臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：股價報酬(波動)與產出成長(波動)之間關係的探討
作者：李源明 引用關係
作者(外文)：Yuan-Ming Lee
校院名稱：國立中正大學
系所名稱：國際經濟所
指導教授：黃柏農
學位類別：博士
出版日期：2006
主題關鍵詞：波動；代理假說；費雪效果；當期景氣衰退指標；因果關係；股價報酬；經濟成長；門檻(向量)自我迴歸模型；Fisher effect；the Proxy Hypothesis；Volatility；Current depth of recession (CDR)；Causality；Threshold (Vector) Autoregressive；Economic growth；Stock return
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:41
本文以探討「股價報酬與經濟成長間的相關性」為核心，共涵誘T個主要的議題：
第一個議題：「股價報酬與經濟成長間相關性之探討」
本議題共兩部分，第一部分以多國之時間序列資料建構雙變量門檻向量自我迴歸(TVAR)模型，以負向之修正後當期景氣衰退指標(負向MCDR)為門檻變數。目的在於不同景氣條件下，獲得個別國家的股價報酬與經濟成長之間的相關性。第二部分是以橫斷面資料建構單變量門檻自我迴歸(TAR)模型，其目的在於瞭解整體的觀點下，股價報酬與經濟成長之間的相關性。
結果一、「股價報酬對經濟成長」的因果關係：從時間序列模型的結果發現，在體制二「股價報酬對經濟成長」具有正向因果關係，其中以高所得國家最多。本文認為產生此現象的主因是高所得國家普遍存在效率市場。此外橫斷面模型也同樣彰顯這種正向關係。股價報酬對經濟成長具有正向的因果關係，但為何只在體制二有很高比例？其原因就是在景氣擴張期間股價報酬會受到利率或是貨幣供給的影響。
結果二、「經濟成長對股價報酬」的因果關係：雖然「時間序列」或是「橫斷面」模型，都證明「經濟成長對股價報酬」具有顯著的因果關係，但不具普遍性。本文依循Huang and Yang (2004) 的概念進行間接因果關係的驗證之後，發現有半數國家之「經濟成長對股價報酬」是由間接的因果關係所形成的。
第二個議題：「再驗Fama代理假說：探討實質股價報酬、通貨膨脹與實質經濟成長之間的相關性」
本文以多國年資料為研究對象，建構以景氣循環為門檻變數的多變量TVAR模型，其目的在於不同景氣體制下，比較雙變量(實質股價報酬和通貨膨脹)、三變量(加入實質經濟成長)之間的因果關係，並確認「費雪效果」與「代理假說」是否成立？
結果一、Fama「代理假說」以及實質股價報酬與通貨膨脹之間的相關性：「通貨膨脹與實質股價報酬」之間的負相關，是由「實質股價報酬對通貨膨脹」與「通貨膨脹對實質股價報酬」兩種負向因果關係所構成，因此並非負相關就會違反「費雪效果」。在三變量模型中，部分國家透過實質經濟成長的代理效果，使得違反「費雪效果」的現象不再存在，顯示Fama「代理假說」是成立的，但不具普遍性。
結果二、其他四種單向因果關係：多數國家「通膨與實質經濟成長」之間存在相關性，「通膨對實質經濟成長」傾向具有負向的、「實質經濟成長對通膨」傾向具有正向的因果關係。而「實質經濟成長對實質股價報酬」雖存在因果關係但數量不多。在景氣衰退期間多數國家「實質股價報酬對實質經濟成長」傾向具有正向的因果關係。
第三個議題：「探討股價波動與產出波動之間的相關性」
以多國月資料為研究基礎，由Schwert (1989) 模式以及報酬平方分別取得兩類型的波動替代變數，再配合兩種門檻變數，分別建構四組五變量TVAR模型，其目的在於檢視不同外來衝擊與不同景氣條件下，股價波動與產出波動之間的因果關係為何？
結果一、不同外來衝擊下波動之間的因果關係：「標準差波動」模型中多數國家都具有顯著的因果關係，並發現負向衝擊期間的體制二之內存在著不對稱性。若檢視兩體制內的因果關係，則發現是傾向於產出波動領先股價波動，顯然在外來衝擊下，可以透過產出波動來預期股價波動。在「報酬平方波動」模型的結果也有相同的發現。
結果二、不同景氣條件下波動之間的因果關係：在不同景氣條件下，「股價波動與產出波動」之間具有顯著的相關性，其中多數國家的因果關係傾向在景氣擴張期間。另外，若檢視在「標準差波動」模型的結果中的兩種因果關係，則發現傾向於產出波動領先股價波動，而「報酬平方波動」模型的估計結果也有相同的發現。
The main issue of this dissertation is to discuss the relationship between stock return and the economic growth. It includes three topics which are as follows:
Topic 1：The analysis of the relationship between stock returns and economic growth
This chapter contains two parts. In the first part, we use the time series data of 28 nations to construct the threshold vector autoregressive (TVAR) model, in which the “modified current depth of recession (MCDR)” is used as the threshold variable. The second part is to construct the threshold autoregressive (TAR) model by using the cross section data of 49 nations
