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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 陳思寬 | |
dc.contributor.author | Yin-Hsiang Yang | en |
dc.contributor.author | 楊滎湘 | zh_TW |
dc.date.accessioned | 2021-06-08T00:07:12Z | - |
dc.date.copyright | 2013-08-20 | |
dc.date.issued | 2013 | |
dc.date.submitted | 2013-08-12 | |
dc.identifier.citation | 中文文獻
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Bahmani-Oskooee, M., (1997), Response of Domestic Production to Depreciation in Korea: an Application of Johansen's Conintegration Methodology, International Economic Journal, 11, Issue 4, 103-112. 6. Bahmani-Oskooee, M. (1998). Are devaluations contractionary in LDCs?. Journal of Economic Development, 23(1), 131-144. 7. Bahmani-Oskooee, M., (1998), Cointegration Approach to Estimate the Long-Run Trade Elasticities in LDCs, International Economic Journal, Korean International Economic Association, 12, Issue 3, 89-96. 8. Bahmani-Oskooee, M. Chomsisengphet, S. and M. Kandil, (2002), Are devaluations contractionary in Asia, Journal of Post Keynesian Economics, 25, 69-81. 9. Bahmani-Oskooee, M. and K. Orhan, (2003), Relative Responsiveness of Trade Flows to a Change in Prices and Exchange Rate, International Review of Applied Economics, 17, Issue 3, 293-308. 10. Carlos, F. and Diaz-Alejandro, (1963), A note on the impact of devaluation and the redistributive effect, Journal of Political Economy, 71, 577-580. 11. Choudhri, E.U. and D. Hakura, (2001), Exchange rate pass-through to domestic prices: does the inflationary environment matter? , IMF Working Paper. 12. Dickey, D. A. and W. A. Fuller,(1979), Distribution of the Estimation for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74, Issue 366a, 427-431. 13. Dickey, D.A. and W.A. Fuller, (1981), Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49, 1057-1072. 14. Dornbusch, R. (1976), Expectations and exchange rate dynamics. Journal of Political Economy, 84, 1161-1176. 15. Edwards, S., (1986), Are Devaluations Contractionary?, Review of Economics and Statistics, 68, No. 3, 501-508. 16. Edwards, S., (1989), Exchange Controls, Devaluations and Real Exchange Rates: The Latin American Experience, Economic Development and Cultural Change, 37, No. 3, 457-494. 17. Engle, R.F. and C.W.J. Granger, (1987), Co-integration and error correction: Representation, estimation and testing, Econometrica, 55, 251-276. 18. Fang, Wen Shwo and Siephen M. Miller, (2004), Exchange Rate Depreciation and Exports: The Case of Singapore Revisited, Manuscript. 19. Fleming, M. J., (1962), Domestic Financial Policies under Fixed and under Floating Exchange Rates. IMF Staff Papers, 9, 369-379. 20. Gagnon, J. E. and J. Ihrig, (2004), Monetary Policy and Exchange Rate Pass-Through, International Journal of Finance and Economics, 315-338. 21. Granger, C. W. J. and P. Newbold, (1974), Spurious Regressions in Econometrics, Journal of Econometrics, 26, 1045-1066. 22. Hetemi-J, A and M. Irandoust, (2000), Exchange Rates and Interest Rates: Can Their Causality Explain International Capital Mobility, International Trade Journal, 4, Issue 3, 299-314. 23. Hooper, P. and S. W. Kohlagen, (1978), The Effects of Floating Exchange Rate Uncertainty on the price and Volume of International Trade, Journal of International Economics, 8, 483-511. 24. Johansen, S., (1988), Statistical Analysis of Cointegration Vectors, Journal of economic dynamics and control, 12, 231-254. 25. Johansen, S. and K. Juselius, (1990), Maximum likelihood estimation and inference on cointegration - With applications to the demand for money, Oxford Bulletin of Economics and Statistics, 52, 169-210. 26. Kandil, M., (2006), On the Transmission of Exchange Rate Fluctuations to the Macro economy: Contrasting Evidence for Developing and Developed Countries, The Journal of International Trade & Economic Development: An International and Comparative Review, 15, Issue 1, 101-127. 27. Kikuchi, T., (2004). The impact of exchange rate volatility on bilateral exports in East Asian countries, MSc Thesis Graduate School of Systems and Information Engineering, University of Tsukuba. 28. Konuki, T., (2000), The Effects of Monetary and Fiscal Policy on Aggregate Demand in a Small Open Economy: An Application of the Structural Error Correction Model, IMF working paper, No.165. 29. Krugman, P. and L. Taylor, (1978), Contractionary effects of devaluation, Journal of International Economics, 8, 445-56. 30. Mundell, A. R., (1963). Capital mobility and stabilization policy under fixed and flexible exchange rates. Canadian Journal of Economics and Political Science, 29 (no. 4), 475-485. 31. Saang Joon Baak , M. A. Al-Mahmood and S. Vixathep, (2007), Exchange rate volatility and exports from East Asian countries to Japan and the USA, Applied Economics, 39, No. 8, 947-959. 32. Said, S. and D. Dickey (1984), Testing for Unit Roots in Autoregressive-Moving Average Model of Unknown Order, Biometrika, 71, Issue 3, 599-607 33. Phillips, P.C.B. and P. Perron. (1988), Testing for a unit root in time series regression, Biometrika, 75, 335-346. 34. Upadhyaya, K. P., (1999), Currency Devaluation, Aggregate Output, and the Long Run: An Empirical Study, Economics Letters, 64, 197-202. 35. Viaene, M. J. and C. G. de Vries, (1992), International Trade and Exchange Rate Volatility, European Economic Review, 36/6, 1311-1321. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/17331 | - |
dc.description.abstract | 本論文研究為探討名目匯率變動對一國之總體經濟變數的影響,所討論之總體經濟變數為產出、物價、出口、進口和利率。研究之國家為一大型開放之經濟體系:日本為實證研究之對象。研究期間為1985年一月至2013年二月。
探討之主題為: 1. 匯率和產出 2. 匯率和物價 3. 匯率和進口 4. 匯率和出口 5. 匯率和利率 6. 匯率和所有探討之總體因素 本論文之研究資料樣本為時間序列,所以研究方法首先,對樣本進行單根檢定(Unit Root Test),之後使用Johansen兩階段共整合檢定(Johansen Cointegration Test)檢驗其是否共整合,接下來,進行向量誤差修正模型(Vector Error Correction Model)之分析,最後使用衝擊反應函數(Impulse Response Function),了解假使日本匯率受到一單位標準差之外生衝擊時,所討論之總體經濟變數對此匯率衝擊產生之反應之強度和方向,以探討匯率變動對日本總體經濟變數之影響和影響程度。 藉由實證結果,當日本匯率貶值會造成日本之產出、進口和利率增高,但是不利於出口、物價。此實證之結果與Mundell-Fleming的國際總體經濟理論相互比較,進口及物價之結果反應方向與經濟理論相同,但是出口及產出的方向與傳統之總體經濟理論相反。 | zh_TW |
dc.description.abstract | This thesis empirically investigated the impact of nominal exchange rate fluctuations of Japan on their macroeconomic variables from January 1985 to February 2013. Those economic variables included production, price level, export, import and interest rate. We tried to look into knowing the relation between exchange rate and any of the economic variables above such as exchange rate and price level.
