請用此 Handle URI 來引用此文件：
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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 陳旭昇(Chen, Shiu-Sheng) | |
| dc.contributor.author | Ya-Wei Zheng | en |
| dc.contributor.author | 鄭雅蔚 | zh_TW |
| dc.date.accessioned | 2021-06-15T01:31:35Z | - |
| dc.date.available | 2009-07-21 | |
| dc.date.copyright | 2009-07-21 | |
| dc.date.issued | 2009 | |
| dc.date.submitted | 2009-07-20 | |
| dc.identifier.citation | Andrews, Donald W. K. (1989), “Power in econometric applications”,
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/42985 | - |
| dc.description.abstract | Meese and Rogoff (1983)意外發現匯率模型在樣本外預測的表現較隨機漫步模型來得差, 顯示利用具有經濟意義的匯率模型預測名目匯率, 其樣本外預測能力竟遠遜於單純的隨機預測, Mark (1995) 進行長期迴歸檢定, 結果發現當預測期間大於四年時, 匯率模型具有較佳的預測力。然而匯率與市場基要的共整合關係是否存在, 對長期迴歸檢定的結果有相當大的影響。
Engel and West (2005) 認為, 在合理條件下, 匯率走勢近似隨機漫步, 因而匯率模型難以在樣本外預測中擊敗隨機漫步模型, 故建議以樣本內配適度檢視匯率模型之表現。Chen and Chou (2008) 使用Fisher and Seater (1993) 所發展的長期迴歸檢定, 以樣本內配適度檢視匯率模型是否具有預測力。Fisher-Seater檢定的優點在於不需考慮匯率與市場基要之共整合關係是否存在, 但Fisher-Seater 檢定可能存在檢定力較低的問題, 因此使用Andrews (1989) 提出的反 檢定力函數, 觀察是否存在檢定力較低的情況。 本文依照Chen and Chou (2008) 之分析架構, 使用東亞金融風暴後東亞國家的資料, 檢視匯率模型是否具有預測力。結果發現東亞各國資料支持匯率模型的長期預測能力, 匯率模型的預測能力是否隨著預測期間拉長而提升。其中, 貨幣分析的市場基要具有較其他市場基要良好的預測能力。而反檢定力函數之結果, 顯示Fisher-Seater 檢定, 具有檢定力較低的問題, 因此無法正確的拒絕虛無假設, 而低估匯率模型的預測力, 故實際上, 匯率模型的預測力並不若我們想像中的差。 | zh_TW |
| dc.description.provenance | Made available in DSpace on 2021-06-15T01:31:35Z (GMT). No. of bitstreams: 1 ntu-98-R96323033-1.pdf: 925002 bytes, checksum: e72b701ddbff9513357ec6e4a4c2c077 (MD5) Previous issue date: 2009 | en |
| dc.description.tableofcontents | 1 前言1
2 文獻回顧6 3 研究方法15 3.1 Fisher-Seater 檢定. . . . . . . . . . . . . . . . . . . . . . 15 3.2 市場基要. . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 3.2.1 貨幣分析的市場基要. . . . . . . . . . . . . . . . . . 18 3.2.2 泰勒法則的市場基要. . . . . . . . . . . . . . . . . . 20 3.2.3 購買力平價的市場基要. . . . . . . . . . . . . . . . . 23 3.2.4 未拋補利率平價說的市場基要. . . . . . . . . . . . . 23 4 資料來源與單根檢定24 4.1 資料來源. . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 4.2 單根檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 5 實證結果26 5.1 Fisher-Seater 檢定之結果. . . . . . . . . . . . . . . . . . . 26 5.2 反檢定力函數. . . . . . . . . . . . . . . . . . . . . . . . . 28 6 結論31 7 參考文獻33 8 附錄36 | |
| dc.language.iso | zh-TW | |
| dc.subject | 長期迴歸檢定 | zh_TW |
| dc.subject | 匯率 | zh_TW |
| dc.subject | 市場基要 | zh_TW |
| dc.subject | 東亞 | zh_TW |
| dc.subject | fundamental | en |
| dc.subject | East Asia | en |
| dc.subject | long-horizon regression test | en |
| dc.subject | exchange rate | en |
| dc.title | 匯率預測與市場基要-以東亞國家為例 | zh_TW |
| dc.title | Exchange Rates and Fundamentals:
Evidence from East Asia | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 97-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 吳聰敏,張永隆 | |
| dc.subject.keyword | 匯率,市場基要,東亞,長期迴歸檢定, | zh_TW |
| dc.subject.keyword | exchange rate,fundamental,East Asia,long-horizon regression test, | en |
| dc.relation.page | 57 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2009-07-20 | |
| 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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