The empirical result shows that under the time series data, in the most of nations, the stock return has a positive and significant relationship with the economic growth. However, the effect of the economic growth on the stock return is ambiguous. That is, there exists an indirect causality between them. As for the cross section data, the stock return has a positive and significant relationship with the economic growth.
Topic 2：The reexamination of Fama’s “the proxy hypothesis” which analyzes the relationship between real stock returns, inflation and real economic growth
In this chapter, we not only construct the TVAR model by using the MCDR as the threshold variable but also extend the single country to multi-countries. The purpose of this chapter is to reexamine Fama’s “the proxy hypothesis” which analyzes the causality among real stock returns, inflation and real economic growth, under different business cycle regimes.
The empirical findings are: (1) the inflation Granger-causality the real stock returns, which violates the “Fisher effect”, (2) in the three variables TVAR model, the “the proxy hypothesis” holds when using the real economy growth rate as the proxy variable, but this hypothesis cannot be completely applied to all countries, (3) there exists the two-way Granger-causality between inflation and the real economic growth and (4) the real stock return has a positive relation with the real economic growth under the recession regime.
Topic 3：The analysis of the relationship between stock market volatility and output growth volatility
To analyze the relationship between the stock market volatility and output growth volatility, we use monthly data of multi-countries to build the TVAR model in which we take the business cycle and economic shocks into consideration. Monthly volatility can be represented by the return square item or obtained from Schwert’s (1989) method. In this chapter we use both ways to constructs models and discuss them respectively.
The empirical results are: (1) there exists the two-way Granger-causality between the stock market volatility and output growth volatility under different business cycle regimes and shock regimes, (2) when using the shock (standardizing error of GJR-GARCH model of stock returns) as the threshold variable, in the most of nations, the stock market volatility has a strong relation with the output growth volatility under the negative shock regime and (3) when using the negative MCDR as the threshold variable, the stock market volatility has a relation with the output growth volatility under the recession and expansion regimes. However, there are more nations in the expansion regime than in the recession regime.
