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題名：有效匯率預測模型與避險績效比較
書刊名：應用經濟論叢
作者：程智男 引用關係／林建秀／尤保傑
作者(外文)：Chen, Chih-nan／Lin, Chien-hsiu／You, Bao-jie
出版日期：2016
卷期：99
頁次：頁37-82
主題關鍵詞：匯率避險；貨幣模型；不對稱泰勒模型；準確率；Exchange rate hdeging；Monetary fundamental model；Asymmetric Taylor rule；Accurate rate
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)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:11
  • 點閱點閱:21
期刊論文
1.Eun, C. S.、Resnick, B.(1988)。Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection。Journal of Finance，43(1)，197-215。  new window
2.Hodrick, Robert J.、Prescott, Edward C.(1997)。Postwar US Business Cycles: An Empirical Investigation。Journal of Money, Credit and Banking，29(1)，1-16。  new window
3.Bawa, V. S.(1975)。Optimal Rules for Ordering Uncertain Prospects。Journal of Financial Economics，2(1)，95-121。  new window
4.Hansen, Bruce E.(2001)。The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity。Journal of Economic Perspectives，15(4)，117-128。  new window
5.Mark, Nelson C.、Sul, Donggyu(2001)。Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel。Journal of International Economics，53(1)，29-52。  new window
6.McCracken, Michael W.(2007)。Asymptotics for Out-of-Sample Tests of Granger Causality。Journal of Econometrics，140(2)，719-752。  new window
7.Fishburn, P. C.(1977)。Mean-Risk Analysis with Risk Associated with Below-Target Returns。American Economic Review，67(2)，116-126。  new window
8.Engel, Charles W.、West, Kenneth D.(2005)。Exchange Rates and Fundamentals。Journal of Political Economy，113(3)，485-517。  new window
9.Mark, N. C.(2009)。Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics。Journal of Money, Credit and Banking，41(6)，1047-1070。  new window
10.Welch, Ivo、Goyal, Amit(2008)。A comprehensive look at the empirical performance of equity premium prediction。Review of Financial Studies，21(4)，1455-1508。  new window
11.Campbell, J. Y.、de Medeiros, K. S.-D.、Viceira, L. M.(2010)。Global Currency Hedging。Journal of Finance，65(1)，87-121。  new window
12.Meese, Richard A.、Rogoff, Kenneth S.(1983)。Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?。Journal of International Economics，14(1/2)，3-24。  new window
13.Cheung, Y. W.、Chinn, M. D.、Pascual, A. G.(2005)。Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?。Journal of International Money and Finance，24(7)，1150-1175。  new window
14.Groen, J. J. J.(2000)。The Monetary Exchange Rate Model as a Long-Run Phenomenon。Journal of International Economics，52(2)，299-320。  new window
15.Clark, Todd E.、McCracken, Michael W.(2001)。Tests of Equal Forecast Accuracy and Encompassing for Nested Models。Journal of Econometrics，105(1)，85-110。  new window
16.Mark, Nelson C.(1995)。Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability。American Economic Review，85(1)，201-218。  new window
17.周國偉、曾翊恆(20080800)。總體經濟基本面的預測表現--臺灣與其他六國匯率模型之實證分析。臺灣經濟論衡，6(8)，36-65。  延伸查詢new window
18.Engel, C.、West, K. D.(2004)。Accounting for Exchange Rate Variability in Present-value Models When the Discount Factor is Near One。American Economic Review，94(2)，119-125。  new window
19.Eaker, M. R.、Grant, D. M.(1990)。Currency Hedging Strategies for Internationally Diversified Equity Portfolios。Journal of Portfolio Management，17(1)，30-32。  new window
20.Demirer, R.、Lien, D.(2003)。Downside Risk for Short and Long Hedgers。International Review of Economics and Finance，12(1)，25-44。  new window
