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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 王泓仁(Hung-Jen Wang) | |
dc.contributor.author | Lu-Dao Chia | en |
dc.contributor.author | 賈魯道 | zh_TW |
dc.date.accessioned | 2021-05-20T21:43:33Z | - |
dc.date.available | 2010-12-09 | |
dc.date.available | 2021-05-20T21:43:33Z | - |
dc.date.copyright | 2010-08-12 | |
dc.date.issued | 2010 | |
dc.date.submitted | 2010-08-10 | |
dc.identifier.citation | 郭雅筑 (2009),「小型開放經濟下貨幣當局外匯干預政策不對稱性探討」,國立台灣大學經濟學系碩士論文。
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(2001), “Official Intevention in the Foreign Exchange Market: Is it Effective and, if so, How Does it Work? ' Journal of Economic Literature, 39(3): 839-68. Schwert, G. W. (1989), “Tests for unit roots: A Monte Carlo investigation, ” Journal of Business and Economic Statistics, 7(2): 147-159. Sims, C. A. (1988), “Bayesian Skepticism on Unit Root Econometrics, ” Journal of Economic Dynamics and Control, 12(2-3): 463-474. Taylor, J.B. (1993), ”Discretion Versus Policy Rule in Practice, ” Carnegie Rochester Conference Series on Public Policy, 39: 195-214. Tsay, R. S. (1989), ”Testing and Modelling Threshold Autoregressive Processes, ” Journal of the American Statistical Association 84(405): 231-240. Tong, H. (1978), ”On a threshold model, ” Pattern Recognition and Signal Processing, ed. C. H. Chen, Kluwer: Amsterdam. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/10610 | - |
dc.description.abstract | 對於日益國際化的現今社會中,進出口及國際金融對於一國的經濟穩定及經濟成長都有重大的影響,此間匯率所扮演的角色極為重大。因此貨幣當局在考量政策時,常將外匯干預政策視為重要的一環。本研究使用Erik Post(2006)架構,推導外匯干預反應函數,理論預測出口比例越大的國家,對於匯率變動會以越大的幅度來干預。
本研究利用六國資料 (美國、英國、日本、澳洲、瑞士和義大利) 從1991年4月到1998年12月的跨國月資料,以各國各月的出口比例做為門檻變數,使用Hansen(1999)的追蹤資料門檻自我回歸模型,來探討外匯干預的政策,是否會依出口比例的影響,而有結構性的不同。本篇並處理外匯干預與出口比例可能具有內生性的疑慮,使用落後一期和Caner與Hansen(2004)的工具變數門檻自我回歸模型來做處理。實證結果發現,在對匯率做內生性的處理後,都可發現其驗證理論所預期「出口比例越大者,外匯干預幅度亦越大」,而在對門檻做內生性處理後,則發現所估測出的門檻與未處理內生性之前的門檻值大致相符。 | zh_TW |
dc.description.provenance | Made available in DSpace on 2021-05-20T21:43:33Z (GMT). No. of bitstreams: 1 ntu-99-R97323032-1.pdf: 4016615 bytes, checksum: bdd2a880225b49f63172a668b251f482 (MD5) Previous issue date: 2010 | en |
dc.description.tableofcontents | 1 前言 1
2 文獻回顧................................................................................................................3 2.1 外匯干預文獻回顧......................................................................................3 2.1.1 外匯干預反應函數.......................................................................4 2.1.2 外匯干預管道...............................................................................6 2.2 門檻自我迴歸模型......................................................................................7 2.2.1 門檻自我迴歸模型.......................................................................7 2.2.2 追蹤資料自我迴歸模型...............................................................8 2.2.3 自我迴歸模型與內生性問題處理...............................................8 3 模型設定..............................................................................................................10 3.1 理論模型....................................................................................................10 3.2 實證模型....................................................................................................13 3.2.1 門檻自我迴歸模型.....................................................................13 3.2.2 門檻檢定.....................................................................................15 4 資料敘述與處理...................................................................................................17 4.1 模型變數....................................................................................................17 4.2 追蹤資料單根檢定....................................................................................21 5 實證結果與分析..................................................................................................23 5.1 追蹤資料門檻自我迴歸模型…………………………………………………………………23 5.2 工具變數追蹤資料門檻自我迴歸模型………………………………………………...25 5.3 處理門檻變數內生性_使用追蹤資料門檻自我迴歸模型.......................29 6 結語 31 7 參考文獻 33 8 附錄 38 | |
dc.language.iso | zh-TW | |
dc.title | 外匯干預與出口依賴程度之實證分析 | zh_TW |
dc.title | Empirical Analysis of
Foreign Exchange Intervention and Export Dependence | en |
dc.type | Thesis | |
dc.date.schoolyear | 98-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 陳南光(Nan-Kuang Chen) | |
dc.contributor.oralexamcommittee | 徐之強(Chih-Chiang Hsu),姚睿(Rui Yao) | |
dc.subject.keyword | 外匯干預,匯率政策,追蹤資料,門檻迴歸, | zh_TW |
dc.subject.keyword | foreign exchange intervention,exchange rate policy,panel data,threshold regression model, | en |
dc.relation.page | 52 | |
dc.rights.note | 同意授權(全球公開) | |
dc.date.accepted | 2010-08-10 | |
dc.contributor.author-college | 社會科學院 | zh_TW |
dc.contributor.author-dept | 經濟學研究所 | zh_TW |
顯示於系所單位: | 經濟學系 |
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