:::

詳目顯示

回上一頁
題名:貨幣需求、匯率及股價預測
作者:胡育豪
作者(外文):Yu-Hau Hu
校院名稱:國立中正大學
系所名稱:國際經濟所
指導教授:吳致寧
學位類別:博士
出版日期:2007
主題關鍵詞:樣本外預測通貨替代貨幣需求匯率股價currency subsititutionmoney demandexchange ratestock priceout-of-sample predictability
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:22
本篇論文包含三個獨立的主題。 第一篇的主題是重新估計台灣貨幣需求模型。修正傳統貨幣需求函數,考慮開放經濟下貨幣需求函數存在的通貨幣代效果,並以實質匯率描述此效果存在的可能性。根據實證結果發現,匯率對台灣貨幣的長期的穩定關係具有決定性的影響。在估計出正確的長期關係後,由於線性的誤差修正模型在描述短期誤差調整可能存在模型誤設的問題,若考慮調整可能存在的交易成本,利用非線性誤差修正模型估計,實證發現非線性模型的估計結果較能解釋短期調整過程。
第二個主題目的是解決國際金融領域中的Meese-Rogoff puzzle(1983),此關係主要是認為名目匯率和總體基本面之間並不存在穩定的連結關係。 此篇主題強調 Harrod-Balassa-Samuelson效果對於描述正確的短期誤差值的重要性,並重新進行名目匯率的預測。 資料主要是在1973年後的時期,研究結果發現名目匯率是具有可預測性的。 利用第二個主題的方法,重新觀察美國S&P500指數中,PD ratio對於股價在樣本外的可預測性。根據Gordon(1962)模型認為穩定的PD ratio提供股價報酬的可預測性,但是,如果PD ratio存在結構改變的問題,則股票投資者將會修正股利成長率和貼現率,此時PD ratio的長期均衡將呈現趨勢的改變,因此,認為PD ratio為一個固定的平均值將與實際股票市場的狀況不符。本主題研究期間為1872-2004的美國S&P500的年資料, 研究結果提供一致的樣本內和樣本外的預測,並認為美國股價報酬具有可預測性。
This dissertation is composed of three independent essays. The subject of the first essay is the estimation of money demand in Taiwan. We modify the conventional money demand function by including a real exchange rate variable to reflect the effect of currency substitution. Empirical evidence indicates that the variable is crucial to the long-run stability of Taiwan’s money demand. After finding the failure of a linear error-correction model in describing the dynamics of Taiwan’s money demand, we apply a non-linear error-correction model to examine its dynamics and support the appropriateness of the non-linear model empirically.
The subject of the second essay is to solve the Meese-Rogoff puzzle(1983), one of the well known puzzles in international economics. It concerns the weak relationship between nominal exchange rates and market fundamentals. We emphasize the importance of the Harrod-Balassa-Samuelson effect in modeling deviations from the purchasing power parity fundamental and re-evaluate market fundamentals in forecasting nominal exchange rates. Based on the period of post-Bretton Woods, we provide solid out-of-sample evidence to reject the random walk forecast model at medium-term and long forecast horizons and also find mild evidence for out of sample predictability of nominal exchange rate over short term. Our findings shed new light on understanding the Meese-Rogoff puzzle.
Following the econometric technique in the second essay, we investigate the out-of-sample predictability of real US stock return based on the price-dividend (PD) ratio. Applying the Gordon(1962) growth model, a stable PD ratio provides an apparently plausible explanation for the predictability of stock return. However, if there are the structural changes in stock markets, investors will gradually adjust their expectation on real dividend growth and discount rates, which resulting in a trend movement in long-run equilibrium of the PD ratio. Therefore, it would not make sense to assume that the PD ratio always revert to its constant mean. Using the annual data of S&P500 real stock returns over the period of 1872-2004, we provide strong in-sample and out-of-sample evidence to support return predictability at all forecast horizons when the dynamics of the PD ratio are modeled appropriately. In addition, we show that our bootstrap tests have reasonable high power and correct size, and that the power of bootstrap tests does not increase with forecast horizons given the nonlinear framework.
Abuaf, N. and Jorion, P. (1990) “Purchasing Power Parity in the Long Run,” Journal of Finance 45, 157-174.
