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題名:即期與遠期匯率之市場效率性再檢定
書刊名:臺灣銀行季刊
作者:邱哲修 引用關係邱建良 引用關係廖育成
出版日期:2002
卷期:53:3
頁次:頁53-75
主題關鍵詞:雙變量GARCH-IRF模型Johansen共整合模型
原始連結:連回原系統網址new window
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  • 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)
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  • 共同引用共同引用:11
  • 點閱點閱:5
本文以GARCH-IRF模型搭配Johansen共整合模型來探討加拿大、英國、法國、義大利、德國等之前期匯率與期匯率間的關聯性,包括:即期匯率與遠期匯率間之長期均衡關係、遠期匯率是否來即期匯率的不偏估計值、即期匯率與遠期匯率的因果關係為何,任一市場發生變動時,對彼此市場造成的衝擊。 經對簡單效率市場假說作聯合檢定發現,加拿大、英國與義大利三國的外匯市場並不具效率性,而五國個別之即期匯率與遠期匯率存在有共整合關係。經由單變量GARCH-AR(1)模型和雙變量GARCH-IRF模型估計的結果發現,五種貨幣外匯市場之即期匯率與遠期匯率間存在有回饋(feedback)的因果關係,兩者互為因果相互影響。從衝擊反應函數的圖形可以看出,市場存在一定程序的效率性。
期刊論文
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2.朱浩民、何中達(1995)。外匯市場效率性的另一種檢定--臺灣之實證分析。臺灣經濟金融月刊,31(12)=371,1-8。  延伸查詢new window
3.Alexakis, P.、Apergis, N.(1996)。ARCH Effects and Cointegration: Is the Foreign Exchange Market Efficient?。Journal of Banking and Finance,20,687-697。  new window
4.Barkoulas, J.、Baum, C. F.(1997)。A Re-examination of the Fragilty of Evidence from Cointegration-Based Tests of Foreign Exchange Market Efficiency。Applied Financial Economics,7,635-643。  new window
5.Rapp, T. A.、Sharma, S. C.(1999)。Exchange Rate Market Efficiency: Across and within Countries。Journal of Economics and Business,51,423-439。  new window
6.Barnhart, S. W.、Szakmary, A. C.(1991)。Testing the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots, Co-Integration, and Stochastic Coefficients。Journal of Financial and Quantitative Analysis,26(2),245-267。  new window
7.Callen, M. W.、Chen, L.、Kwan, C. C. Y.(1989)。Spot and Forward Exchange Rates: A Causality Analysis。Journal of Business Finance and Accounting,16,105-118。  new window
8.沈中華(1993)。臺灣遠期美元外匯市場效率性之再檢定--兩狀態Markov模型的應用。經濟論文,21(1),87-115。new window  延伸查詢new window
9.Cornell, Bradford(1977)。Spot rates, forward rates and exchange market efficiency。Journal of Financial Economics,5(1),55-65。  new window
10.邱顯比、葉銀華(1993)。臺灣外匯市場效率性檢定與風險性溢價之研究--Cointegration和ARCH模型。社會科學論叢,41,185-205。  延伸查詢new window
11.Doroodian, C. J. K.、Albarano, R.(1998)。The Unbiased Forward Rate Hyothesis: A Re-examination。Applied Financial Economics,8,567-575。  new window
12.Frenkel, J. A.(1981)。Flexible Exchange Rates, Price, and the Role of News: Lessons from the 1970s。Journal of Political Economy,89,655-705。  new window
13.Fama, E.(1970)。Efficient Capital Market: A Review of Theory and Empirical Work。Journal of Finance,25,383-417。  new window
14.Engle, R. F.、Kozicki, S.(1993)。Testing for Common Features。Journal of Business and Economic Statistics,11(4),369-395。  new window
15.Hansen, S.、Hodrick, J.(1980)。Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis。Journal of Political Economy,88,829-853。  new window
16.Hakkio, C. S.、Rush, M.(1989)。Market Efficiency and Cointegration: An Application to the Sterling and Deutschemark Exchange Market。Journal of International Money and Finance,88,829-853。  new window
17.Levich, R. M.(1979)。The Denomination of Foreign Trade Contracts Once Again Discssion。Journal of Financial and Quantitative Analysis,15(4),945-947。  new window
18.Sanderson, P.(1984)。Rational Expectations and Forward Exchange Market Efficiency。Applied Economics,16,99-109。  new window
19.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
20.Fama, Eugene F.(1984)。Forward and Spot Exchange Rates。Journal of Monetary Economics,14(3),319-338。  new window
圖書
1.Kohlhagen, S. W.(1978)。The behavior of foreign exchange markets: A critical survey of the empirical literature。New York:New York University Press。  new window
 
 
 
 
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