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來源文獻資料
摘要
外文摘要
引文資料
題名:
匯率與沖銷干預--臺灣的實證研究
書刊名:
經濟論文叢刊
作者:
朱美麗
/
曹添旺
/
簡美瑟
作者(外文):
Chu, Mei-lie
/
Tsaur, Tien-wang
/
Chien, Mei-se
出版日期:
1996
卷期:
24:3
頁次:
頁383-411
主題關鍵詞:
匯率沖銷干預
;
抵銷係數
;
Exchange rates
;
Sterilized intervention
;
Offset coefficient
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
3
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:
2
共同引用:
5
點閱:23
鑑於沖銷干預的實證文獻,多著重於資產市場的分析:而忽略財貨市場 與經常帳的影響,本文擬建立一包括資產與財貨市場的匯率沖銷干預模型,再以 共積方法進行台灣的實證研究,結果發現納入財貨市場後,本國通貨與債券對匯 率、外匯存底的影響會降低。文中並估計台灣的抵銷係數,得到的估計值相當小, 顯示貨幣政策有相當高的自主性。而過去文獻因忽略財貨市場與經常帳的影響, 以致所估計的抵銷係數絕對值偏高。
以文找文
By setting up a portfolio balance model with a goods market undermanaged floating exchange rates, this research explores the influence of expansions of money and bonds on exchange rates, and foreign reserves when the central bank adopts sterilized inrervention.Cointegration analysis is adopted to rest the theoretical long-runrelationships among economic variables. It is shown that the central bank intervention policy is that of leaning against, the wind.The inclusion of a goods market lessens the effects of changes inpolicies on exchange rates and foreign reserves in the long run. andempirical evidence also verifies these findings. The offset coefficientis estimated with a value smaller than previous studies. This indicates a shift in the attitude of the central bank in recent years.
以文找文
期刊論文
1.
Swoboda, A. K.(1972)。Equilibrium, Quasi-equilibrium and Macroeconomic Policy under Fixed Exchange Rates。Quarterly Journal of Economics,86,162-171。
2.
Ramsey, James B.(1969)。Tests for Specification Errors in Classical Linear Least Squares Regression Analysis。Journal of the Royal Statistical Society: Series B (Methodological),31(2),350-371。
3.
Koenker, R.(1981)。A Note on Studentizing a Test for Heteroscedasticity。Journal of Econometrics,17(1),107-112。
4.
Dominguez, K. M.、Frankel, J. A.(1993)。Does Foreign Exchange Intervention Matter? The Portfolio Effect。The American Economic Review,83(5),1356-1369。
5.
MacDonald, R.、Taylor, M. P.(1991)。The Monetary Approach to the Exchange Rate: Long-run Relationships and Coefficient Restrictions。Economics Letters,37,179-185。
6.
Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of estimators for autoregressive time series with a unit root。Journal of The American Statistical Association,74,427-431。
7.
彭德明(19870900)。資本移動、沖銷操作與貨幣供需。中央銀行季刊,9(3),21-47。
延伸查詢
8.
Branson, W. H.、Halttunen, H.、Masson, P.(1977)。The Dollar-Deutschemark Rate。European Economic Review,10(3),303-324。
9.
Chu, Y. P.、Lai, C. C.、Hsiao, W. T.、Chang, W. Y.(1986)。Exchange Rate Intervention and Capital Mobility Control-Comparisions and Simultaneous Optimization。Journal of Development Economics,23(1),119-134。
10.
Darby, J.、Wreb-Lewis, S.(1993)。Is There and Cointegrating Vector for UK Wages?。Journal of Economic Studies,20(1),87-115。
11.
Gylfason, T.、Helliwell, J. F.(1983)。A Synthesis of Keynesian, Monetary, and Portfolio Approaches to Flexible Exchange Rates。The Economic Journal,93(371),820-831。
12.
Ghosh, A. R.(1992)。Is It Signalling? Exchange Intervention and the Dollar-Deutschemark Rate。Journal of International Economics,32(1),201-220。
13.
Godfrey, L.(1978)。Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables。Econometrica,46(6),1303-1310。
14.
Hendry, D. F.、Ericsson, N. R.(1991)。An Econometric Analysis of U.K. Money Demand in Monetatry Trends in the United States and the United Kingdom by Milton Friend and Anna J. Schwartz。American Economic Review,81(3),8-38。
15.
Herring, R.、Marston, R.(1977)。Sterilizaion Policy: The Trade-off Between Monetary Autonomy and Control over Foreign Exchange Reserves。European Economice Review,10(3),352-343。
16.
Johansen, S.(1990)。Co-Integration, Error and Purchasing Power Parity between Canada and the United States。Canadian Journal of Economics,23(4),839-855。
17.
Johansen, S.、Juselius, K.(1992)。Testing Structrual Hypothesis in a Multivariate Cointegration Analysis of the PPP and the UIP for UK。Journal of Econometrics,53(1),211-244。
18.
Kouri, P. J. K.、Porter, M. G.(1974)。International Capital Flows and Portfolio Equilibrium。Journal of Political Economy,82(3),443-467。
19.