Ahking, F.W. (2002) “Model Mis-specification and Johansen’s Cointegration Analysis: An Application to the US Money Demand,” Journal of Macroeconomics 24, 51-66.
Aiyagari, S.R., Gertler, M.,(1991). “Asset Returns with Tansactions Costs and Uninsured Individual Risk,” Journal of Monetary Economics 27, 311–331.
Amato, J.D. and Swanson, N.R. (2001) “The Real-Time Predictive content of Money for Output,” Journal of Monetary Economics 48, 3-24.
Andrews, D. (1991) “Heteroscedasticity and Autocorrelation Consistent Covariance Matrix Estimation,” Econometrica 59, 817-858.
Andrews, D. (1991) “Heteroscedasticity and Autocorrelation Consistent Covariance Matrix Estimation,” Econometrica 59, 817-858.
Arango, S. and Nadiri, M.I. (1981) “Demand for Money in Open Economies,” Journal of Monetary Economies 7, 69-83.
Arize A.C. and Shwiff, S.S. (1993) “Cointegration, Real Exchange Rates and Modeling the demand for broad money in Japan,” Applied Economics 25, 717-726.
Arize, A.C. (1994) “A Re-examination of the Demand for Money in Small” Developing Economics,” Applied Economics 26, 217-227.
Arize, A.C., Malindretos, J. and Christoffersen, S. (2003) “Monetary Dynamics, Exchange Rates and Parameter Instability: An Empirical Investigation,” Journal of Economic Studies 30, 493-513.
Asea, P.K. and Corden, W.M. (1994) “The Balassa-Samuelson Model: An Overview,” Review of International Economics 2, 191-200.
Asea, P.K. and Mendoza, E. (1994) “A Balassa Samuelson Model: A General Equilibrium Appraisal,” Review of International Economics 2, 244-67.
Baba, Y., Hendry, D.F. and Starr, R.M. (1992) “The Demand for M1 in the USA, 1960-1988,” Review of Economic Studies 59, 25-61.
Bahmani-Oskooee, M. (1991) “The Demand for Money in an Open Economy: The United Kingdom.” Applied Economics 23, 1037-1042.
Bahmani-Oskooee, M., and Techaratanchai, A. (2001) “Currency Substitution in Thailand,” Journal of Policy Modeling 23, 141-145.
Bai, J., and P. Perron. (1998). ‘‘Estimating and Testing Linear Models With Multiple Structural Changes.’’ Econometrica 66, 47–78.
Bai, J., and P. Perron. (2003). ‘‘Computation and Analysis of Multiple Structural Change Models.’’ Journal of Applied Econometrics 18, 1–22.
Balassa, B. (1964) “The Purchasing Power Parity Doctrine: A Reappraisal” Journal of Political Economy 72, 584-596.
Balke,N,S and Mark E.Wohar (2002) “Low-Frequency Movement in Stock Prices: A State-space Decomposition,” Review of Economics and Statistics 84, 649-667.
Barsky,R.B. and DeLong,J.B.(1990) “Bull and Bear Markets in the Twentieth Century,” Journal of Economic History, June,265-82
Barsky,R.B. and DeLong,J.B.(1993) “Why Does the Stock Market Fluctuate?”, Quarterly Journal of Economics 108, 291-311.
Berben, R.B. and van Dijik, D.J. (1998) “Does the Absence of Cointegration Explain the Typical Findings in Long Horizon Regressions, Econometrics Institute, Erasmus University of Rotterdam, Report 9814.
Bergamn, U.M. and Hansson, J. (2005) “Real Exchange Rates and Switching Regimes,” Journal of International Money and Finance 24, 121-138.
Bergin, P., Glick, R. and Taylor, A. (2006) “Productivity, Tradability, and the Long-Run Price Puzzle,” Journal of Monetary Economics, forthcoming.
Berkowitz, J. and Giorgianni, L. (2001) “Long-Horizon Exchange Rate Predictability? Reviews of Economics and Statistics 83, 81-91.
Bossaerts, P., Hillion, P.(1999). “Implementing statistical criteria to select return forecasting models: what do we learn,” Review of Financial Studies 12, 405–428.