一、中文文獻
王甡 (1995)，「報酬衝擊對條件波動所造成之不對稱效果－台灣股票市場之實證研究分析」，《證券市場發展季刊》，7，125-161。new window
李建興 (2000)，「貨幣需求結構改變與金融變數轉折區間：變數模糊時間序列模型」，政治大學中山人文社科所博士論文。new window
李建強和陳祖?(2004)，「股價報酬是經濟成長的領先指標嗎？門檻向量迴歸模型的應用」，第五屆全國實證經濟學論文研討會發表之論文。
林向愷、黃裕烈和管中閔 (1998)，「景氣循環轉折點認定與經濟成長率預測」，《經濟論文叢刊》，26，431-457。new window
林師模 (1995)，「台灣股報酬與貨幣供給之關聯性－頻譜分析與向量自我迴歸結果探討」，《管理科學學報》，12，437-463。
吳德明 (1997)，「台灣實質股票報酬率與通貨膨脹率之研究」，淡江大學財務金融所未出版碩士論文。
徐士勛和管中閔 (2001)，「九O年代台灣的景氣循環：馬可夫轉換模型與紀卜斯抽樣法的應用」，《人文及社會科學季刊》，13，515-540。
徐之強 (2001)，「多次結構變動下趨勢穩定與差分穩定之認定－台灣總體資料實證研究」，《經濟論文》，29，321-339。new window
徐培 (1994)，「台灣股票報酬率與通貨膨脹率的關係－代理效果假說與名目契約假說之檢定」，中正大學財務金融所未出版碩士論文。
梁發進 (1989)，「台灣之貨幣供給、股票價格與通貨膨脹」，《臺灣銀行季刊》，40，1-27。new window
姜文怡 (2000)，「股價報酬預測產出之不對稱性效果」，淡江大學財務金融研究所未出版碩士論文。
孫明芳 (2003)，「台灣實質股票報酬率、通膨不確定與通貨膨脹之因果關係」，台北大學經濟研究所未出版碩士論文。
倪衍森與徐光耀 (1999)，「臺灣股市波動性的傳遞性研究」，《淡江人文社會學刊》，4，171-202。
陳元保 (1999)，「股市波動與經濟波動的因果關係」，《經濟專論》(195)，台北：中華經濟研究院出版。
黃柏農 (1998)，「台灣的股價與總體變數之間的關係」，《證券市場發展季刊》，104，89-109。new window
黃德芬 (1995)，「臺灣股票市場波動性之研究」，《證券市場發展季刊》，7，157-183。new window
楊英英 (2002)，「通貨膨脹與經濟成長¬臺灣實證研究」，中正大學國際經濟研究所未出版碩士論文。
詹世煌、雪邧n與謝宗佑(2003)，「股價波動特性之影響因素」，《風險管理學報》，5，167-193。new window
藍淑鳳 (2001)，「股價報酬與經濟成長-亞洲新興國家之實證研究」，逢甲大學企業管理研究所未出版碩士論文。new window
譚崇台 (2004)，《發展經濟學》，台北：五南圖書出版。

二、西文文獻
Aylward, A. and Glen, J. (2000), “Some International Evidence on Stock Prices as Leading of Economic Activity,” Applied Financial Economics, 10, 1-14.
Azariadis, C. and Smith, B. (1996), “Private Information, Money, and Growth: Indeterminacy, Fluctuations, and the Mundell-Tobin Effect,” Journal of Economic Growth, 1, 309-332.
Balduzzi, P. (1995), “Stock Returns, Inflation, and the Proxy Hypothesis：a New Look at the Data,” Economics Letters, 48, 47-53.

Bai, J. and Perron, P. (2003), “Computation and Analysis of Multiple Structural Change Models,” Journal of Applied Econometrics, 18, 1-22.
Barro, R.J. (1990), “The Stock Market and Investment,” The Review of Financial Studies, 3, 115-131.
Barro, R. J. (1991), “Economic Growth in a Cross Section of Countries,” Quarterly Journal of Economics, 106, 407-443.
Baxter, M. and King, R. (1995), “Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series,” National Bureau of Economic Research Working paper, No.5022, New York.
Beaudry, P. and Koop, G. (1993), “Do Recessions Permanently Change Output?” Journal of Monetary Economics, 31, 149-163.
Bekaert, G., Harvey, R. and Lundblad, C. (2001), “Emergine equity markets and economic development,” Journal of Development Economics, 66, 456-504.
Bingswinger, M. (2000), “Stock Market Booms and Economic Activity：Is This Time Different ?” International Review of Economics and Finance, 9, 387-415.
