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題名:亞太新興市場股價、匯率與利率之價格行為-Panel共整合與VAR模型之應用
作者:史大麗
作者(外文):Ta-Li Shih
校院名稱:雲林科技大學
系所名稱:管理研究所博士班
指導教授:胥愛琦
楊踐為
學位類別:博士
出版日期:2012
主題關鍵詞:Panel VAR模型Panel 共整合檢定價格行為Panel CointegrationPrice BehaviorPanel VAR Model.
原始連結:連回原系統網址new window
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  • 點閱點閱:43
本研究主要以亞太新興市場之股價指數、匯率、利率三變數為研究對象,探討三變數間之價格行為與互動關係。採用Panel 共整合檢定、Panel 向量自我迴歸模型、衝擊反應函數及預測誤差變異分解之研究方法,比較亞洲金融風暴與美國次貸危機事件發生前後,三變數價格行為之變化與影響;並進一步呈現三變數之衝擊反應與價格行為關係。
研究結果發現:(1)亞太新興市場股價指數、匯率、利率之價格行為具有共整合關係。(2)匯率變動率與股價報酬率有雙向因果關係,匯率變動率與利率變動率亦有雙向因果關係,但是股價報酬率與利率變動率僅有單向因果關係。(3)亞洲金融風暴與美國次貸危機發生前後,三變數價格行為關係的確會改變。
This study examines the price behavior and their interaction of stock prices, exchange rates and interest rates in the Asia Pacific emerging markets. We employ panel cointegration tests and vector autoregressive model, generalized impulse response function to test for pairwise long-run equilibrium relationship between stock prices, exchange rates and interest rates. Furthermore, we compare the price behavior resulting in three variables change and influence from the Asian financial crisis and the U.S. subprime mortgage crisis events.
The empirical results of panel cointegration still show that three variables have cointegration relationship. From vector autoregressive model, generalized impulse response functions point out that the stock prices, exchange rates has dual relationship and exchange rates, interest rate has dual relationship, too. On the other hand, stock prices, interest rate just have one-side relationship. The price behavior of the three variables does change after these financial crises, indeed.
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