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題名:匯率貶值及其風險與出口
書刊名:經濟研究. 臺北大學經濟學系
作者:方文碩 引用關係張倉耀 引用關係葉志權 引用關係
作者(外文):Fang, Wen-shwoChang, Tsang-yaoYeh, Chih-chuan
出版日期:2005
卷期:41:1
頁次:頁105-139
主題關鍵詞:實質有效匯率匯率貶值匯率風險出口收益雙變量GARCH-M模型Real effective exchange rateExchange rate depreciationExchange rate riskExport revenueBivariate GARCH-M model
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(5) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:3
  • 共同引用共同引用:2
  • 點閱點閱:25
期刊論文
1.Abeysinghe, T.、Yeok, T. L.(1998)。Exchange Rate Appreciation and Export Competitiveness。The Case of Singapore A pplied Economics,30,51-55。  new window
2.Arize, A. C.(1995)。The Effects of Exchange-Rate Volatility on U.S. Exports: An Empirical Investigation。Southern Economic Journal,62(1),34-43。  new window
3.Arize, A. C.(1996)。Real Exchange-Rate Volatility and Trade Flows: The Experience of Eight European Economies。Internatio nal Review of Economics and Finance,5(2),187-205。  new window
4.Arize, A. C.(1996)。The Impact of Exchange-Rate Uncertainty on Export Growth: Evidence from Korean Data。International Economic Journal,10(3),49-60。  new window
5.Arize, A. C.(1997)。Foreign Trade and Exchange-Rate Risk in the G-7 Countries: Cointegration and Error-Correction Models。Review of Financial Economics,6(1),95-112。  new window
6.Arize, A. C.、Osang ,T.、Slottje, D. J.(2000)。Exchange-Rate Volatility and Foreign Trade: Evidence From Thirteen LDCs。Journal of Business and Economic Statistics,18,10-17。  new window
7.Arize, A. C.、Malindretos, J.、Kasibhatla, K. M.(2003)。Does Exchange Rate Volatility Depress Export Flow: the Case of LDCs。International Advances in Economics Research,9(1),7-19。  new window
8.Asseery, A.、Peel, D. A.(1991)。The Effects of Exchange Rate Volatility on Exports: Some New Estimates。Economics Letters,37,173-177。  new window
9.Bahmani-Oskooee, M.、Kara, O.(2003)。Relative Responsiveness of Trade Flows to a Change in Prices and Exchange Rate。International Review of Applied Economics,17(3),293-308。  new window
10.Broil, U.、Eckwert, B.(1999)。Exchange Rate Volatility and International Trade。Southern Economic Journal,66(1),178-185。  new window
11.Chowdhury, A. R.(1993)。Does Exchange Rate Volatility Depress Trade Flows? Evidence From Error-Correction Models。The Review of Economics and Statistics,75(4),700-706。  new window
12.Chu, C. S.(1995)。Detecting Parameter Shift in GARCH Models。Economic Reviews,14(2),241-266。  new window
13.Darrat, A. F.、Hsu, M. K.、Zhong, M.(2000)。Testing Export Exogeneity in Taiwan: Further Evidence。Applied Economics Letter,7,563-567。  new window
14.De Grauwe, P.(1988)。Exchange Rate Variability and The Slowdown in Growth of International Trade。IMF Staff Papers,35,63-84。  new window
15.Ethier, W.(1973)。International Trade and the Forward Exchange market。American Economic Review,63,494-503。  new window
16.Fang, W. S.、Lai, Y.(2003)。The Dynamic Effect of Exchange Rate Risk on Exports。Pacific Managem ent Review,6,85-99。  new window
17.Fang, W. S.、Thompson, H.(2004)。Exchange Rate Risk and Export Revenue in Taiwan。Pacific Economic Review,9(2),117-129。  new window
18.Franke, G.(1991)。Exchange Rate Volatility and International Trading Strategy。Journal of Internation Money and Finance,10,292-307。  new window
19.Gregory, A. W.、Hansen, B. E.(1996)。Residual-Based Test for Cointegration in Models with Regime Shifts。Journal of Econometrics,70,99-126。  new window
20.Gregory, A. W.、Nason, J. M.、Watt, D.(1994)。Testing for Structure Breaks in Cointegrated Relationships。Journal of Econometrics,71(1),321-341。  new window
21.Junz, H.、Rhomberg, R. R.(1973)。Price Competitiveness in Export Trade Among Industrial Countries。American Economic Review,Papers and Proceedings,63,412-418。  new window
22.Kroner, K. F.、Lastrapes, W. D.(1993)。The Impact of Exchange Rate Volatility on International Trade: Reduced Form Estimates Using the GARCH in Mean Model。Journal of International Money and Finance,12,298-318。  new window