Campbell, J.Y. (2000) "Asset Pricing at the Millennium," Journal of Finance 55, 1515-1567,
Campbell, J.Y. and Ammer, J. (1993) “What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns,” Journal of Finance 48, 3-37.
Campbell, J.Y. and Kyle, A., (1993) “Smart Money, Noise Trading, and Stock Price Behavior,” Review of Economic Studies 60, 1-34
Campbell, J.Y, Lo, A.J. and Mackinlay, A.C. (1997) The Econometrics of Financial Markets, Princeton NJ: Princeton University Press.
Campbell, J.Y. and Perron, P. (1991) “Pitfalls and Opportunities: What Macroeconomists should know about Unit Roots.” In O.J. Blanchard and S. Fisher, NBER Macroeconomics Annual, 141-201.
Campbell, J. Y., and Shiller RJ.(1988) “The dividend-price ratio and expectations of future dividends and discount factors,” Review of Financial Studies 1, 195-227.
Campbell, J. Y., and Shiller RJ. (2001) “Valuation Ratios and the Long-Run Stock Market Outlook: An Update.”NBER Working Paper 8221
Carlson,J,B ,Eduard A.Pelz and Mark E.Wohar(2002) “Will Valuation Ratios Resert to Historical Means? Some evidence from break point test,” Journal of Portfolio Management, Summer, 23-35.new window
Chen, Chau-nan(1973) “The monetary effect of devaluation: An alternative interpretation of the cooper paradox,” Western Economic Journal 11,475-480
Cheung, Y.W. and Erlandsson, U.G. (2005) “Exchange Rates and Markov Switching Dynamics,” Journal of Business and Economic Statistics 23, 314-320.
Cheung, Y.-W., Chinn, M.D. and Garcia Pascual, A. (2004) “Empirical Exchange Rate Models of the Nineties: Are They Fit to Survive?” IMF Working paper: 0473.
Chinn, M. and Meese, R. (1995) “Banking on Currency Forecasts: How Predictable Is Change in Money,” Journal of International Economics 38, 161-178.
Clarida, R.H., Sarno, L., Taylor, M.P. and Valente, G. (2003) “The Out-of-sample Success of Term Structure Models as Exchange Rate Predictors: A Step beyond,” Journal of International Economics 60, 61-83.
Clark, T.E (2004) “Evaluating Long-Horizon Forecasts,” Department of Economics, University of Missouri, Working Papers: 0302
Clark, T.E. and McCracken, M.W (2004) “Evaluating Long-Horizon Forecasts,” Department of Economics, University of Missouri, Working Papers: 0302
Clark, T.E. and McCracken, M.W. (2001) “Tests of Equal Forecast Accuracy and Encompassing for Nested Models,” Journal of Econometrics 105, 85-110.
Clark, T.E. and West, K.D. (2006a) “Approximately Normal Tests for Equal Predictive Accuracy in Nested Models,” Journal of Econometrics, forthcoming
Clark, T.E. and West, K.D. (2006b) “Using Out-of-sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis,” Journal of Econometrics 135, 155-186.
Coakley, J. and Fuertes, A.-M. (2006) “Valuation Ratios and Price Deviations from Fundamentals,” Journal of Banking and Finance 30, 2325-46
Cochrane, J. H., (1992) “Explaining the variance of Price-Dividend Ratios,” The Review of financial Studies 5, 243-280
Cochrane, J. H., (1999) “New Facts in Finance,” Economic Perspectives Federal Reserve Bank of Chicago, 23, 36-58.
Cole,K., Jean Helwege and David Laster(1996) “Stock Market Valuation Indicators: Is This Time Different?” Financial Analysts Journal, May/June, 56-64.
Cuddington, J.T. (1983) “Currency Substitutability, Capital Mobility and Money Demand,” Journal of International Money and Finance 2, 111-33.
Cuddington, J.T. and Liang, H. (2000) “Purchasing power Parity over two centuries?” Journal of International Money and Finance 19, 753-757.
Cuthbertson, K. and Taylor, M.P. (1987) “The Demand for Money: A Dynamic Rational Expectations Models,” Economic Journal 97 (supplement), 65-76.
Dacco, R. and Satchell, S. (1999) “Why Do Regime-Switching Models Forecast so Badly?” Journal of Forecasting 18, 1-16.