Bingswinger, M. (2004), “Stock Returns and Real activity in G-7 Counties：Did the Relationship Change During the 1980s?” The Quarterly Review of Economics and Finance, 44, 237-252.
Blanchard, O. J. (1981), “Output, the Stock Market, and Interest Rates,” American Economic Review, 7, 132-143.
Bollerslev, T. (1986), “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Economics, 31, 307-327.
Bollerslev, T. and Bollerslev, T. (1990), “A Multivariate Generalized ARCH Approach to Modeling Risk Premia in Forward Foreign Exchange Rate Markets, ”Journal of International Money and Finance, 9, 309-324.
Bollerslev, T., Chou, R.P. and Kroner, K.F. (1992), “ARCH Modeling in Finance,” Journal of Economics, 52, 5-59
Bollerslev, T. and J. Wooldridge (1992), “Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with Varying Covariance,” Econometric Reviews, 11, 143-172.
Brandt, M.W. and C.S. Jones (2005), “Volatility Forecasting with Range-Based EGARCH Models,” Working Paper, University of Pennsylvania, USA.
Bruno, M. and Easterly, W. (1998), “Inflation Crises and Long-run Growth,” Journal of Monetary Economics, 41, 3-26.
Bullard, J. and Keating, D.H. (1995), “The Long-Run Relationship between Inflation and Output in Postwar Economics,” Journal of Monetary Economics, 36, 477-496.
Caporale, G.M. and Spagnolo, N. (2003), “Asset Prices and Output Growth Volatility: The Effects of Financial Crises,” Economics Letters, 79, 69-74.
Caporal, T. and Jung, C. (1997), “Inflation and Real Stock Prices,” Applied Financial Economics, 7, 265-266.
Chan, K.S. and Tong, H.（1990）, “On Likelihood Ratio Tests for Threshold Autoregression,” Journal of the Royal Statistical Society, 52, 469-476.
Chernick, M.R. (1999), Bootstrap Methods: A Practitioners Guide, WILEY Press.
Choi, J.C., Hauser, S. and Kopecky, K. J. (1999), “Does Stock Market Predict Real Activity? Time Series Evidence from the G-7 Country,” Journal of Banking and Finance, 23, 1771-1792.
Chou, R.Y. (2005), “Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model,” Journal of Money Credit and Banking, 37, 561-582.
Chow, G. (1960), “Test of Equality between Sets of Coefficients in Two Linear Regressions,” Econometrica, 28, 591-605.
Cochran, S. and Defina, R. (1993), “Inflation’s Negative Effects on Real Stock Prices: New Evidence and a Test of Proxy-Effect Hypothesis,” Applied Economics, 25, 263-274.
Cozier, B.V. and Rahman, A.H. (1988), “Stock Return, Inflation, and Real Activity in Canada,” Canadian Journal of Economics, 21, 759-774.
Darby, M.R. (1975), “The Financial and Tax Effects of Monetary Policy on Interest Rates, ” Economic Enquiry, 13, 266-276.
Davis, N. and Kutan, A.M. (2003), “Inflation and Output as Predictors of Stock Return and Volatility: International Evidence,” Applied Financial Economics, 13, 693-700.

De Gregorio, J. and Guidotti, P.E. (1995), “Financial Development and Economic Growth,” World Development, 23, 433-448.
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.
Deidda, L. and Fattouh, B. (2002), “Non-Linearity between Finance and Growth,” Economics Letters, 74, 339-345.
Dolian, D.L. and Louton, D.A. (1995), “Business Cycle Asymmetry and Stock Market,” The Quarterly Review of Economic and Finance, 35, 451-65.
Domian, D. and Louton, D. (1997), “A Threshold Autoregression Analysis of Stock Returns and Real Economic Activity,” International Review of Economics and Finance, 6, 167-179.
