The Information Spillover in Taiwan's Money Market__臺灣人文及社會科學引文索引資料庫

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題名：	The Information Spillover in Taiwan's Money Market
書刊名：	臺灣管理學刊
作者：	陳玲慧／楊踐為
作者(外文)：	Chen, Helen L. H.／Yang, Jack J. W.
出版日期：	2003
卷期：	3:1
頁次：	頁23-39
主題關鍵詞：	資訊溢傳；貨幣市場；向量自我迴歸；Information spillover；Money market；Vector autoregressive
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:1 共同引用:0 點閱:16

期刊論文
1.	Gredenhoff, M.、Karlsson, S.(1999)。Lag-length selection in VAR models using equal and unequal lag-length procedures。Computational Statistic，14(2)，171-187。
2.	Diltz, J. D.、Kim, Suhkyong(1996)。The Relationship between Stock and Option Price Changes。The Financial Review，31(3)，499-519。
3.	Koutmos, Gregory(1998)。Asymmetries in the Conditional Mean and the Conditional Variance: Evidence from Nine Stock Markets。Journal of Economics and Business，50(3)，277-290。
4.	Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica，59(6)，1551-1580。
5.	Phillips, P. C. B.、Perron, P.(1988)。Testing for Unit Root in Time Series Regression。Biometrika，75(2)，335-346。
6.	Phillips, P. C. B.(1987)。Time series regression with a unit root。Econometrica: Journal of the Econometric Society，55(2)，277-301。
7.	Koutmos, Gregory、Booth, G. Geoffrey(1995)。Asymmetric Volatility Transmission in International Stock Markets。Journal of International Money and Finance，14(6)，747-762。
8.	Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society，48(1)，1-48。
9.	Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica，55(2)，251-276。

圖書
1.	Enders, Walter(1995)。Applied Econometric Time Series。John Wiley & Sons, Inc.。

其他
1.	Albert, T. H. A., & L. AIles(2000)。An examination of causality and predictability between Australian domestic and offshore interest rates。
2.	Balke, N. S., & K. M. Emery(1994)。The federal funds rate as an indicator of monetary policy: evidence from the 1980s。
3.	Bernanke, B. S., & A. S. Blinder(1992)。The federal funds rate and the channels on monetary transmission。
4.	Chan, K., & Y. P. Cheung(1995)。Vector autoregression or simultaneous equations model? the intraday relationship between index arbitrage and market volatility。
5.	Cheung, D. W. W.(1997)。Pacific rim stock market integration under different federal funds rate regimes。
6.	Cook, T., & T. Hahn(1987)。The reaction of interest rates to unanticipated federal reserve actions and statements: implications for the money announcement controversy。
7.	Cook, T., & T. Hahn(1989)。The effect of changes in the federal funds rate target on market interest rates in the 1970s。
8.	Ewing, B. T., J. E. Payne, & S. M. Forbes(1998)。Co-movements of the prime rate, CD rate and the S&P financial stock index。
9.	Fraser, P.(1995)。An empirical analysis of the relationship between UK treasury bills and the term structure of certificates of deposit。
10.	Friedman, B. M.(1980)。Survey evidence on the rationality of interest rate expectations。
11.	Garfinkel, M. R., & D. L. Thornton(1995)。The information content of the federal funds rate: is it unique?。
12.	Goodftiend, M,., & W. Whelpley(1986)。Federal funds: instrument of federal reserve policy。
13.	Granger, C. W. J.(1969)。Investigating causal relations by econometrics models and spectral methods。
14.	Happ, S.(1986)。The behavior of rates on federal funds and repurchase agreements。
15.	Janakiramanan, S., & A. S. Lamba(1998)。An empirical examination of linkages between Pacific-basin stock markets。
16.	Lasser, D. J.(1992)。The effect of contemporaneous reserve accounting on the market for federal funds。
17.	Nowak, L. S.(1991)。The volatility of short-term interest rates。
18.	Simon, D. P.(1989)。The rationality of federal funds rate expectations: evidence from a survey。
19.	Simon, D. P.(1990)。Expectations and the treasury bill-federal funds rate spread over recent monetary regimes。
20.	Thorbecke, W., & T. Alami(1994)。The effect of changes in the federal funds rate target on stock prices in the 1970s。
21.	Thornton, D. L.(1998)。Tests of the market’s reaction to federal funds rate target changes。

圖書論文
1.	Mackinnon, J. G.(1991)。Critical Values for Cointegration Tests。Long-Run Economic Relationships: Readings in Cointegration。New York。

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