Davidson, R. and MacKinnon, J.G. (1981) “Several Tests for Model Specification in the Presence of Alternative Hypotheses,” Econometrica 49, 781-93.
De Long, J.B., Shleifer, A., Summers, L.H. and Waldmann, R.J., (1990) “Noise Trader Risk in Financial Markets,” Journal of Political Economy 98, 703-738.
Diebold, F.X and Mariano, R., (1995) “Comparing Predictive Accuracy,” Journal of Business and Economic Statistics 13, 253-262.
Diebold, F.X. and Nason, J.A. (1990) “Nonparametric Exchange Rate Prediction,” Journal of International Economics 28, 315-332.
Doldado, J., Jenkinson, T. and Sosvilla-Rivero, S. (1990) “Cointegration and Unit Roots.” Journal of Economic Surveys 4, 249-273.
Dornbusch, R. (1976) “Expectation and Exchange Rate Dynamics,” Journal of Political Economy 84, 1161-1176.
Dumas, B., (1992) “Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World.” Review of Financial Studies 5, 153–80.
Eitrheim, O. and Terasvirta, T. (1996). “Testing the adequacy of smooth transition autoregressive models,” Journal of Econometrics 74, 59–75.
Elliott, G., Rothenberg, T.J. and Stock, J.H. (1996) “Efficient Tests for an Autoregressive Unit Root,” Econometrica 64, 813-836.
Enders, W. (2004) Applied Econometric Time Series, 2nd Edition, John Wiliey & Sons, Inc.
Engle, R., (1982) “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation,” Econometrica 50, 987-1007.
Engel, C and Hamilton, J.D. (1990) “Long Swings in the Dollar: Are They in The Data and Do Markets Know it?” American Economic Review 80, 689-713.
Engel, C and West, K.D. (2005) “Exchange Rates and Fundamentals,” Journal of Political Economy 113, 485-517.
Engel, C. (1994) “Can the Markov Switching Model Forecast Exchange Rates,” Journal of International Economics 36, 151-165.
Engle, R. (1982) “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation,” Econometrica 50, 987-1007.
Fama, E. F., and K. R. French (1988). “Dividend yields and expected stock returns,” Journal of Financial Economics 25, 23-49.
Fama, E. F., and K. R. French (2002). The equity premium. Journal of Finance, 57(2), 637–659.
Faust, J., Rogers, J., Wright, J. (2003) “Exchange Rate Forecasting: The Errors We Have Really Made,” Journal of International Economics 60, 35-59.
Fitzgerald, D. (2003) “Terms-of-Trade Effects, Interdependence and Cross-Country Differences in Price Levels,” Working Paper, UC Santa Cruz.
Friedman, M. (1956) “The Quantity Theory of Money - A Restatement ” in Studies in the Quantity Theory of Money, Ed. By Milton Friedman, Chicago: University of Chicago Press.
Froot, K. (1991) “The EMS, the EMU, and the Transition to a Common Currency,” in Stanley Fischer and Olivier Balanchard (eds.) National Bureau of Economic Research Macroeconomics Annual, Cambridge, MA: MIT Press.
Froot, K. and Rogoff, K. (1995) “Perspectives on PPP and Long-run Real Exchange Rates,” in Handbook of International Economics, G. Grossman and K. Rogoff (eds.), Amsterdam: North Holland, 1647-88.
Gallagher, L.A. and Taylor, M.P. (2001). “Risky arbitrage, limits of arbitrage, and nonlinear adjustment in the dividend-price ratio,” Economic Inquiry 39, 524–536.
Gilbert, S. (2001) “Sampling Schemes and Tests of Regression Models,” Manuscript, Department of Economics, Southern Illinois University at Carbondale.
Gordon, M.(1962) The Investment, Financing, and Valuation of the Corporation. Irwin, Homewood, IL.
Goyal, A. and Welch, I. (2003) “Predicting the equity premium with dividend Ratios,” Management Science 49, 639—654.
Granger, C.W.J. and T. (1993), Modelling Non-linear Economic Relationships. Oxford: Oxford University Press.
Gregory, A. and Hansen, B. (1996) “Residual-Based Tests for Cointegration in Models with Regime Shifts." Journal of Econometrics 70, 99-126.
