資料載入處理中...
臺灣人文及社會科學引文索引資料庫系統
:::
網站導覽
國圖首頁
聯絡我們
操作說明
English
行動版
(13.59.116.74)
登入
字型:
**字體大小變更功能,需開啟瀏覽器的JAVASCRIPT,如您的瀏覽器不支援,
IE6請利用鍵盤按住ALT鍵 + V → X → (G)最大(L)較大(M)中(S)較小(A)小,來選擇適合您的文字大小,
如為IE7以上、Firefoxy或Chrome瀏覽器則可利用鍵盤 Ctrl + (+)放大 (-)縮小來改變字型大小。
來源文獻查詢
引文查詢
瀏覽查詢
作者權威檔
引用/點閱統計
我的研究室
資料庫說明
相關網站
來源文獻查詢
/
簡易查詢
/
查詢結果列表
/
詳目列表
:::
詳目顯示
第 1 筆 / 總合 1 筆
/1
頁
來源文獻資料
摘要
外文摘要
引文資料
題名:
匯率與單根--臺灣之實證研究
書刊名:
經濟論文
作者:
吳致寧
出版日期:
1994
卷期:
22:1
頁次:
頁101-133
主題關鍵詞:
單根
;
匯率
;
實證研究
;
臺灣
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
6
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:
5
共同引用:0
點閱:23
本文利用Sims(1988)之貝氏檢定、Abuaf與Jorion(1990)之GLS檢定來檢測臺灣與其他各主要工業國家間之名目與實質匯率是否具單根。實證結果指出有充分的證據棄卻臺灣與各主要工業國家間之名目與實質匯率具單根的虛無假護。透過Kwiatkowski, Phillips, Schmidt與Shin(1992)之LM檢定,實證結果進一步顯示臺灣與各主要工業國家間之名目與實質匯率大致分別與趨勢恆定及恆定之虛無假設相一致,此亦指出臺灣與大多數工業國家間之長期購買力平價說成立。
以文找文
This paper applies Sims' (1988) Bayesian test, and Abuaf and Jorion's (1990) restricted GLS test to investigate the issue of unit roots among nominal and real exchange rates between Taiwan and major industrial countries. Empirical results point out that there is strong evidence to rejects the null hypothesis of unit roots among exchange rates. Recently, Kwiatkowski, Phillips, Schmidt and Shin [KPSS] (1992) propose a test of the null hypothesis that an observable series is stationary. Furthermore, the empirical result from KPSS test points that nominal and real exchange rates between Taiwan and major industrial countries are roughly consistent with the hypothesis of trend stationary and stationarity respectively. This implies that purchasing power parity holds in the long run between Taiwan and most industrial countries.
以文找文
期刊論文
1.
Abuaf, Niso、Jorion, Philippe(1990)。Purchasing Power Parity in the Long Run。Journal of Finance,45,157-174。
2.
Adler, Michael、Lehmann, Bruce(1983)。Deviations from Purchasing Power Parity in the Long Run。Journal of Finance,38(5),1471-1487。
3.
Corbae, Dean、Ouliaris, Sam(1988)。Cointegration and Tests of Purchasing Power Parity。Review of Economics and Statistics,70,508-511。
4.
DeJong, David N.、Whiteman, Charles H.(1991)。Reconsidering Trends and Random Walks In Macroeconomic Time Series。Journal of Monetary Economics,28,221-254。
5.
Dellas, Harris(1986)。A Real Model of the World Business Cycle。Journal of International Money and Finance,5,381-394。
6.
Driskill, Robert、McCafferty, Stephen(1987)。Exchange Rate Determination: An Equilibrium Approach with Imperfect Capital Substitutability。Journal of International Economics,23,241-261。
7.
Frenkel, Jacob(1981)。Flexible Exchange Rates, Prices and the Roles of News: Lessons from the 1970s。Journal of Political Economy,89,665-705。
8.
Hakkio, Craig S.(1986)。Does the Exchange Rate Follow a Random Walk? A Monte Carlo Study of Four Tests for a Random Walk。Journal of International Money and Finance,5,221-229。
9.
Huizinga, John(1987)。An Empirical Investigaion of the Long-run Behavior of Real Exchange Rates。Carnegie-Rochester Conference Series on Public Policy,27,149-214。
10.
Kim, Yoonbai(1990)。Purchasing Power Parity in the Long Run: A Cointegration Approach。Journal of Money, Credit and Banking,22,491-503。
11.
Long, John、Plosser, Charles(1983)。Real Business Cycles。Journal of Political Economy,91,39-69。
12.
Mark, Nelson C.(1990)。Real and Nominal Exchange Rates in the Long Run: An Empirical Investigation。Journal of International Economics,28,115-136。
13.
Meese, Richard A.、Rogoff, Kenneth(1983)。Empirical Exchange Rate Model of the Seventies: Do They Fit Out of Sample?。Journal of International Economics,14,3-24。
14.
Meese, Rickard、Singleton, Kenneth(1982)。On Unit Roots and the Empirical Modeling of Exchange Rates。Journal of Finance,37,1029-1035。
15.
Nelson, Charles R.、Plosser, Charles I.(1982)。Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications。Journal of Monetary Economics,10(2),139-162。
16.
