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來源文獻資料
摘要
外文摘要
引文資料
題名:
匯率制度、匯率貶值與產出的關聯性
書刊名:
多國籍企業管理評論
作者:
張倉耀
/
王譯賢
作者(外文):
Chang, Tsang-yao
/
Wang, Yi-hsien
出版日期:
2011
卷期:
5:1
頁次:
頁1-19
主題關鍵詞:
匯率制度
;
匯率貶值
;
產出
;
東亞區域
;
縱橫共整合模型
;
Exchange rate regime
;
Exchange rate depreciation
;
Output
;
East Asia
;
Panel cointegration model
原始連結:
連回原系統網址
相關次數:
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:0
共同引用:0
點閱:30
東亞區域匯率制度的多樣性,包括完全浮動、可調整釘住、通貨委員會等匯率制度,提供一個評估匯率制度、匯率貶值與產出關聯性的良好環境。一般來說,不同的匯率制度存在不同的匯率行為,透過檢視匯率貶值與產出的長期關係,可據以評估匯率制度的產出表現。本文使用1973至2007年的年資料,包括東亞九個國家,應用Pedroni (1999)、Kao (1999)及Maddala and Wu (1999)縱橫共整合模型檢視實質國內生產毛額、實質政府消費支出、實質貨幣存量與實質雙邊匯率的長期關係,並進一步使用Pedroni (2000) fully modified OLS模型估計、檢定變數的共整合向量,分析匯率貶值的長期產出效果,並以日本、香港為比較基礎,據以評估匯率制度的產出表現。實證結果發現,香港、印尼、馬來西亞存在正的匯率貶值產出效果,但是韓國與菲律賓並不顯著;新加坡、台灣、泰國則為負效果;日本則僅存在中立效果;整體而言,匯率貶值顯著增加產出水準。本文證實軟性釘住美元匯率制度對東亞區域的產出貢獻。
以文找文
The variety of exchange rate regime in East Asia offers a good environment to study the links of exchange rate regime, exchange rate depreciation and output. Generally, each regime has its typical behavior, through examining the long-run effect of exchange rate depreciation on output should provides evidence to evaluate the performance of exchange rate regime on output. The study investigates the links of exchange rate regime, exchange rate depreciation and output for nine East Asia countries using annual data over the span of 1973 to 2007. Pedroni (1999), Kao (1999), and Maddala and Wu (1999) panel cointegration are applied to estimate the longrun relation among variables, and then Pedroni (2000) fully modified OLS to estimate cointegration vectors between exchange rate and output for each country and the region. The result shows positive effects of exchange rate depreciation on output in Hong Kong, Indonesia and Malaysia but insignificant in Korea and the Philippines. It contributes negatively to output in Singapore, Taiwan and Thailand and a zero effect in Japan. It contributes positively in the region wholly. Finally, the study proves the contribution of soft pegged exchange rate regime on output in the East Asia.
以文找文
期刊論文
1.
Kawai, Masahiro(2002)。Exchange Rate Arrangements in East Asia: Lessons from the 1997-98 Currency Crisis。Monetary and Economic Studies,20,167-204。
2.
Pedroni, Peter(1999)。Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors。Oxford Bulletin of Economics and Statistics,61(4),653-670。
3.
Krugman, Paul、Taylor, Lance(1978)。Contractionary Effects of Devaluation。Journal of International Economics,8(3),445-456。
4.
McKinnon, R. I.(2000)。The East Asian Dollar Standard, Life after Death?。Economic Notes,29(1),31-82。
5.
Pedroni, P.(2004)。Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with An Application to The PPP Hypothesis。Econometric Theory,20(3),597-625。
6.
Kao, Chihwa(1999)。Spurious Regression and Residual-based Tests for Cointegration in Panel Data。Journal of Econometrics,90(1),1-44。
7.
Levin, Andrew、Lin, Chien-Fu、Chu, Chia-Shang James(2002)。Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties。Journal of Econometrics,108(1),1-24。
8.
Pedroni, Peter(2000)。Fully Modified OLS for Heterogeneous Cointegrated Panels。Advances in Econometrics,15(1),93-130。
9.
Im, Kyung So、Pesaran, M. Hashem、Shin, Yongcheol(2003)。Testing for Unit Roots in Heterogeneous Panels。Journal of Econometrics,115(1),53-74。
10.
