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題名：臺灣利率轉嫁過程之實證研究
書刊名：輔仁管理評論
作者：何怡滿 引用關係／袁崇訓
作者(外文)：Ho, Emily／Yuan, Chung-hsung
出版日期：2018
卷期：25:2
頁次：頁1-28
主題關鍵詞：利率轉嫁過程；共整合檢定；誤差修正模型；STAR模型；Interest rate pass-through process；Co-integration test；Error correction model；STAR model
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(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:1
  • 點閱點閱:12
期刊論文
1.Van Dijk, D.、Teräsvirta, T.、Franses, P. H.(2002)。Smooth Transition Autoregressive Models: A Survey of Recent Developments。Econometric Reviews，21(1)，1-47。  new window
2.Gambacorta, L.、Iannotti, S.(2007)。Are There Asymmetries in the Response of Bank Interest Rates to Monetary Shocks?。Applied Economics，39(19)，2503-2517。  new window
3.Marotta, G.(2009)。Structural Breaks in the Lending Interest Rate Pass-Through and the Euro。Economic Modelling，26，191-205。  new window
4.Wang, K.-M.、Lee, Y.-M.(2009)。Market Volatility and Retail Interest Rate Pass Through。Economic Modelling，26(6)，1270-1282。  new window
5.馮惠珊、余惠芳、高偉娟(20130500)。臺灣重貼現率對所得利率物價匯率關聯性之探討。華人前瞻研究，9(1)，1-14。new window  延伸查詢new window
6.Skalin, J.、Teräsvirta, T.(1999)。Another Look at Swedish Business Cycles, 1861-1988。Journal of Applied Econometrics，14(4)，359-378。  new window
7.Haug, A. A.、Siklos, P. L.(2006)。The Behavior of Short-term Interest Rates: International Evidence of Non-linear Adjustment。Studies in Nonlinear Dynamics and Econometrics，10(4)，1-34。  new window
8.Wang, K. M.、Thi, T. B. N.(2010)。Asymmetric Pass-through and Risk of Interest Rate: An Empirical Exploration of Taiwan and Hong Kong。Applied Economics，42(5)，659-670。  new window
9.Taylor, Mark P.、Peel, David A.、Sarno, Lucio(2001)。Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles。International Economic Review，42(4)，1015-1042。  new window
10.Neumark, David、Sharpe, Steven A.(1992)。Market Structure and the Nature of Price Rigidity: Evidence from the Market for Consumer Deposits。Quarterly Journal of Economics，107(2)，657-680。  new window
11.Schwert, G. W.(1989)。Testing for Unit Roots : A Monte Carlo Investigation。Journal of Business and Economics Statistics，7(2)，147-159。  new window
12.Luukkonen, R.、Saikkonen, P.、Teräsvirta, T.(1988)。Testing Linearity against Smooth Transition Autoregressive Model。Biometrika，75(3)，491-499。  new window
13.Teräsvirta, Timo(1994)。Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models。Journal of the American Statistical Association，89(425)，208-218。  new window
14.Hannan, T. H.、Berger, A. N.(1991)。The Rigidity of Prices: Evidence From the Banking Industry。American Economic Review，81(4)，938-945。  new window
15.Michael, Panos、Nobay, Robert A.、Peel, David A.(1997)。Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation。Journal of Political Economy，105(4)，862-879。  new window
16.Paya, I.、Venetis, I. A.、Peel, D. A.(2003)。Further Evidence on PPP Adjustment Speeds: The Case of Effective Real Exchange Rates and the EMS。Oxford Bulletin of Economics and Statistics，65(4)，421-437。  new window
17.Eitrheim, Ø.、Teräsvirta, T.(1996)。Testing the Adequacy of Smooth Transition Autoregressive Models。Journal of Econometrics，74(1)，59-75。  new window
18.Engle, Robert F.、Yoo, Byung Sam(1987)。Forecasting and Testing in Co-Integrated Systems。Journal of Econometrics，35(1)，143-159。  new window
19.Engle, Robert F.、Granger, Clive W. J.(1987)。Co-integration and Error Correction: Representation, Estimation, and Testing。Econometrica: Journal of the Econometric Society，55(2)，251-276。  new window
20.王冠閔、李源明、黃柏農(2009)。預期、非預期貨幣政策的衝擊與不對稱的利率轉嫁。台灣經濟預測與政策，45(2)，189-235。  延伸查詢new window