Groen, J.J. (2000) “The Monetary Exchange Rate Model as A Long-run Phenomenon,” Journal of International Economics 52, 299-320.
Hamburger, M.J. (1977) “The Demand for Money in an Open Economy.” Journal of Monetary Economics 3, 25-40.
Harbo, I., Johansen, S., Nielsen, B., Rahbek, A.,(1998) “Asymptotic inference on cointegrating rank in partial systems,” Journal of Business Economics and Statistics 16, 388-399.
Harrod, R. (1939) International Economics. Cambridge University Press, Cambridge.
Haug, A.A. and Lucas, R. (1996) “Long-Run Money Demand in Canada: In Search of Stability,” The Review of Economics and Statistics 78, 345-48.
Heaton,J. and Lucas, D.(1999).“Stock prices and fundamentals.”NBER Macroeconomic Annual, 213–241.
Hendry, D.F. and Ericsson, N.R. (1991) “Modeling the Demand for Narrow Money in the United Kingdom and the United States,” European Economic Review 35, 833-86.
Hobijn, B.; Boyan Jovanovic(2001) “The Information-Technology Revolution and the Stock Market: Evidence,” American Economic Review 91, 1203-1220.
Hoffman, D.L. and Rasche, R.H. (1991) “Long-run Income and Interest Elasticities of Money Demand in the United States,” The Review of Economics and Statistics 73, 665-74.
Huang, C.J., Lin, C.-F. and Cheng, J.-C. (2001) “Evidence on Nonlinear Error Correction in Money Demand: the Case of Taiwan.” Applied Economics 33, 1727-1736.
Hueng ,C. James.(1998) “The Demand for Money in an Open Economy: Some Evidence for Canada.” North American Journal of Economics and Finance 9(1), Spring 1998, pp.15-31.
Hueng ,C. James.(2000) “The Impact of Foreign Variables on Domestic Money Demand: Evidence from the United Kingdom.” Journal of Economics and Finance, 24 (2), Summer 2000, pp. 97-109.
Inoue, A. and Kilian, L. (2004) “In-sample or Out-of-sample Tests of Predictability: Which One Should We Use?” Econometric Review 23, 371-402.
Johansen, S. (1991) Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica, 59, 1551-1580.
Johansen, S. (1995) Likelihood-based inference in cointegrated vector autoregressive models, Oxford University Press.
Kanas, A. (2005) “Nonlinearity in the stock price-dividend relation,” Journal of International Money and Finance 24, 583-606.
Kapetanios, G., Shin, Y. and Snell, A., (2003) “Testing for a Unit Root in the Nonlinear STAR Framework,” Journal of Econometrics 112, 359-379.
Kilian, L. (1999) “Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions,” Journal of Applied Econometrics 14, 491-510.
Kilian, L. and Taylor, M.P. (2003) “Why Is It Difficult to Beat the Random Walk Forecast of Exchange Rates?” Journal of International Economics 60, 85-107.
Kuo, B.-S. and Mikkola, A. (2001) “How Sure Are We About Purchasing Power Parity? Panel Evidence with the Null of Stationary Real Exchange Rates,” Journal of Money, Credit and Banking 33, 767-789.
Lanne, M., (2002) “Testing the predictability of stock returns,” Review of Economics and Statistics 84, 407-415.
Liang, J. Nellie, and Steven A. Sharpe(1999). “Share Repurchases and Employee Stock Options and their Implications for S&P 500 Share Retirements and Expected Returns,” Finance and EconomicDiscussion Series 1999-59, Board of Governors of the Federal Reserve, November.
Lothian, J.R. (1990) “A century plus of yen exchange rate behavior,” Japan and the World Economy 2, 47-70.
Lothian, J.R and Taylor, M.P. (2000) “Purchasing Power Parity Over Two Centuries: Strengthening the Case for Real Exchange Rate Stability,” Journal of International Money and Finance 19, 759-764.
Lothian, J.R and Taylor, M.P (2005) “Real Exchange Rates Over the Past Two Centuries: How Important is the Harrold-Balassa-Samuelson Effects?” CEPR working paper.
MacDonald, R. and Marsh, I.W. (1997) “On Fundamentals and Exchange Rates: A Casselian Perspective,” Review of Economics and Statistics 79, 655-664.