The type of data was time series, so we used unit root test to examine whether the data is stationary or not. And then we tested the relation of cointegration by Johansen cointegration test and use vector error correction model. Finally, the method of impulse response function facilitated the understanding of the response of macroeconomic variable when the exchange rate changed. We found that for Japan, depreciation of exchange rate was a better choice for economic growth, interest rate and import, but not as good for export and price level. To conclusion, empirical result of production, import and price level was in accordance with the traditional open macroeconomic result but the result of the other variables such as export and interest rate is not. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T00:07:12Z (GMT). No. of bitstreams: 1 ntu-102-R00724054-1.pdf: 462720 bytes, checksum: 28171f56941f17896813e6d7a542017e (MD5) Previous issue date: 2013 | en |
dc.description.tableofcontents | 謝詞 ii
摘要 iii Abstract iv 目錄 v 表目錄 vii 圖目錄 viii 第一章 緒論 1 第一節 研究動機 1 第二節 研究目的 2 第三節 研究架構 2 第四節 研究流程 4 第二章 文獻回顧 5 第一節 匯率與產出 5 第二節 匯率與物價 7 第三節 匯率與進出口 7 第四節 匯率與利率 8 第三章 研究方法 10 第一節 單根檢定 10 第二節 共整合檢定 14 第三節 向量誤差修正模型 16 第四節 衝擊反應函數 17 第四章 實證結果與分析 18 第一節 資料來源與處理 20 第二節 單根檢定 23 第三節 共整合檢定 25 第四節 向量誤差修正模型 27 第五節 衝擊反應模型 36 第五章 結論與後續建議 40 第一節 結論 40 第二節 建議 41 參考文獻 42 表目錄 表(4.1) 探討日本經濟變數資料來源 20 表(4.2) ADF單根檢定 24 表(4.3) 經一階差分後之單根檢定結果 24 表(4.4) 兩變數之對角元素和檢定與最大概似法之共整合關係檢定結果 26 表(4.5) 所有變數之對角元素和檢定與最大概似法之共整合關係檢定結果 26 表(4.6)匯率與產出誤差修正檢定係數表 28 表(4.7) 匯率與物價誤差修正檢定係數表 30 表(4.8) 匯率與出口誤差修正檢定係數表 31 表(4.9) 匯率與進口誤差修正檢定係數表 32 表(4.10) 匯率與利率誤差修正檢定係數表 33 表(4.11) 匯率與所有經濟變數誤差修正檢定表 35 表(4.12) 匯率與所有經濟變數之共整合關係式 36 圖目錄 圖(4.1)日圓兌美元名目匯率:1985年一月至2013年二月 19 圖(4.2)產出:工業生產指數:1985年一月至2013年二月 21 圖(4.3)物價:消費者物價指數:1985年一月至2013年二月 21 圖(4.4)日本出口值(單位:十億日元):1985年一月至2013年二月 22 圖(4.5)日本進口值(單位:十億日元):1985年一月至2013年二月 22 圖(4.6)日本利率1985年一月至2013年二月 23 圖(4.7) 日本匯率的衝擊對產出的反應 37 圖(4.8)日本匯率的衝擊對物價的反應 37 圖(4.9) 日本匯率的衝擊對出口的反應 38 圖(4.10) 日本匯率的衝擊對進口的反應 39 圖(4.11) 日本匯率的衝擊對利率的反應 39 | |
dc.language.iso | zh-TW | |
dc.title | 日本名目匯率變動與其國內總體經濟數據的關係 | zh_TW |
dc.title | The Impact of Nominal Exchange Rate Fluctuations of Japan on Their Macroeconomic Variables | en |
dc.type | Thesis | |
dc.date.schoolyear | 101-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 萬哲鈺,高一誠 | |
dc.subject.keyword | 匯率,產出,物價,出口,進口,利率,共整合,衝擊反應,日本, | zh_TW |
dc.subject.keyword | Exchange rate,Production,Export,Import,Price level, Cointegration test,Impulse response,VECM,Japan, | en |
dc.relation.page | 46 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2013-08-13 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
顯示於系所單位: | 國際企業學系 |
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