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題名:情緒因子在貨幣政策傳遞過程中所扮演的角色--結構因子擴充向量自迴歸模型之應用
書刊名:臺灣金融財務季刊
作者:郭迺鋒 引用關係劉名寰林祝吉林崑峯
作者(外文):Kuo, Nai-fongLiou, Ming-huanLin, Chu-chiLin, Kuen-feng
出版日期:2010
卷期:11:4
頁次:頁67-103
主題關鍵詞:情緒因子貨幣政策傳遞機制動態因子模型結構因子擴充向量自迴歸模型Sentimental factorTransmission mechanism of monetary policyDynamic factor modelStructural factor-augmented VAR
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(1) 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:1
  • 共同引用共同引用:64
  • 點閱點閱:82
期刊論文
1.Bernanke, B. S.、Kuttner, K. N.(2005)。What explains the stock market's reaction to Federal Reserve policy?。Journal of Finance,60(3),1221-1257。  new window
2.Baker, Malcolm、Wurgler, Jeffrey(2000)。The equity share in new issues and aggregate stock returns。Journal of Finance,55(5),2219-2257。  new window
3.Bernanke, B. S.、Boivin, J.、Eliasz, P. S.(2005)。Measuring the Effects of Monetary Policy: A Factor-augmented Vector Autoregressive (FAVAR) Approach。The Quarterly Journal of Economics,120,387-422。  new window
4.Kurov, Alexander(2010)。Investor sentiment and the stock market's reaction to monetary policy。Journal of Banking & Finance,34(1),139-149。  new window
5.Kose, M.、Otrok, C.、Whiteman, C.(2003)。International business cycles: world, region and country-specific factors。American Economic Review,93(4),1216-1239。  new window
6.Bai, Jushan、Ng, Serena(2002)。Determining the Number of Factors in Approximate Factor Models。Journal of the Econometric Society,70(1),191-221。  new window
7.Brown, G. W.、Cliff, M. T.(2005)。Investor Sentiment and Asset Valuation。Journal of Business,78(2),405-440。  new window
8.Bernanke, Ben S.、Blinder, Alan S.(1992)。The Federal Funds Rate and the Channels of Monetary Transmission。American Economic Review,82(4),901-921。  new window
9.Kumar, Alok、Lee, Charles M. C.(2006)。Retail Investor Sentiment and Return Comovements。Journal of Finance,61(5),2451-2486。  new window
10.Sims, Christopher A.(1992)。Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy。European Economic Review,36(5),975-1000。  new window
11.吳懿娟(20041200)。我國貨幣政策傳遞機制之實證分析。中央銀行季刊,26(4),33-68。new window  延伸查詢new window
12.Whaley, R. E.(20000300)。The Investor Fear Gauge。Journal of Portfolio Management,26(3),12-17。  new window
13.Mishkin, Frederic S.(1995)。Symposium on the monetary transmission mechanism。Journal of Economic Perspectives,9(4),3-10。  new window
14.Lee, Charles M. C.、Shleifer, Andrei、Thaler, Richard H.(1991)。Investor Sentiment and the Closed-End Fund Puzzle。The Journal of Finance,46(1),75-109。  new window
15.Lemmon, M.、Portniaguina, E.(2006)。Consumer confidence and asset prices: Some empirical evidence。Review of Financial Studies,19(4),1499-1529。  new window
16.Baker, Malcolm、Stein, Jeremy C.(2004)。Market liquidity as a sentiment indicator。Journal of Financial Markets,7(3),271-299。  new window
17.Baker, Malcolm、Wurgler, Jeffery(2004)。A catering theory of dividends。Journal of Finance,59(3),1125-1165。  new window
18.Baker, Malcolm、Wurgler, Jeffrey(2007)。Investor sentiment in the stock market。Journal of Economic Perspectives,21(2),129-152。  new window
19.Brown, Gregory W.、Cliff, Michael T.(2004)。Investor sentiment and the near-term stock market。Journal of Empirical Finance,11(1),1-27。  new window
20.Baker, Malcolm、Wurgler, Jeffrey(2006)。Investor sentiment and the cross-section of stock returns。The Journal of Finance,61(4),1645-1680。  new window
21.蔡佩蓉、王元章、張眾卓(20090700)。投資人情緒、公司特徵與臺灣股票報酬之研究。經濟研究. 臺北大學經濟學系,45(2),273-322。new window  延伸查詢new window
22.王泓仁(20050300)。臺幣匯率對我國經濟金融活動之影響。中央銀行季刊,27(1),13-45。new window  延伸查詢new window
研究報告
1.Stock, J. H.、Watson, M. W.(2005)。Implications of dynamic factor models for VAR analysis。  new window
其他
1.徐苑玲、郭迺鋒、彭純純、陳盈潔(2010)。台灣投資人情緒指數新編製與股票市場報酬之間的關聯性。  延伸查詢new window
2.許銘傑(2002)。市場情緒與基本面對短期股價影響之比較。  延伸查詢new window
3.黃國展(2004)。投資人心理代理變數之探討。  延伸查詢new window
4.Akerlof, G., A. and R. J. Shiller(2009)。Animal Spirits: How Human Psychology Drives the Economy, and Why It Matters for Global Capitalism。  new window
5.Bagliano, F. C. and C. Morana(2009)。International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach。  new window
6.Bayoumi, T.(2001)。The Morning After: Explaining the Slowdown in Japanese Growth in the 1990s。  new window
7.Belviso F. and F. Milani(2006)。Structural Factor-Augmented VARs (SFAVARs) and the Effects of Monetary Policy。  new window
8.Bernanke, B. S. and J. Boivin(2003)。Monetary Policy in a Data-Rich Environment。  new window
9.Cecchetti, S. G., M. Kohler, and C. Upper(2009)。Financial Crises and Economic Activity。  new window
10.Chen, E. T. and A. Clements(2007)。S&P 500 Implied Volatility and Monetary Policy Announcements。  new window
11.Chou, Ji and Ming-Huan Liou(2009)。The Impact of the Global Financial Crisis on Forming a Currency Union in East Asia。  new window
12.Eickmeier, S.(2007)。Business cycle transmission from the US to Germany–a structural factor approach。  new window
13.Kasa, K. and H. Popper(1997)。Monetary Policy in Japan: A Structural VAR Analysis。  new window
14.Kim S. and N. Roubini(2000)。Exchange Rate Anomalies in the Industrial Countries: A Solution with a Structural VAR Approach。  new window
15.Kim, S.(2001)。International Transmission of U.S. Monetary Policy Shocks: Evidence from VARs。  new window
16.Kose, M. A., C. Otrok, and C. H. Whiteman(2008)。Understanding the Evolution of World Business Cycles。  new window
17.Miyao, R.(2002)。The Effects of Monetary Policy in Japan。  new window
18.Mojon, B. and G. Peersman(2001)。A VAR Description of the Effects of Monetary Policy in the Individual Countries of the Euro Area。  new window
19.Shioji, E.(2000)。Identifying Policy Shocks in Japan。  new window
20.Smets, F.(1997)。Measuring Monetary Policy Shocks in France, Germany and Italy: The Role of the Exchange Rate。  new window
21.Stock, J. H. and M. W. Watson(2001)。Vector Autoregressions。  new window
22.Zweig, M. E.(1973)。An Investor Expectations Stock Price Predictive Model Using Closed-End Fund Premium。  new window
 
 
 
 
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