Aizenman, J.、R. Glick(2008)。Pegged Exchange Rate Regimes--A Trap?。Journal of Money,33,817-835。
11.
Bahmani-Oskooee M.、Miteza, I.(2006)。Are Devaluations Contractionary?。Evidence from Panel ComtegrstionEconomic Issues,11,49-64。
12.
Baxter, M.、Stockman, A.(1989)。Business Cycles and the Exchange Rate Regime: Some International Evidence。Journal of Monetary Economics,23,377-400。
13.
Calvo, G. A.、Reinhart, C. M.(2002)。Fear of Floating。Quarterly Journal of Economics,117,379-408。
14.
Coudert, V.、Dubert, M.(2005)。Does Exchange Rate Regime Explain Differences in Economic Results for Asian Countries?。Journal of Asian Economics,16,874-895。
15.
Dooley, M. P.、Folkerts-Landau, D.、Garber, P.(2004)。The Revived Bretton Woods System。International Journal of Finance and Economics,9,307-313。
16.
Edwards, S.(1989)。Exchange Controls, Devaluations, and Real Exchange Rates: The Latin American Experience。Economic Development and Cultural Change,37,457-494。
17.
Bahmani-Oskooee, M.(1998)。Are Devaluations Contractionary in LDCs?。Journal of Economic Development,23,131-145。
18.
Hernández, L.、Montiel, P. J.(2003)。Post-Crisis Exchange Rate Policy in Five Asian Countries: Filling in the Hollow Middle?。Journal of Japanese International Economies,17,336-369。
19.
Bahmani-Oskooee M.、Miteza, I.(2003)。Are Devaluations Expansionary or Contractionary: A Survey Article。Economic Issues,8,1-28。
20.
Kandil M.(2006)。On the Transmission of Exchange Rate Fluctuations to the Macroeconomy: Contrasting Evidence for Developing and Developed Countries。Journal of International Trade and Economic Development,15,101-127。
21.
Edwards, S.(1986)。Are Devaluations Contractionary?。Review of Economics and Statistics,68,501-508。
22.
Husain A. M.、Mody, A.、Rogoff, K. S.(2005)。Exchange Rate Regime Durability and Performance in Developing versus Advanced Economies。Journal of Monetary Economics,52,35-64。
23.
Levy-Yeyati, E.、Sturzenegger, F.(2003)。To Float or to Fix: Evidence on the Impact of Exchange Rate Regimes on Growth。American Economic Review,93,1173-1193。
24.
Maddala, G S.、Wu, S.(1999)。A Comparative Study of Unit Tests with Panel Data and A New Simple Test。Oxford Bulletin of Economics and Statistics,61,631-652。
25.
McKinnon, R. I.、Schnabl, G.(2004)。The East Asian Dollar Standard, Fear of Floating, and Original Sin。Review of Development Economics,8,331-360。
26.
Christopoulos, D. K.(2004)。Currency Devaluation and Output Growth: New Evidence from Panel Data Analysis。Applied Economics Letters,11(13),809-813。
27.
Yiheyis, Z.(2006)。The Effects of Devaluation on Aggregate Output: Empirical Evidence from Africa。International Review of Applied Economics,20,21-45。
28.
Hadri, H.(2002)。Testing for Stationary in Heterogeneous Panel Data。Econometrics Journal,3,148-161。
29.
Upadhyaya, K. P.(1999)。Currency Devaluation, Aggregate Output, and the Long Run: An Empirical Study。Economics Letters,64,197-202。
研究報告
1.
Levin, A.、Lin, C. J.、Chu, C. S.(1992)。Unit root tests in panel data: asymptotic and finite sample properties。San Diego:University of California。
2.
Frankel, Jeffrey A.(1999)。No Single Currency Regime Is Right for All Countries or at All Times。
3.
Borda, M. D.(2003)。Exchange Rate Regime Choice in Historical Perspective。
4.
Fang, W. S.、Beladi, N.、Chao, C. C.(2008)。Exports and Exchange Rate Policies in Asia Economies。
圖書
1.
Fisher, R. A.(1932)。Statistical methods for research workers。Oliver and Boyd。
2.
McKinnon, R. I.(2005)。Exchange Rates under the East Asian Dollar Standard。Cambridge。
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