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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 黃志典 | |
dc.contributor.author | Benjamin Lance Denning | en |
dc.contributor.author | 鄧傑明 | zh_TW |
dc.date.accessioned | 2021-06-13T03:19:23Z | - |
dc.date.available | 2007-07-31 | |
dc.date.copyright | 2006-07-31 | |
dc.date.issued | 2006 | |
dc.date.submitted | 2006-07-27 | |
dc.identifier.citation | Adler, M., Lehmann, B., 1983. Deviations from purchasing power parity in the long run. Journal of Finance 38 (5), 1471-1487.
Amano, R., van Norden, S., 1995. Terms of trade and real exchange rates: the Canadian evidence. Journal of International Money and Finance 14 (1), 83-104. Bilson, J.F.O., 1978. Rational expectations and the exchange rate. In: Frenkel, J., Johnson, H., (Eds.) The economics of exchange rates, Reading: Addison-Wesley Press. Bilson, J.F.O., 1979. The deutsche mark/dollar rate – A monetary analysis. In: Brunner, K., Meltzer, A.H., (Eds.) Policies for employment, prices and exchange rates. Carnegie-Rochester Conference 11, Amsterdam: North-Holland Publishing Company. Cassel, G., 1916. The present situation of the foreign exchanges – I. Economic Journal XXVI, 62-65. Chen, Y.-c., Rogoff, K., 2003. Commodity currencies. Journal of International Economics 60, 133-160. Dornbusch, R., 1976. Expectations and exchange rate dynamics. Journal of Political Economy 84, 1161-1176. Fisher, I. 1930. The Theory of Interest. New York, NY: Macmillan. Frankel, J.A., 1979. On the mark: A theory of floating exchange rates based on real interest differentials. American Economic Review 69, 610-622. Frankel, J.A., 1981. On the mark: Reply. American Economic Review 71, 1075-1082. Frenkel, J.A., 1976. A monetary approach to the exchange rate: Doctrinal aspects and empirical evidence. Scandinavian Journal of Economics 78, 200-224. Hooper, P., Morton, J.E., 1978. Summary measures of the dollar’s foreign exchange value. Federal Reserve Bulletin 64, 783-789. Johansen, S. 1988. Statistical analysis of cointegrating vectors. Journal of Economic Dynamics and Control 12, 231-254. Johansen, S. 1991. Estimation of hypothesis testing of cointegrating vectors in Gaussian vector autoregressive models. Econometrica 59, 1551-1580. Johansen, S., 1992. Cointegration in partial systems and the efficiency of single-equation analysis. Journal of Econometrics 52 (3), 389-402. Meese, R., Rogoff, K., 1983. Empirical exchange rate models of the Seventies: do they fit out of sample. Journal of International Economics 14, 3-24. Obstfeld, M., Rogoff, K., 2000. New directions for stochastic open economy models. Journal of International Economics 50, 117-153. Phillips, P.C.B, Perron, P. 1988. Testing for a unit root in time series regressions. Biometrika 75, 335-346. Roll, R., 1979. Violations of purchasing power parity and their implications for efficient international commodity markets. In: Sarnat, M., Szego, G., (Eds.) International Finance and Trade, Cambridge, MA: Ballinger, pp. 133-176. Yule, U. 1926. Why do we sometimes get nonsense correlations between time-series? A study in sampling and the nature of time-series. Journal of the Royal Statistical Society 89, 1-64. 許瓊瑛(1999),匯率與資本間的共整合關係之研究,東吳大學經濟學研究所碩士論文。 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/31757 | - |