Lai, C. C.(1981)。Sterilization Operations and Macroeconomic Policies under Alternative Exchange Rate Systems: A Case of Positived IS Curve。Indian Journal of Economics,62(245),197-206。
20.
Lai, C. C.(1983)。A Note on Fixed Exchange Rates, Partial Sterilization Operations, and Macroeconomic Policies。Indian Journal of Economics,63(250),387-390。
21.
Loopesko, B. E.(1984)。Relationships among Exchange Rates, Intervention and Interest Rates: An Empirical Investigation。Journal of International Money and Finance,3(3),257-277。
22.
Natividad, F.、Stone, J. A.(1990)。A General Equilibrium Model of Exchange Market Intervention with Variable Sterilization。Journal of International Economics,29(1),133-145。
23.
Obstfeld, M.(1983)。Exchange Rates, Inflation, and the Sterilization Problem-Germany, 1975-1981。European Economic Review,21(1),161-189。
24.
O'connell, J.(1983)。Complete Sterilization and Perfect CaaComplete Sterilization and Perfect Capital Mobilitypital Mobility。Economics Letters,12(1),69-72。
25.
O'connell, J.(1986)。Sterilization and Stability。Economics Letters,21(1),53-56。
26.
Rogoff, K.(1984)。On the Effects of Sterilized Intervention: An Analysis of Weekly Data。Journal of Monetary Economics,14(2),133-150。
27.
Godfrey, Leslie G.(1978)。Testing Against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables。Econometrica,46(6),1293-1302。
28.
Karefakis, C. I.、Parikh, A.(1993)。A cointegration approach to monetary targeting in Australia。Australian Economic Papers,32(2),53-72。
29.
Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika,65(2),297-303。
30.
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。
31.
Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。
32.
Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。
33.
曹添旺、朱美麗、李慧虹(19931200)。外匯干預、沖銷措施、匯率與非貿易財價格之動態調整。經濟論文叢刊,21(4),381-410。
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研究報告
1.
Gonzalo, J.(1989)。Comparison of five alternative methods of estimating long run equilibrium relationships。San Diego:University of California。
2.
Juselius, K.(1990)。Long-Run Relations in a Well Defined Statistical Model for the Data Generating Process. Cointegraion Analysis of the PPP and UIP Relations。Institute of Economics, University of Copenhagen。
3.
Kaminsky, G. L.、Lewis, K. K.(1993)。Does Foreign Exchange Intervention Signal Future Monetary Policy。
學位論文
1.
陳莉佩(1994)。購買力平價檢定暨匯率決定相關因素之探討(碩士論文)。淡江大學。
延伸查詢
2.
鍾俊文(1990)。資產選擇與貨幣政策--臺灣的實證研究1985∼1989(博士論文)。國立臺灣大學。
延伸查詢
3.
曾應泉(1994)。長期購買力平價理論之再驗證--台灣與主要工業國家間之實證研究(碩士論文)。國立中正大學。
延伸查詢
圖書
1.
Tumovsky, S. J.(1977)。Macroeconomic Analysis and Stabilization Policies。Cambridg University Press。
2.
滑明曙(1983)。世界物價齊一論與國際間通貨膨脹的傳遞。中華經濟研究院。
延伸查詢
3.
Krugman, P. R.、Obstfeld, M.(1994)。International Economics。New York:Harper Collins College Publishers。
4.
Agry, V.(1981)。The Postwar Internaional Money Crisis--An Analysis。London:George Allen k Unwin。
5.
Fuller, W. A.(1976)。Intrduction to Statistical Time Series。New York:John Wiley and Sons。
6.
Gardeazabal, J.、Regulez, M.(1992)。The Monetary Model of Exchange Rates and Cointegration: Estimation, Testing and Prediction。New York:Springer-Verlag。
7.
MacDonald, R.(1988)。Floating Exchange Rates: Thories and Evidence。London:Allen and Unwin。
8.
Dornbusch, Rudiger(1980)。Open Economy Macroeconomics。New York:Basic Books。
單篇論文
1.
朱美麗,曹添旺,簡美瑟(1995)。匯率、經常帳與干預型態。
延伸查詢
2.
朱美麗,簡美瑟(1995)。資本帳管制與央行干預行為之分析。
延伸查詢
3.
Fry, M. J.(1989)。Effects of Balance-of-Payments and Financial Liberalization on Monetary Control in Taiwan, 1961-1988,Tamkang University。
圖書論文
1.
梁發進(1983)。台灣之貨幣供給、物價與國際收支。林葭蕃教授八秩晉--榮慶貨幣金融論文集。
延伸查詢
2.
Bhandari, J.(1982)。A Stochastic General Equilibrium Model of the Open Economy Under Controlled Floating。Exchange Rate Determination and Adjustment。
3.
Hendry, D. F.(1987)。Econometric Methodology: A Personal Perspective。Advances in Econometrics。Cambridge:Cambridge University Press。
4.
Turnovsky, S. J.(1983)。Exchange Market Intervention Policies in a Small Open Economy。Exchange Rate Determination and Adjustment。
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