23.Lee, J.(1999)。The Effect of Exchange Rate Volatility on Trade in Durables。Review of International Economics,7(2),189-201。  new window
24.McKenzie, M. D.、Brooks, R. D.(1997)。The Impact of Exchange Rate Volatility on German-U.S. Trade Flow。Journal of International Financial Markets, Institutions and Money,7,73-87。  new window
25.Perron, P.(1997)。Further Evidence on Breaking Trend Functions in Macroeconomic Variable。Journal of Econometrics,80,355-385。  new window
26.Pozo, S.(1992)。Conditional Exchange-Rate Volatility and the Volume of International Trade: Evidence from the Early 1990s。The Review of Economics and Statistics,325-329。  new window
27.Rose, A. K.(1990)。Exchange Rates and the Trade Balance。Economics Letters,34,271-275。  new window
28.Weliwita, A.、Ekanayake, E. M.、Tsujii, H.(1999)。Real Exchange Rate Volatility and Sri Lanka’s Exports to the Developed Countries, 1978-96。Journal of Economic Development,24,147-165。  new window
29.Lee, T. H.(1994)。Spread and Volatility in Spot and Forward Exchange Rates。Journal of International Money and Finance,13,375-383。  new window
30.Wilson, J. F.、Takacs, W. E.(1979)。Differential Reoponses to Price and Exchange Rate Influences in the Foreign Trade of Selected Industrial countries。Review of Economics and Statistics,61(2),267-279。  new window
31.Hosking, J. R. M.(1980)。The Multivariate Portmanteau Statistic。Journal of the American Statistical Association,75,602-608。  new window
32.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica,59(6),1551-1580。  new window
33.Berndt, Ernst R.、Hall, Bronwyn H.、Hall, Robert E.、Hausman, Jerry A.(1974)。Estimation and Inference in Nonlinear Structural Models。Annals of Economic and Social Measurement,3(4),653-665。  new window
34.蕭文宗、陳乙銘(1998)。匯率及其波動對我國出口產業的影響。台灣銀行季刊,49(2),47-66。new window  延伸查詢new window
35.Rose, A. K.、Yellen, J. L. L.(1989)。Is there a J-curve?。Journal of Monetary Economics,24,53-68。  new window
36.Wilson, P.、Tat, K. C.(2001)。Exchange Rates and the Trade Balance: The case of Singapore 1970 to 1996。Journal of Asian Economics,12,47-63。  new window
37.Perron, P.、Vogelsang, T. J.(1992)。Nonstationarity and Level Shifts with an Application to Purchasing Power Parity。Journal of Business & Economic Statistics,10(3),301-320。  new window
38.Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory,11(1),122-150。  new window
39.Hodrick, R. J.、Srivastava, S.(1984)。An Investigation of Risk and Return in Forward Foreign Exchange。Journal of International Money and Finance,3(1),5-29。  new window
40.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society,49(4),1057-1072。  new window
41.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
42.Bollerslev, Tim、Engle, Robert F.、Wooldridge, Jeffrey M.(1988)。A Capital Asset Pricing Model with Time-Varying Covariances。Journal of Political Economy,96(1),116-131。  new window
43.Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics,72(3),498-505。  new window
44.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。  new window
45.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
46.Pesaran, M. Hashem、Shin, Yongcheol、Smith, Richard J.(2001)。Bounds testing approaches to the analysis of level relationships。Journal of Applied Econometrics,16(3),289-326。  new window
47.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
會議論文
1.Hendry, D.(1985)。Econometric Methodology。The Econometric Society Fifth World Congress。MIT。  new window
研究報告
1.Frey, R.(2002)。Exchange Rate Volatility and International Trade- Some GARCH Estimations Stress the Importance of Trade Diversification。  new window
圖書
1.Tsay, Ruey S.(2002)。Analysis of Financial Time Series。New York:John Wiley & Sons。  new window
圖書論文
1.王凱立(2000)。匯率波動風險對台灣出口之影響:一般化多變量GARCH-M模型之應用。台灣經濟學會年會論文集。  延伸查詢new window
2.黃柏農(1993)。貿易收支與匯率及總體變數間之因果關係探討--台灣與美日兩 國間的實證分析。台灣經濟學會年會論文集。  延伸查詢new window
 
 
 
 
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