Dufour, J. M. and Renault, E. (1998), “Short Run and Long Run Causaliyt in Time Series: Theory,” Econometrica, 66, 1099-1125.
Enders, W. (2004), Applied Econometric Time Series, Wiley Press.
Engle, R.F. (1982), “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation,” Econometrica, 50, 4, P.987-1008.
Engle, R.F. and Granger, C.W.J. (1987), “Co-Integration and Error-Correction：Representation and Testing,” Econometrica, 55, 251-276.
Engle, R.F. and Ng, V.K. (1993), “Measuring and Testing the Impact of New on Volatility,” Journal of Finance, 48, 1749-78.
Fama, E.F. (1965), “The Behavior of Stock Market Prices,” Journal of Business, 38, 34-105.
Fama, E.F. (1981), “Stock Return, Real Activity, Inflation and Money,” American Economic Review, 71, 545-546.
Fama, E.F. (1990), “Stock Return, Expected Return, Real Activity,” The Journal of finance, 71 545-546.
Feldstein, M. (1976), “Inflation, Income, and the Rate of Inflation,” American Economic Review, 66, 809-820.
Fernandez Valdovinos, C.G. (2003), “Inflation and Economic Growth in The Long Run,” Economics Letters, 80, 167-173.
Fisher, I. (1930), The Theory of Interest, Macmillian, New York.
Fornari, F. and Mele, A. (1995), “Sign and Volatility-Switching ARCH Model Theory and Volatility,” Journal of Applied Econometrics, 12, 49-56.
Franses, P.H. and Dijk, V.（2000）, Nonlinear Time Series Models in Empirical Finance, Cambridge University Press.
Gallant, A.R., Rossi, P.E. and Tauchen, G. (1995), “Stock Price and Volume,” Review of Finance Studies, 5, 199-242.
Gallagher, L.A. and Taylor, M.P. (2002), “The Stock Return-Inflation Puzzle Revisited,” Economics Letters, 75, 147-156.
Geske, R. and Roll, R. (1983), “The Fiscal and Monetary Linkage between Stock Returns and Inflation,” The Journal of Finance, 38, 1-33.
Granger, C.W.J. and Newbold, P. (1974), “Spurious Regressions in Economics,” Journal of Econometrics, 2, 111-120.
Granger, C.W.J. and Terasvirta, T. (1993), Modeling Non-linear Economic Relationships, Oxford: Oxford University Press.
Hamilton, J.D. and Lin, G. (1996), “Stock Market Volatility and the Business Cycle,” Journal of Applied Economics, 11, 573-93.
Hansen, B.E. (1996), “Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis,” Econometrica, 64, 413-430
Hansen, B. (1999), “Threshold Effects in Non-Dynamic Panels: Estimation, Testing and Inference,” Journal of Econometrics, 93, 345-368.
Hassapis, C. (2003), “Financial Variables and Real Activity in Canada,” Canadian Journal of Economics, 36, 421-442.
Henry, O. T. and Olekalns, N. (2000), “The Effect of Recessions on Output Variability and Growth,” Southern Economic Journal, 68, 683-692.
Henry, O.T., Olekalns, N. and Thong, J. (2004), “Do Stock Market Returns Predict Changes to Output? Evidence from a Nonlinear Panel Data Model,” Empiral Economics, 29, 527-540.
Hu, X. and Willett, T. D. (2000), “The Variability of Inflation and Real Stock Returns,” Applied Financial Economics, 10, 655-665.
Huang, B.N. and Yang, C.W. (2004), “Industrial Output and Stock Price Revisited：An Application of the Multivariate Indirect Causality Model,” The Manchester School, 72, 347-362.
Huang, B.N., Hwang, M.J. and Peng, H.P. (2005), “The Asymmetry of the Impact of Oil Price Shocks on Economic Activities: An Application of the Multivariate Threshold Model,” Energy Economics, 27, 455-476.