dc.description.abstract | 本研究探討澳洲的匯率與它出口原物料價格的關係。澳洲的匯率自採用浮動匯率的制度後,面臨激烈的波動。實際上,傳統的匯率決定鋰論對匯率變動的解釋力較弱。本文使用不同原物料價格的指標來研究其對澳洲匯率的影響力。本文研究的非能源物價指標不包括煤炭:澳洲的原物料出口量除了煤炭,大部分由黃金、鐵和鋁,非能源的原物料,而組成的。本研究採用誤差修正模型來探討原物料與澳洲匯率之間的關係,發現若緊盯非能源的原物料的價格波動,則可藉此對匯率的未來走勢方向得出一個大致的輪廓。此外,本研究另發現其他原物料指標,有可能因為相對大宗原物料出口是少量的關係,所以無法影響到匯率變動。本研究主要結論有三:一、匯率和原物料的數列在I(1)下,無明顯的趨勢•二、由Johansen的軌跡檢定量指出:長期而言,匯率還是跟所用的變數有一個長期和均衡的關係。三、透過誤差修正模型的檢測,發現一些非能源的原物料價格變動時,匯率會大約落後三個月才能反映原物料價格的變動。 | zh_TW |
dc.description.abstract | This paper looks at the relationship between the real exchange rate and commodity prices. After the adoption of a floating exchange rate, the Australian exchange rate has encountered a lot of highs and lows. As seen in various other studies, traditional exchange rate determination theory finds it hard to explain exchange rate fluctuation. This paper uses three different commodity price indexes to investigate their effect on the exchange rate. Coal is not considered in this study, rather, Australia’s other largest commodity exports, namely non-energy commodities: gold, aluminium and iron are. This paper uses an error correction model to further investigate the Australian exchange rate and its relationship to commodity prices. We find there is significant evidence to suggest that the non-energy commodity price index is an accurate predictor of the Australian exchange rate’s future direction. In addition to the above, we find that other commodity price indexes do not have a significant relationship with the exchange rate. This paper’s main conclusions are: (1) no time trend is seen when first differences are taken of the exchange rate and commodity price time series data; (2) there is a long term relationship between the Australian exchange rate and commodity prices; (3) after investigation by error correction model analysis, we find the Australian exchange rate responds to non-energy commodity prices after approximately three months. | en |
dc.description.provenance | Made available in DSpace on 2021-06-13T03:19:23Z (GMT). No. of bitstreams: 1 ntu-95-R93724092-1.pdf: 462260 bytes, checksum: 4d8c873fc93f92f5e96e9d16a12d0eb4 (MD5) Previous issue date: 2006 | en |
dc.description.tableofcontents | 謝詞 i
目錄 ii 表目錄 iv 圖目錄 v 第一章 研究動機和目的 1 第一節 研究方法 3 第二節 研究流程與步驟 4 第三節 論文架構 5 第二章 匯率決定理論與相關實證文獻回顧 6 貨幣學派方法 11 黏性價格模型 13 Hooper-Morton的模型 13 隨機漫步 14 貨幣學派方法其中的模型外預測能力 14 其他匯率相關理論 18 第三章 計量方法理論 21 第一節 單根檢定 21 第二節 異質變異數 25 第三節 共整合分析法 26 Johansen最大概似估計法檢定過程 29 誤差修正模型 31 第四章 實證模型與變數結果分析 33 第一節 研究對象與資料來源 33 甲、資料來源 33 乙、模型設立 36 第二節 澳洲的實質有效匯率 38 第三節 單根檢定結果分析 39 第四節 共整合結果分析 51 第五節 Granger因果關係分析 53 第六節 誤差修正模型分析 54 第五章 結論 56 附錄一 58 參考文獻 60 英文部分 60 中文部分 62 | |
dc.language.iso | zh-TW | |
dc.title | 澳洲的匯率和原物料價格變動之間的關係 | zh_TW |
dc.title | A Study of the Relationship Between the Real Exchange Rate And Commodity Prices:The Case of Australian | en |
dc.type | Thesis | |
dc.date.schoolyear | 94-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 陳明賢,陳禮潭 | |
dc.subject.keyword | 匯率,原物料價格, | zh_TW |
dc.subject.keyword | real exchange rate,commodity prices, | en |
dc.relation.page | 62 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2006-07-30 | |
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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