dickey-Fuller單根檢定(ADF) 14
二、Phillips-Perron單根檢定(PP) 15
三、Dickey-Fuller Test with GLS單根檢定(DF-GLS) 16
第三節 Granger因果關係檢定 17
第四節 共整合檢定 18
第五節 均等變異數檢定 19
一、模型假設 20
二、使用OLS估計共整合誤差項平方之漸近分配 23
三、檢定統計量 25
第四章 實證結果分析 28
第一節 資料來源及說明 28
一、台幣兌美元匯率與利率、股價及油價 28
二、台幣兌美元匯率與亞洲各國匯率 29
三、敘述統計分析 29
第二節 台幣匯率與利率、股價及油價之關聯性檢定結果 32
一、單根檢定 32
二、Granger因果關係檢定 34
三、共整合檢定 35
四、均等變異數檢定 36
第三節 台幣匯率與亞洲各國匯率關聯性之檢定結果 40
一、單根檢定 40
二、Granger因果關係檢定 42
三、共整合檢定 44
四、均等變異數檢定 46
第五章 結論與建議 51
第一節 研究結論 51
第二節 研究建議 53
參考文獻 54
附錄 59

一、 中文文獻

1. 史大麗 (2012),亞太新興市場股價、匯率與利率之價格行為-Panel共整合
與VAR模型之應用,國立雲林科技大學管理研究所博士班財金組,博士論文
2. 柏婉貞 (2010),「油價可以解釋實質匯率之走勢嗎?亞洲新興國家之驗證」,
東吳經濟商學學報,69,29-46。
3. 陳仕偉與陳姿君 (2011),「匯率引導股價或股價引導匯率?G-7的實證研究」
,經濟與管理叢論,7(1),101-133。
4. 陳旭昇 (2009),時間序列分析:總體經濟與財務金融之應用,東華書局,修
訂初版。
5. 陳翊鏵 (2001),台灣利率、匯率互動之實證研究,東華大學國際經濟研究所
,碩士論文。
6. 陳鳳琴 (2011),「油價影響實質匯率乎?亞洲地區之實證」,中華管理評論國
際學報,14(3)。