MacKinnon, J., Haug, A. and Michelis, L. (1999) “Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration,” Journal of Applied Econometrics 14, 563-77.
Mankiw, Gregory N.(1991) “The Reincarnation of Keynesian Economics,” NBER Working Paper no. 3885.
Manzan, S., (2005) “Nonlinear Mean Reversion in Stock Prices,” working paper, University of Amsterdam.
Mark, N.C and Sul, D. (2001) “Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Small Bretton Woods Panel,” Journal of International Economics 53, 29-52.
Mark, N.C. (1995) “Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability,” American Economic Review 85, 201-218.
Marsh, I.W. (2000) “High-Frequency Markov-Switching Models in the Foreign Exchange Market,” Journal of Forecasting 19, 123-134.
Marshall, D.A., (1993) “Asset Return Volatility with Extremely Small Costs of Consumption Adjustment,” Working Paper, Kellog Graduate School of Management, Northwestern University.
McKinnon, R.I. (1982) “Currency Substitution and Instability in the World Dollar Standard.” American Economic Review 72, 320-333.
Meese, R.A and Rogoff, K. (1983) “Empirical Exchange Rate Models of Seventies: Do They Fit Out-of-sample?” Journal of International Economics 14, 3-24.
Meese, R.A. and Rose A.K. Rogoff (1991) “An Empirical Assessment of Non-linearities in Models of Exchange Rate Determination,” Review of Economic Studies 58, 603-619.
Michael, P., Nobay, R.A. and Peel, D.A. (1997) “Transaction Costs, and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation,” Journal of Political Economy 105, 862-879.
Miller, M.H. and Orr, D. (1966) “A Model of The Demand for Money by Firms.” The Quarterly Journal of Economics 80, 413-435.
Moosa, I.A. (1994) “Testing Non-linearities in Purchasing Power Parity,” Applied Economics Letters 1, 41-43.
Mundell, R.A. (1963) “Capital Mobility and Stabilization Policy under Fixed and Flexible Exchange Rates.” Canadian Journal of Economics and Political Science 29, 475-485.
Nelson, Charles R., and Myung J. Kim (1993) “Predictable stock returns: The role of small sample bias,” Journal of Finance 48, 641-661.
Newey, W.K. and West, K.D(1987) “A Simple Positive Semi-definite Heteroscedasticity and Autocorrelation consistent covariance matrix,” Econometrica 55, 703-708.
Ng, S and Pierre Perron (2001) “Lag Length Selection and the Construction of Unit Root Tests With Good Size and Power,'' Econometrica 69, 1519-1554.
Obstfeld, M. (1993) “Model Trending Real Exchange Rates,” Center for International ands Development Economic Research, working paper no. C93-011.
Obstfeld, M. and Rogoff, K. (2000) “The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?” NBER Macroeconomics Annual 15.
Paya, I., Venetis, I.A. and Peel, D.A. (2003) “Further Evidence on PPP Adjustment Speeds: The Case of Effective Real Exchange Rates and the EMS,” Oxford Bulletin of Economics and Statistics 65, 421-437.
Peel, D.A. and Venetis, I.A. (2003) “Purchasing Power Parity Over two Centuries: Trends and Non-linearity” Applied Economics 35, 609-617.
Pesaran, M.H., Shin, Y. and Smith, R.J. (2000) “Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables,” Journal of Econometrics 97, 293-343.
Ramsey, J.B., (1969) “Tests for Specification Errors in Classical Linear Least Squares Regression Analysis”, Journal of the Royal Statistical Society, Series B 31, 350–371
Rapach,D,E and M E.Wohar(2005) “Valuation Ratios and Long-Horizon Stock Price Predictability,” Journal of Applied Econometrics 20, 327-344
Rapach,D,E and M E.Wohar (2006) “In-Sample vs. Out-of-Sample Tests of Stock Return Predictability in the Context of Data Mining,” Journal of Empirical Finance 13, 231–247.
Richardson, M. and J.H. Stock(1989) “Drawing Inferences from Statistics Based on Mltiyear Asset Returns,” Journal of Financial Economics 25, 323-348.