Hung, F.S. (2001), “Inflation and Economic Growth in Financial Markets with Adverse Selection and Costly State Verification,” Academia Economic Papers, 29, 67-89.
Hussey, R. (1992), “Nonparametric Evidence on Asymmetry in Business Cycles Using Aggregate Employment Time Series,” Journal of Econometrics, 51, 217-231.
Hull, J. and White, A. (1987), “The Pricing of Options on Assets with Stochastic Volatilities,” The Journal of Finance, 42, 281-300.
Johansen, S. (1991), “Estimation and Hypothesis Testing of Cointegration Vector in Gaussian Vector Autoregressive Models,” Economica, 59, 1551-1580.
Johansen, S. (1995), Likelihood-based Inference in Cointegrated Vector Autoressive Models, Oxford University Press.
Jones, L.E. and Manuelli, R.E. (1993), “Growth and Effects of Inflation,” NBER Working paper, No.4523.
Kaul, G.. (1987), “Stock Returns and Inflation: the Role of the Monetary Sector,” Journal of Financial Economics, 18, 253-276.
Kaul, G.. (1990), “Monetary Regimes and Relation between Stock Returns and Inflationary Expectations,” Journal of Financial and Quantitative Analysis, 25, 307-321.
Khan, M. and Senhadji A. (2001), “Threshold Effects in the Relationship between Inflation and Growth,” IMF Staff Papers, 48(1), 1-21.
Kim, D. and Kon, S.J. (1994), “Alternative Models for the Conditional Heteroscedasticity of Stock Returns,” Journal of Business, 67, 536-563.
Kim, J.R. (2003), “The Stock Return-Inflation Puzzle and the Asymmetric Causality in Stock Returns, Inflation and Real Activity,” Economics Letters, 80, 155.-160.
King, R.G. and Levine, R. (1993), “Finance and Growth: Schumpeter might Be Right,” Quarterly Journal of Economics, 108, 717-737.
Koutmos, G. (1998), “Asymmetries in the Condition Mean and the Conditional Variance: Evidence from Nine Stock Markets,” Journal of Economics and Business, 50, 277-290.
Lee, B.S. (1992), “Causal Relations among Stock Returns, Interest Rates, Real Activity, and Inflation,” Journal of Finance, 47, 1591-1603.
Lee, U. (1996), “Further Empirical Tests of the Proxy-Hypothesis: Some International Evidence,” Journal of International Financial Markets, Institutions and Money, 6, 35-46.
Levine, R. and Zervos, S. (1996), “Stock Market Development and Long-Run Growth,” The World Bank Economic Review, 10, 323-339.
Li, W. and Lam, K. (1995), “Modelling Asymmetry in Stock Returns by a Threshold Autoregressive Conditional Heteroscedastic Model,” The Statistician, 44, 333-341.
Lintner, J. (1975), “Inflation and Security Returns,” Journal of Finance, 30, 259-280.
Liu, Y., Hsueh, L. and Clayton, R. (1993), “A Re-Examination of the Proxy-Effect Hypothesis,” Journal of Financial Research, 16, 261-268.
Mandelbrot, B. (1963), “The Variation of Certain Speculative Prices,” Journal of Business, 36, 294-319.
Mankiw, N.G., Romer, D. and Weil, D.N. (1992), “A Contribution to the Empirics of Economic Growth,”Quarterly Journal of Economics, 107, 407-437.
Mauro, P. (2003), “Stock Returns and Output Growth in Emerging and Advanced Economies,” Journal of Development Economics, 71, 129-153.
McCarthy, J., Najand, M. and Seifert, B. (1990), “Empirical Tests of the Proxy Hypothesis,” Financial Review, 25, 251-263.
Morelli, D. (2002), “The Relationship between Conditional Stock Market Volatility and Conditional Macroeconomic Volatility Empirical Evidence Base on UK Data,” International Review of Financial Analysis, 11, 101-110.
Morgan, I.G. (1976), “Stock Price and Heteroskedasticity,” Journal of Business, 49, 496-508.
