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題名:匯率預測能力之探討--臺灣及貿易密切國家匯率為對象
書刊名:臺灣銀行季刊
作者:莊希豐蕭賀元陳亞為
出版日期:2018
卷期:69:4
頁次:頁148-167
主題關鍵詞:臺灣匯率預測泰勒法則未拋補利率平價TVP模型HP濾波法
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:0
  • 點閱點閱:5
期刊論文
1.Wright, J. H.(2008)。Bayesian Model Averaging and Exchange Rate Forecasts。Journal of Econometrics,146(2),329-341。  new window
2.Clark, Todd E.、West, Kenneth D.(2006)。Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis。Journal of Econometrics,135,155-186。  new window
3.West, Kenneth D.(1996)。Asymptotic Inference about Predictive Ability。Econometrica,64(5),1067-1084。  new window
4.Kilian, L.(1999)。Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-horizon Regressions?。Journal of Applied Econometrics,14(5),491-510。  new window
5.Engel, C.、Hamilton, J. D.(1990)。Long Swings in the Exchange Rate: Are They in the data and Do Markets Know It?。The American Economic Review,80(4),689-713。  new window
6.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
7.Mark, Nelson C.(1995)。Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability。American Economic Review,85(1),201-218。  new window
8.Faust, J. R.、Rogers, J. H.、Wright, J. H.(2003)。Exchange rate forecasting: the errors we've really made。Journal of International Economics,60(1),35-59。  new window
9.Wolff, Christian C. P.(1987)。Time-Varying Parameters and The Out-of-Sample Forecasting Performance of Structural Exchange Rate Models。Journal of Business & Economic Statistics,5(1),87-97。  new window
10.Hodrick, Robert J.、Prescott, Edward C.(1997)。Postwar U.S. Business Cycles: An Empirical Investigation。Journal of Money, Credit and Banking,29(1),1-16。  new window
11.Cheung, Yin-Wong、Chinn, Menzie D.、Pascual, Antonio Garcia(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
12.Rossi, Barbara(2013)。Exchange Rate Predictability。Journal of Economic Literature,51(4),1063-1119。  new window
13.Alquist, R.、Chinn, M. D.(2008)。Conventional and Unconventional Approaches to Exchange Rate Modelling and Assessment。International Journal of Finance and Economics,13,2-13。  new window
14.Byrne, J. P.、Korobilis, D.、Ribeiro, P. J.(2016)。Exchange Rate Predictability in a Changing World。Journal of International Money and Finance,62(C),1-24。  new window
15.Canova, F.(1993)。Modelling and Forecasting Exchange Rates with a Bayesian Time-Varying Coefficient Model。Journal of Economic Dynamics and Control,17(1/2),233-261。  new window
16.Chinn, M. D.、Meese, R.(1995)。Banking on Currency Forecasts: Is Change in Money Predictable?。Journal of International Economics,38(1/2),161-178。  new window
17.Clarida, R.、Gali, J.、Gertler, M.(1998)。Monetary Rules in Practice: Some International Evidence。European Economic Review,42,1033-1067。  new window
18.Della Corte, P.、Sarno, L.、Sestieri, G.(2010)。The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?。Review of Economics and Statistics,94(1),100-115。  new window
19.Engel, C.、West, K. D.(2005)。Exchange Rate and Fundamentals。Journal of Political Economy,113,485-517。  new window
20.Engel, C.、West, K. D.(2006)。Taylor Rules and the Deutschemark-Dollar Real Exchange Rate。Journal of Money, Credit and Banking,38,1175-1194。  new window
21.Groen, J. J.(1999)。Long Horizon Predictability of Exchange Rates: Is it for Real?。Empirical Economics,24,451-469。  new window
22.Ince, O.、Molodtsova, T.、Papell, D. H.(2015)。Taylor Rule Deviations and Out-of-Sample Exchange Rate Predictability。Journal of International Money and Finance,69,22-44。  new window
23.Meese, R. A.、Rogoff, K. S.(1988)。Was it Real? The Exchange Rate-Interest Differential Relation Over the Modern Floating-Rate Period。Journal of Finance,43,923-948。  new window
24.Molodtsova, T.、Papell, D. H.(2013)。Taylor Rule Exchange Rate Forecasting during the Financial Crisis。NBER International Seminar on Macroeconomics,9(1),55-97。  new window
25.Schinasi, G. J.、Swamy, P. A. V. B.(1989)。The Out-of-Sample Forecasting Performance of Exchange Rate Models When Coefficients Are Allowed to Change。Journal of International Money and Finance,8(3),375-390。  new window
26.Stock, J. H.、Watson, M. W.(1998)。Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model。Journal of the American Statistical Association,93(441),349-358。  new window
27.Gourinchas, Pierre-Olivier、Rey, Helene(2007)。International Financial Adjustment。Journal of political economy,115(4),665-702。  new window
28.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
29.Taylor, John B.(1993)。Discretion versus Policy Rules in Practice。Carnegie-Rochester Conference Series on Public Policy,39,195-214。  new window
30.Clark, Todd E.、West, Kenneth D.(2007)。Approximately Normal Tests for Equal Predictive Accuracy in Nested Models。Journal of Econometrics,138(1),291-311。  new window
31.Diebold, Francis X.、Mariano, Roberto S.(1995)。Comparing Predictive Accuracy。Journal of Business and Economic Statistics,13(3),253-263。  new window
圖書
1.Theil, Henri(1966)。Applied Economic Forecasting。Amsterdam:North-Holland Publishing Company。  new window
圖書論文
1.Meese, Richard A.、Rogoff, Kenneth S.(1983)。The Out-of-Sample Failure of Empirical Exchange Rate Models: Sampling Error or Misspecification?。Exchange Rates and International Macroeconomics。NBER。  new window
 
 
 
 
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