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題名：美元兌新臺幣匯率的緩長記憶
書刊名：管理學報
作者：洪茂蔚 引用關係／鍾經樊 引用關係／李丹
作者(外文)：Hung, Mao-wei／Chung, Ching-fan／Lee, Tan
出版日期：1998
卷期：15:3
頁次：頁455-472
主題關鍵詞：匯率；緩長記憶；部分差分；模型估計；Exchange rate；Long memory；Fractional differencing；Model estimation
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(2) 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:2
  • 共同引用共同引用:14
  • 點閱點閱:62
　　　　　本研究採用「自迴歸移動平均部分整合模式」，並以近似最大概似法估計美元兌 新台幣匯率的長短期行為。實證結果發現，美元匯率為一具緩長之記憶之非恆定序列，而此 種現象將改變外匯避險的最適避險比率。我們也發現，美元匯率的長期持續現象在「中心匯 率」制度實施期間較強，在民國78年3月4日匯率改制後，該種長期持續現象有轉弱的趨勢， 但仍舊相當顯著。
　　　　　A flexible and parsimonious auto-regressive fractionally integrated moving average (ARFIMA) model is applied to examine both the long-term and short-term behavior of the US/NT spot rates. The approximate maximum likelihood methods are used for estimation. The fractional differencing parameter is found to be significantly different from zero, indicating that the US/NT spot rates exhibit long memory. We also find that the long-range persistenge persistence behavior is weaker after the "Negotiated Exchange Rate Systems" abolished on April 3, 1989.
期刊論文
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7.Frenkel, Jacob A.(1976)。A monetary approach to the exchange rate: doctrinal aspects and empirical evidence。Scandinavian Journal of Economics，78(2)，200-224。  new window
8.Cheung, Y. W.(1993)。Long Memory in Foreign Exchange Rates。Journal of Business and Economic Statistics，11，93-101。  new window
9.Granger, C. W. J.(1980)。Long Memory Relationships and the Aggregation of Dynamic Models。Journal of Econometrics，14(2)，227-238。  new window
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11.Geweke, J. F.、Porter‐Hudak, S.(1983)。The estimation and application of long memory time series models。Journal of Time Series Analysis，4(4)，221-238。  new window
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16.Cochrane, John H.(1988)。How Big is the Random Walk in GNP?。Journal of Political Economy，96(5)，893-920。  new window
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18.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。  new window
19.Baillie, Richard T.、Chung, Ching-Fan、Tieslau, Margie A.(1996)。Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model。Journal of Applied Econometrics，11(1)，23-40。  new window
20.Dornbusch, Rudiger(1976)。Expectations and Exchange Rate Dynamics。Journal of Political Economy，84(6)，1161-1176。  new window
21.Baillie, Richard T.、Bollerslev, Tim(1989)。Common Stochastic Trends in a System of Exchange Rates。The Journal of Finance，44(1)，167-181。  new window
22.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica，55(2)，251-276。  new window
23.Kroner, Kenneth F.、Sultan, Jahangir(1993)。Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures。Journal of Financial and Quantitative Analysis，28(4)，535-551。  new window
24.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。  new window
25.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。  new window
26.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika，75(2)，335-346。  new window
27.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance，25(2)，383-417。  new window
28.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
29.Sowell, F.(1992)。Maximum Likelihood Estimation of Stationary Univariate Fractionally Integrated Time Series Models。Journal of Econometrics，53，165-188。  new window
30.林恩從(1994)。即期匯率隨機漫步檢定－以臺灣匯市為例。管理科學學報，11(3)，483-498。  延伸查詢new window
31.Blough, S. R.(1992)。The Relationship between Power and Level for Generic Unit Root Tests in Finite Samples。Journal of Applied Econometrics，7，295-308。  new window
32.Booth, G. G.、Kaen, F. R.、Koveos, P. E.(1982)。R/ S Analysis of Foreign Exchange Rates Under Two International Monetary Regimes。Journal of Monetary Economics，10，407-415。  new window
33.Cassel, G.(1919)。The Depreciation of the German Mark。The Economic Journal，29。  new window
34.Chung, C. F.(1996)。Estimating A Generalized Long Memory Process。Journal of Econometrics，73，237-259。  new window
35.Chung, C. F.(1996)。A Generalized Fractionally Integrated Autoregressive Moving Average Process。Journal of Time Series Analysis，17，111-140。  new window
36.Chung, C. -F.、Ballie, R. T.(1993)。Small Sample Bias in Conditional Sun-of-Squares Estimators of Fractionally Integrated ARMA Models。Empirical Economics，18，791-806。  new window
37.Taqqu, M. S.、Fox, R.(1986)。Large-Sample Properties of Parameter Estimates for Strongly Dependent Stationary Gaussian Time Series。Annals of Statistics，14(2)，517-532。  new window
38.Helms, B. P.、Kaen, F. R.、Rosenman, R. E.(1984)。Memory in Commodity Futures Conditions。The Journal of Futures Markets，4，559-567。  new window
39.Hosking, J. R. M.(1984)。Modeling Persistence in Hydrological Time Series Using Fractional Differencing。Water Resources Research，20(12)，1898-1908。  new window
40.Li, W. K.、McLeod, A. I.(1986)。Fractional Time Series Modeling。Biometrika，73，217-221。  new window
41.McLeod, A. I.、Hipel, K. W.(1978)。Preservation of the Rescaled Adjust Range 1, A Reassessment of the Hurst Phenomenon。Water Resources Research，14，491-508。  new window
42.Mussa, M. L.(1974)。A Monetary Approach to Balance of Payments Analysis。Journal of Money, Credit and Banking，6，333-351。  new window
43.Sowell, F. B.(1990)。The Fractional Unit Root Distribution。Econometrica，58(2)，495-505。  new window
44.Sowell, F.(1992)。Modeling Long-run Behavior with the Fractional ARIMA Model。Journal of Monetary Economics，29(2)，277-302。  new window
45.Stockman, A. C.(1987)。The Equilibrium Approach to Exchange Rates。Federal Reserve Bank of Richmond Economic Review，73，12-30。  new window
46.Meese, R. A.、Singleton, K. J.(1982)。On Unit Roots and the Empirical Modeling of Exchange Rates。The Journal of Finance，37，1029-1035。  new window
研究報告
1.Chung, C. -F.、Hung, M. W.(1995)。A General Model for Short-term Interest Rates。0。  new window
學位論文
1.謝侑樺(1992)。每日即期匯率穩定性之探討－自迴歸條件變異數模式，0。  延伸查詢new window
2.蘇之敏(1992)。外匯市場效率性之研究－臺灣實證分析，0。  延伸查詢new window
圖書
1.Cassel, G.(1922)。Money and Foreign Exchange after 1914。New York：MacMillan。  new window
2.Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。  new window
3.Box, G. E. P.、Jenkins, G. M.、Reinsel, G. C.(1976)。Time Series Analysis: Forecasting and Control。San Francisco：Holden-Day。  new window
4.Baillie, R. T.、McMahon, P. C.(1989)。The Foreign Exchange Market: Theory and Econometric Evidence。The Foreign Exchange Market: Theory and Econometric Evidence。沒有紀錄。  new window
5.Einzig, P.(1967)。A Dynamic Theory of Forward Exchange。A Dynamic Theory of Forward Exchange。London, UK。  new window
 
 
 
 
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