Phillips, Peter C. B.(1987)。Time Series Regression with a Unit Root。Econometrica,55(2),277-301。
17.
Perron, Perrie(1988)。Trends and Random Walks in Macroeconomic Time Series: Further Evidence from a New Approach。Journal of Economic Dynamics and Control,12,297-332。
18.
Shiller, Robert J.、Pierre, Pierre(1985)。Testing the Random Walk Hypothesis: Powerversus Frequency of Observation。Economic Letters,18,381-386。
19.
Sims, Christopher A.(1988)。Bayesian Skepticism on Unit Root Econometrics。Journal of Economic Dynamics and Control,12,463-474。
20.
Stockman, Alan C.(1987)。The Equilibrium Approach to Exchange Rates, Federal Reserve Bank of Richmond。Economic Review,73,12-30。
21.
Stulz, Rene(1987)。An Equilibrium Model of Exchange Rate Determination and Asset Pricing with Nontraded Goods and Imperfect Information。Journal of Political Economy,95,1024-1040。
22.
Whitt, Joseph A.(1992)。The Long-Run Behavior of the Real Exchange Rate: A Reconsideration。Journal of Money, Credit, and Banking,24,72-81。
23.
Whitt, Joseph A.(1992)。Nominal Exchange Rates and Unit Roots: A Reconsideration。M Journal of International Money and Finance,11,539-551。
24.
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。
25.
Dornbusch, Rudiger(1976)。Expectations and Exchange Rate Dynamics。Journal of Political Economy,84(6),1161-1176。
26.
Baillie, Richard T.、Bollerslev, Tim(1989)。Common Stochastic Trends in a System of Exchange Rates。The Journal of Finance,44(1),167-181。
27.
Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。
28.
Kwiatkowski, Denis、Phillips, Peter C. B.、Schmidt, Peter、Shin, Yongcheol(1992)。Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?。Journal of Econometrics,54(1-3),159-178。
29.
Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。
30.
Said, S. E.、Dickey, David A.(1984)。Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order。Biometrika,71(3),599-607。
圖書
1.
Fuller, Wayne A.(1976)。Introduction to Statistical Time Series。New York:John Wiley & Sons。
2.
Leamer, Edward E.(1978)。Specification Searches: Ad Hoc Inference with Nonexperimental Data。John Wiley & Sons。
其他
1.
Choi, I.,Phillips, Peter C. B.(1988)。Testing for Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains,Cowles Foundation for Research in Economics, Yale University。
2.
Wu, Chung-Shu,Lin, Jin-Lung(1992)。Money, Exchange Rate and Price: The Case of Taiwan,The Institute of Economics, Academia Sinica。
圖書論文
1.
Cumby, Robert E.、Obstfeld, Maurice(1984)。International Interest Rate and Price Level Linkages under Flexible Exchange Rates: A Review of Recent Evidence。Exchange Hate Theory and Practice。Chicago:University of Chicago Press。
2.
Frankel, Jeffrey A.(1986)。International Capital Mobility and Crowding-out in the U. S. Economy: Imperfect Integration of Financial Markets or of Goods Markets?。How Open Is the U. S. Economy?。Lexington, Mass。
3.
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。
4.
Obstfeld, Maurice、Stockman, Alan C.(1985)。Exchange-Rate Dynamics。Handbook of International Economics?。North-Holland, Amsterdam。
推文
當script無法執行時可按︰
推文
推薦
當script無法執行時可按︰
推薦
引用網址
當script無法執行時可按︰
引用網址
引用嵌入語法
當script無法執行時可按︰
引用嵌入語法
轉寄
當script無法執行時可按︰
轉寄
top
:::
相關期刊
相關論文
相關專書
相關著作
熱門點閱
1.
廠商直接投資之匯率問題研究:臺灣與東南亞國協貨幣之長期關係
2.
探討資訊監測系統導入傳染病疫情控制之實證研究:以臺灣登革熱為例
3.
購買力平價、Balassa-Samuelson效果與結構性變動:臺灣與美國、日本實質匯率的實證
4.
匯率變動對臺灣服務輸出的影響
5.
J曲線效果是否存在--亞洲四小龍的實證研究
6.
匯率與總體經濟變數之關係:臺灣實證分析
7.
An Empirical Study of a Direct approach to English Conversation Instruction
8.
購買力平價說與結構性變動--美/臺實質匯率之實證研究
9.
臺灣貨幣供給與農工產品物價互動關係之驗證
10.
臺灣出口廠商面臨的匯率風險
11.
影響匯率波動因素之探討--以出口財價格為例
12.
臺灣匯率與資本移動關聯性之探討
13.
美元兌新臺幣匯率的緩長記憶
14.
匯率及其波動對我國出口產業的影響
15.
貨幣學派之匯率決定模型與匯率預測--臺灣之實證研究
1.
策略決策特性、競爭優勢策略與經營績效的關係--台灣電子資訊業之實證研究
2.
資產選擇與貨幣政策--臺灣的實證研究1985∼1989
3.
企業市場評價與投資之關係----台灣之實證研究
4.
最適穩定政策----台灣實證研究
5.
有效匯率與輸入性物價膨脹:台灣之實證研究
無相關書籍
無相關著作
無相關點閱
QR Code