21.Engel, C.、West, K. D.(2006)。Taylor Rules and the Deutschmark: Dollar Real Exchange Rate。Journal of Money, Credit and Banking，38(5)，1175-1994。  new window
22.Hazuka, T. B.、Huberts, L. C.(1994)。A Valuation Approach to Currency Hedging。Financial Analysts Journal，50(2)，55-59。  new window
23.Holmes, P.(1995)。Ex Ante Hedge Ratios and the Hedging Effectiveness of the FTSE-100 Stock Index Futures Contract。Applied Economics Letters，2(3)，56-59。  new window
24.Howard, C. T.、D'Antonio, L. J.(1987)。A Risk-Return Measure of Hedging Effectiveness: A Reply。Journal of Financial and Quantitative Analysis，22(3)，377-381。  new window
25.Morey, M. R.、Simpson, M. W.(2001)。To Hedge or Not to Hedge: The Performance of Simple Strategies for Hedging Foreign Exchange Risk。Journal of Multinational Financial Management，11(2)，213-223。  new window
26.Perold, A. F.、Schulman, E. C.(1988)。The Free Lunch in Currency Hedging: Implications for Investment Policy and Performance Standards。Financial Analysts Journal，44(3)，45-50。  new window
27.Rossi, B.(2013)。Exchange Rate Predictability。Journal of Economic Literature，51(4)，1063-1119。  new window
28.Simpson, M. W.、Dania, A.(2006)。Selectively Hedging the Euro。Journal of Multinational Financial Management，16(1)，27-42。  new window
29.Walker, E.(2008)。Strategic Currency Hedging and Global Portfolio Investments Upside Down。Journal of Business Research，61(6)，657-668。  new window
30.VanderLinden, D.、Jiang, C. X.、Hu, M.(2002)。Conditional Hedging and Portfolio Performance。Financial Analysts Journal，58(4)，72-82。  new window
31.Rogoff, Kenneth(199606)。The Purchasing Power Parity Puzzle。Journal of Economic Literature，34，647-668。  new window
32.Taylor, Alan M.、Taylor, Mark P.(2004)。The Purchasing Power Parity Debate。Journal of Economic Perspectives，18(4)，135-158。  new window
33.Molodtsova, Tanya、Papell, David H.(2009)。Out-of-Sample Exchange Rate Predictability with Taylor Rule Fundamentals。Journal of International Economics，77(2)，167-180。  new window
34.Taylor, John B.(1993)。Discretion versus Policy Rules in Practice。Carnegie-Rochester Conference Series on Public Policy，39，195-214。  new window
35.Diebold, Francis X.、Mariano, Roberto S.(1995)。Comparing Predictive Accuracy。Journal of Business and Economic Statistics，13(3)，253-263。  new window
36.Johnson, Leland L.(1960)。The Theory of Hedging and Speculation in Commodity Futures。The Review of Economic Studies，27(3)，139-151。  new window
37.何中達、沈中華(19960100)。我國遠期外匯市場重新開放後之效率性檢定。中國財務學刊，3(2)，63-85。new window  延伸查詢new window
38.劉祥熹、楊慈珍(20090600)。新臺幣兌美元匯率波動性預測及其與遠期匯率之關聯性--預測模型比較及納入成交量之探討。應用經濟論叢，85，117-153。new window  延伸查詢new window
研究報告
1.Engel, C.、Mark, N. C.、West, K. D.(2007)。Exchange Rate Models are Not as Bad as You Think。  new window
2.Molodtsova, T.、Papell, D. H.(2012)。Taylor Rule Exchange Rate Forecasting During the Financial Crisis。  new window
學位論文
1.黃玉芳(2004)。企業外匯風險管理與避險策略之評估(碩士論文)。國立中山大學。  延伸查詢new window
2.林雅雯(2004)。遠期匯率與即期匯率之隨機共整合關係(碩士論文)。國立中山大學。  延伸查詢new window
圖書
1.Morgan, J. P.(1996)。Riskmetrics Technical Document。New York, NY：Morgan Guaranty Trust Company。  new window
圖書論文
1.Chinn, M.(2012)。Macro Approaches to Foreign Exchange Determination。Handbook of Exchange Rates。New Jersey：Wiley and Sons。  new window
2.Della Corte, P.、Tsiakas, I.(2011)。Statistical and Economic Methods for Evaluating Exchange Rate Predictability。Handbooks of Exchange Rates。New Jersey：Wiley and Sons。  new window
 
 
 
 
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