二、 英文文獻

1. Ajayi, R.A., and M. Mougoue (1996),“On the Dynamic Relation Between Stock
Prices and Exchange Rates,”Journal of Financial Research,19,193-207.
2. Amano, R.A., and S. Norden (1998),“Oil Prices and the Rise and Fall of the U.S.
Real Exchange Rate,”Journal of International Money and Finance,17,299-316.
3. Brailsford, T., H. W. Penm, and C. D. Lai (2006),“Effectiveness of High Interest
Rate Policy on Exchange Rates: A Reexamination of the Asian Financial Crisis,
”Journal of Applied Mathematics and Decision Sciences,2006(4),1-9.
4. Camarero, M., and C. Tamarit (2002),“Oil Prices and Spanish Competitiveness:
A Cointegrated Panel Analysis,”Journal of Policy Modeling ,24,591-605.
5. Clarida, R., and J. Gali (1994),“Sources of Real Exchange Rate Fluctuations:
How Important Are Nominal Shocks?”Carnegie-Rochester Conference Series
on Public Policy,41,1-56.
6. Cologni, A., and M. Manera (2008),“Oil Prices,Inflation and Interest Rates in a
Structural Cointegrated VAR Model for the G-7 countries, ”Energy Economics,
30(3),856-888.
7. Cooper, R. V. L. (1974), “Efficient Capital Markets and the Quantity Theory of
Money, ”Journal of Finance,29(3),887-908.
8. Davidson, J. (2002), “Establishing Conditions for the Functional Central Limit
Theorem in Nonlinear and Semiparametric Time Series Processes, ”Journal of
Econometrics,106(2),243-269.
9. Dickey, D. A., and W. A. Fuller (1979), “Distribution of the Estimators for
Autoregressive Time Series with a Unit Root, ”Journal of the American
Statistical Association,74(366),427-431.
10. Elliott, G., T. J. Rothenberg, and H. S. James (1996), “Efficient Tests for an
Autoregressive Unit Root, ”Econometrica,64(4),813-836.
11. Engle, R. F., and C. W. J. Granger (1987), “Co-Integration and Error Correction:
Representation, Estimation, and Testing, ”Econometrica,55(2),251-276.
12. Gente, K., and A. L. Miguel (2006),“Does the World Real Interest Rate Affect the
Real Exchange Rate? The South East Asian Experience,” Journal of International
Trade and Economic Development,15(4), 441-467.
13.Goschen, G. J. (1861), The Theory of Foreign Exchanges, London, Effingham
Wilson Royal Exchange.
14. Granger, C. W. J., and P. Newbold (1974), “Spurious Regressions in Econometrics
, ”Journal of Econometrics,2(2),111-120.
15. Hetemi-J, Abdultiasser and Manuchehr Irandoust (2000),“Exchange Rates and
Interest Rates: Can Their Causality Explain International Capital Mobility,?”
The International Trade Journal,14(3),299-314.
16. Johansen, S. and K. Juselius (1990), “Maximum Likelihood Estimation and
Inference on Cointegreation-with Applications to the Demand for Money, ”
Oxford Bulletin of Economics and Statistics,52(2),169-210.
17.Keynes, J. M. (1923), A Tract on Monetary Reform, London, Macmillan an Co,
Limited.
18. Kiefer, N. M., T. J. Vogelsang, and H. Bunzel (2000), “Simple Robust Testing of
Regression Hypotheses, ”Econometrica,68(3),695-714.
19. Kim, J. K., and R. A. Ratti (2006),“Economic Activity, Foreign exchange Rate,
and the Interest Rate During the Asia Crisis,”Journal of Policy Modeling,28(4),
387-402.
20. Kim, K.H. (2003),“Dollar Exchange Rate and Stock Price:Evidence From
Multivariate Cointegration and Error Correction Model,”Review of Financial
Economics,12(3),301-313.
21. Lee, C., F. S. Shie, and C. Y. Chang (2012),“How Close a Relationship Does a
Capital Market Have with Other Such Markets?The Case of Taiwan From the
Asian Financial Crisis,”Pacific-Basin Finance Journal, 20(3),349-362.
22. Lin, C.H. (2012),“The Comovement Between Exchange Rate and Stock Prices in
Asian Emerging Markets,”International Review of Economics and Finance,22,
161-172.
23.Markowitz, H. (1952), “Portfolio Selection, ”Journal of Finance,9(1),77-91.
24. Olomola, P.A., and A. V. Adejumo (2006),“Oil Price Shock and Macroeconomic
Activities in Niegeria,”International Research Journal of Finance and Economics,
3,28-34.
25. Pan, M.S., R. C. Fok, and Y. A. Liu (2007),“Dynamic Linkages Between
Exchange Rates and Stock Prices:Evidence From East Asian Markets,”
International Review of Economics and Finance,16(4),503-520.
26. Phillips, P. C., and P. Perron (1988), “Testing for a Unit Root in Time Series
Regression, ”Biometrika,75(2),335-346.
27. Phillips, P. C., S. Ouliaris (1990), “Asymptotic Properties of Residual Based Test
for Cointegration, ”Econometrica,58(1),165-193.
28. Phylaktis, K., and F. Ravazzolo (2005),“Stock Prices and Exchange Rate
Dyynamics,”Journal of International Money and Finance,24,1031-1053.
29. Pi-Anguita, J. V., and V. Joaquin (1999),“A Cointegration Approach to Capital
Mobility: Evidence for Belgium,”Atlantic Economic Journal,27(1),53-59.
30. Rautava, J. (2004),“The Role of Oil Prices and the Real Exchange Rate in
Russia's Economy-A Cointegration Approach,”Journal of Comparative
Economics,32(2),315-321.
31. Said, S. E., and D. A. Dickey (1984), “Testing for Unit Roots in Autoregressive-
Moving Average Models of Unknown Order, ”Biometrika,71(3),599-608.
32. Schwert, G. W. (1989), “Tests for Unit Roots:A Monte Carlo Investigation, ”
Journal of Business and Economic Statistics,7(2),147-159.
33. Tsagkanos, A., and C. Siriopoulos (2013),“A Long-run Relationship Between
Stock Price Index and Exchange Rate:A Structural Nonparametric Cointegrating
Regression Approach,”Journal of International Financial Markets, Institutions and
Money,25,106-118.
34. Vygodina, and V. Anna (2006),“Effects of Size and International Exposure of the
U.S. Firms on the Relationship Between Stock Prices and Exchange Rates,”
Global Finance Journal,17(2),214-223.
35. Yang, L., C. Lee, and F. S. Shie (2014),“How Close a Relationship Does a Captial
Market Have with Other Markets?A Reexamination Based on the Equal
Variance,”Pacific-Basin Finance Journal,26(1),198-226.

QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top