Mundell, R. (1963), “Inflation and Real Interest,” Journal of Political Economy, 71, 280-283.
Nelson, C.R. (1976), “Inflation and Rates of Return on Common Stocks,” Journal of Finance, 31, 471-483.
Officer, R.R. (1973), “The Variablitity of the Market Factor of New York Stock Exchange,” Journal of Business, 46, 434-453.
Perron, P. (1989), “The Great Crash, the Oil Price Shock and Unit Root Hypothesis,” Econometrica, 57, 1361-1401.
Pesaran, M.H., and Potter, S.M. (1997), A Floor and Ceiling Model of US Output, Journal of Economic Dynamics and Control, 21, 661-695.
Pesaran, M.H., Shin, Y. and Smith, R.J. (2001), “Bounds Testing Approaches to the Analysis of Long-Run Relationship,” Journal of Applied Econometrics, 16, 289-326.
Rabemananjara, R. and Zakolin, J.M. (1993), “Threshold ARCH Models and Asymmetries in Volatility,” Journal of Applied Econometrics, 8, 31-49.
Said, S.E. and Dickey, D.A. (1984), “Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order,” Biometrika, 71, 599-607.
Sarantis, N. (2001), “Nonlinearities, Cyclical Behavior and Predictability in Stock Markets: International Evidence,” International Journal of Forecasting, 17, 459-482.
Sarel, M. (1996), “Nonlinear Effects of Inflation on Economic Growth,” IMF Staff papers, 43, 199-215.
Schwert, G.W. (1989), “Why does Stock Market Volatility change over time？,” The Journal of Finance, 44, 1115-1153.
Schwert, G.W. (1990), “Stock returns and real activity：A century of evidence,” Journal of Finance, 45, 1237-1257.
Schwert, G.W. (1990), “Stock Market Volatility,” Financial Analysts Journal, 46, 23-34.
Sill, D.K. (1993), “Predicting Stock Market Volatility,” Business Review - Federal Reserve Bank of Philadelphia, Philadelphia: Jan-Feb 1993, 15-28.
Silvapulle, P., Silvapulle, M. and Tan, J. (1999), “Testing for Asymmetry in the Relationship between the Malaysian Business Cycle and the Stock Market,” Quarterly Journal of Business and Economics, 38, 16-27.
Tobin, J. (1965), “Money and Economic Growth,” Econometrica 33, 671-684.
Tong, H. (1978), “On a Threshold Model, in C.H. Chen (ed.) Pattern Recognition and Signal Processing,” Amsterdan: Sijthoff & Noordhoff, 101-141.
Tong, H. and Lim, K.S. (1980), “Threshold Autoregressions, Limit Cycles, and Data,” Journal of the Royal Statistical Society, 42, 245-92. (with discussion)
Tsay, R.S.(1989), “Testing and Modeling Threshold Autogressive Processes,” Journal of American Statistical Association, 84, 231-40.
Tsay, R.S. (1998), “Testing and modelling multivariate threshold models,” Jouranl of the American Statistical Association, 93, 1188-1202.
Tsay, R.S. (2002), Analysis of Financial Time Series, John Wiley & Sons.
Weise, C.L. (1999), “The Asymmetric Effects of Monetary Policy: a Nonlinear Vector Autoregression Approach,” Journal of Money, Credit, Banking, 31, 85-108.
Zakoian, J.M. (1994), “Threshold Heteroskedastic Models,” Journal of Economic Dynamics and Control, 18, 931-955.
Zivot, E. and Andrews, D.W.K. (1992), “Further Evidence on the Great Crash, the Oil Price Shock, and the Unit-Root Hypothesis,”Journal of Business and Economic Statistic, 10, 251-270.
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
:::
無相關著作
 
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：634（臺灣：627，外國：7） ／ 本年度總使用人次：1931025 ／ 訪客人次（自102年09月）：67723751
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上