21.Aziakpono, M. J.(2006)。Financial Integration amongst the SACU Countries: Evidence from Interest Rate Pass-through Analysis。Journal for the Studies in Economics and Econometrics，30(2)，1-23。  new window
22.Deschamps, P. J.(2008)。Comparing Smooth Transition and Markov Switching Autoregressive Models of US Unemployment。Journal of Applied Econometrics，23(4)，435-462。  new window
23.Ellingsen, T.、Söderström, U.(1999)。Monetary Policy and Market Interest Rates。The American Economic Review，91(5)，1594-1607。  new window
24.González, A.、Teräsvirta, T.(2006)。Simulation-based Finite Sample Linearity Test against Smooth Transition Models。Oxford Bulletin of Economics and Statistics，68，797-812。  new window
25.Haughton, A. Y.、Iglesias, E. M.(2012)。Interest Rate Volatility, Asymmetric Interest Rate Pass through and the Monetary Transmission Mechanism in the Caribbean Compared to US and Asia。Journal for Economic Modelling，29(6)，2071-2089。  new window
26.Iregui, A. M.、Milas, C.、Otero, J.(2002)。On the Dynamics of Lending and Deposit Interest Rates in Emerging Markets: A Non-linear Approach。Studies in Nonlinear Dynamics & Econometrics，6(3)。  new window
27.Lanne, M.(2002)。Nonlinear Dynamics of Interest Rates and Inflation。Journal of Applied Econometrics，21(8)，1157-1168。  new window
28.Sander, H.、Kleimeier, S.(2002)。Asymmetric Adjustment of Commercial Bank Interest Rates in the Euro Area: An Empirical Investigation into Interest Rate Pass-through。Kredit und Kapita，35(2)，161-192。  new window
29.Yüksel, E.、Özcan, K. M.(2013)。Interest Rate Pass-through in Turkey and Impact of Global Financial Crisis: Asymmetric Threshold Cointegration Analysis。Journal of Business Economics and Management，49(4)，687-708。  new window
30.Zhou, J.(2010)。Smooth Transition Autoregressive Models: A Study of the Industrial Production Index of Sweden。Department of Statistics，22，1174-1177。  new window
31.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics，2(2)，111-120。  new window
32.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika，75(2)，335-346。  new window
33.Said, S. E.、Dickey, David A.(1984)。Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order。Biometrika，71(3)，599-607。  new window
34.Hutchison, D. E.(1995)。Retail Bank Deposit Pricing: An Intertemporal Asset Pricing Approach。Journal of Money, Credit and Banking，27(1)，217-231。  new window
研究報告
1.Liew, V. K. S.、Baharumshah, A. Z.、Habibullah, M. S.、Midi, H.(2008)。Monetary Exchange Rate Model: Supportive Evidence from Nonlinear Testing Procedures。University Library of Munich。  new window
2.Lowe, P.、Rohling, T.(1992)。Loan Rate Stickiness: Theory and Evidence。Reserve Bank of Australia。  new window
學位論文
1.張惠萍(2004)。利率期限結構非線性平滑轉換誤差修正模型之分析(碩士論文)。淡江大學。  延伸查詢new window
圖書
1.Granger, Clive W. J.、Teräsvirta, Timo(1993)。Modelling nonlinear economic relationships。New York：Oxford University Press。  new window
2.Freixas, X.、Rochet, J. C.(1997)。Microeconomics of banking。Cambridge, MA：MIT Press。  new window
3.Franses, P. H.、Van Dijk, D. J.(2000)。Nonlinear Time Series Models in Empirical Finance。Cambridge University Press。  new window
圖書論文
1.Teräsvirta, T.(1998)。Modeling economic relationships with smooth transition regressions。Handbook of Applied Economic Statistics。Dekker。  new window
2.Escribano, A.、Jordà, O.(1999)。Improved Testing and Specification of Smooth Transition Regression Models。Nonlinear Time Series Analysis of Economic and Financial Data。Dordrecht Kluwer Academic Publishers。  new window
 
 
 
 
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