Ritter, J,R.and Warr R S.(2002) “The Decline of Inflation and the Bull Market of 1982-1999,” Journal of Financial and Quantitative Analysis 37, 29-61
Robertson, D. and Wright, S. (2006) “Dividends, Total Cash Flow to Shareholders, and Predictive Return Regressions,” Review of Economics and Statistics 88, 91-99.
Rossi, B. (2005) “Testing Long-Horizon Predictive Ability with High Persistence, and The Meese-Rogoff Puzzle,” International Economic Review 46, 61-92.
Samuelson P. (1964) “Theoretical Notes on Trade Problem,” Reviews of Economics and Statistics 46, 145-154.
Sarno, L. (1999) “Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991.” International Journal of Finance and Economics 4, 155-177.
Sarno, L. and Taylor, M. (2002) “The Economics of Exchange Rates,” Cambridge: Cambridge University Press.
Sarno, L., Taylor, M. and Peel, D.A. (2003) “Nonlinear Equilibrium Correction in US Real Money Balances, 1869-1997.” Journal of Money, Credit and Banking 35, 787-799.
Schwert,G. W.(1987) “Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data,” Journal of Monetary Economics 20, 73-103
Sercu, P., Uppal, R. and Van Hulle, C., (1995) “The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity.” Journal of Finance 50: 309–19.
Shiller, R. (2005) Irrational Exuberance, Princeton: Princeton University Press, 2000.
Siddique, A. and Sweeney, R.J. (1998) “Forecasting Real Exchange Rates,” Journal of International Money and Finance 17, 63-70.
Siegel, Jeremy(1999). “The Shrinking Equity Premium.” The Journal of Portfolio Management, Fall, pp. 10-17.
Siegel, Jeremy (2002) Stocks for the Long-Run: The Definitive Guide to Financial Market Returns and Long-Term Investment Strategies. New York: McGraw-Hill, 3rd.
Sims, C., Stock, J. and Watson, M.W. (1990) “Inference in Linear Time Series Models with Some Unit Roots.” Econometrica 58, 113-144.
Sollis, R. (2005) “Evidence on Purchasing Power Parity from Univariate Models: The Case of Smooth Transition Trend Stationarity,” Journal of Applied Economics 20, 79-98.
Stambaugh, R. F. (1986) “Bias in Regression with Lagged Stochastic Regressors.” Mimeo, University of Chicago
Stambaugh, R. F. (1999): “Predictive Regressions,” Journal of Financial Economics 54, 375–421.
Stock, J. and Watson, M.W. (1993) “A Simple Estimator of Cointegrating Vectors in Higher Order Integrated System,” Econometrica 61, 783-820.
Summers,L.H.,(1986) “Does the Stock Market Rationally Reflect Fundamental Values?” Journal of Finance 41, 591-601.
Taylor A.M. (2002) “A Century of Purchasing Power Parity,” Review of Economics and Statistics 84, 139-150.
Taylor, A.M. and Taylor, M.P. (2004) “The Purchasing Power Parity Debate” Journal of Economic Perspective 18, 135-158.
Taylor, M.P. and Peel, D.A. (2000) “Nonlinear Adjustment, Long-run Equilibrium and Exchange Rate Fundamentals,” Journal of International Money and Finance 19, 33-53.
Taylor, M.P. and Peel, D.A. and Sarno, L. (2001) “Nonlinear Adjustment in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles,” International Economic Reviews 42, 1015-1042.
(1994) “Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models,” Journal of American Statistic Association 89, 208-18.
(1998) “Modelling Economic Relationships with Smooth Transition Regressions,” In Handbook of Applied Economic Statistics, edited by D.E.A. Giles and A. Ullah, p507-552, New York, NY: Marcel Dekker.
and Eliasson, A.C. (2001) “Non-linear Error Correction and the UK Demand for Broad Money, 1878-1993.” Journal of Applied Econometrics 16, 277-288.
Valkanov, R., (2002) “Long-horizon regressions: Theoretical results and applications,” Journal of Financial Economics 68, 201-232.
Vissing-Jorgenson, A., (1998) “Limited Stock Market Participation,” Dissertation, Massachusetts Institute of Technology.
Wu, Y. (1996) “Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test.” Journal of Money, Credit, and Banking 28, 54-63.
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE