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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 陳旭昇 | |
dc.contributor.author | Mei-Ling Chen | en |
dc.contributor.author | 陳枚伶 | zh_TW |
dc.date.accessioned | 2021-06-16T08:08:25Z | - |
dc.date.available | 2014-06-12 | |
dc.date.copyright | 2014-06-12 | |
dc.date.issued | 2014 | |
dc.date.submitted | 2014-05-26 | |
dc.identifier.citation | 1. ALPANDA, S., KOTZÉ, K. and WOGLOM, G., 2010b. The role of the exchange rate in
a New Keynesian DSGE model for the South African economy, South African Journal of Economics, 78: 170‐191. 2. Chaudhuri K. , Daniel B. C., 1998. Long‐run Equilibrium Real Exchange Rates and Oil Prices, Economics Letters, 58(2):231‐8. 3. Caporale, G. M., Gil‐Alana, L. A.,2010. Testing PPP for the South African Rand/US Dollar Exchange Rate at Different Frequencies, Economics and Finance Working Paper, Brunel University, 10‐11. 4. Cody, B.J., Mills, L.O., 1991. The Role of Commodity Prices in Formulating Monetary Policy. Review of Economics and Statistics 73, 358–365. 5. Frankel, J. A., 2007. On The Rand: Determinants of The South African Exchange Rate, South African Journal of Economics, 75, 425‐441 6. Kargbo, J.M., 2004. Purchasing power parity and exchange rate policy reforms in Africa, The South African Journal of Economics, 72, 258‐81. 7. Marquis, M.H., Cunningham, S.R., 1990. Is There a Role of Commodity Prices in the Design of Monetary Policy? Some Empirical Evidence. Southern Economic Journal 57, 394–412. 8. Ocran, Matthew Kofi, and Nicholas Biekpe.,2007. The role of commodity prices in Macroeconomic policy in South Africa. South African Journal of Economics 75.2, 213‐220. 9. Ronald Macdonald & Luca Antonio Ricci, 2004. Estimation Of The Equilibrium Real Exchange Rate For South Africa, South African Journal of Economics,Economic Society of South Africa, vol. 72(2), pages 282‐304, 06. 10. Saayman, A., 2007. The real equilibrium Rand/US Dollar exchange rate: A comparison of alternative measures, International Advances in Economic Research, 13:183‐199. 11. Toda, H.Y., Yamamoto, T., 1995. Statistical Inference in Vector Autoregression with Possibly Integrated Processes. Journal of Econometrics 66, 225–250. 12. 陳旭昇(2011),時間序列分析-總體經濟與財務金融之應用,東華書局。 13. 楊奕農(2011),時間序列分析-經濟與財務上之應用(二版),雙葉書廊有限公司。 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/58213 | - |
dc.description.abstract | 本研究應用時間序列計量方法來探討黃金價格、消費者物價指數、貨幣供給額以及利率等總體經濟變數與南非幣匯率之間的互動關係。研究期間為1971年1月至 2013年4 月的月資料,共508筆月資料觀察值。
利用向量自我迴歸模型探討各個變數之關聯性。研究結果顯示,黃金價格相對於其他總體經濟變數對南非幣兌美元匯率具有解釋力。而從穩健性檢視的VAR模型中匯率的預測誤差變異數分解結果來看,投資人在進行南非幣投資時,可將消費者物價指數視為比較重要的參考指標。本文的研究結果可提供投資人決策或作為南非幣匯率相關學術研究之參考。 | zh_TW |
dc.description.abstract | In this study ranging from January 1971 to April 2013, covering 508 entries of observation data, the time-series econometrics approach is applied to explore the interaction between macro-economic variables, such as gold prices, consumer price inflation (CPI), money supply (M2), and interest rates, and the South African Rand to US Dollar exchange rate.
The correlation between the variables is determined with the vector autoregression model (VAR). The result shows that gold price has more explanatory power than other macro-economic variables in terms of South African rand to US Dollar exchange rate; whereas the result of the forecast error variance decomposition from the robustness check in the VAR indicates that consumer price index is a more important reference index when investing in South African Rand. The results of the study may serve as a reference for investors in their decision-making as well as for academic research on the exchange rate of South African Rand. | en |
dc.description.provenance | Made available in DSpace on 2021-06-16T08:08:25Z (GMT). No. of bitstreams: 1 ntu-103-P00323026-1.pdf: 1873045 bytes, checksum: a31b7f51e459cbb35b3b6be7d1f668fd (MD5) Previous issue date: 2014 | en |
dc.description.tableofcontents | 目錄
第1 章 .................................................................................................................. 1 前言 ....................................................................................................................... 1 第2 章 .................................................................................................................. 5 研究方法 .............................................................................................................. 5 2.1 單根檢定 ...................................................................................................... 6 2.2 向量自我迴歸模型( VAR ) .......................................................................... 9 Granger 因果關係檢定 .................................................................................... 10 衝擊反應函數 ................................................................................................... 11 預測誤差變異數分解 ...................................................................................... 13 第3 章 ................................................................................................................ 14 資料敘述 ............................................................................................................ 14 第4 章 ................................................................................................................ 17 實證結果 ............................................................................................................ 17 4‐1 單根檢定 .................................................................................................. 17 4‐2 向量自我迴歸模型 ( VAR ) ................................................................... 18 Granger 因果關係檢定 .................................................................................... 19 衝擊反應函數分析 ........................................................................................... 20 預測誤差變異數分解 ...................................................................................... 22 4‐3 穩健性檢視 .............................................................................................. 24 第5 章 ................................................................................................................ 27 結語 ..................................................................................................................... 27 參考文獻 ............................................................................................................ 29 附圖與附表 ........................................................................................................ 31 | |
dc.language.iso | zh-TW | |
dc.title | 南非匯率升貶因素之研究 | zh_TW |
dc.title | The Factors Affecting the Exchange Rate in South Africa | en |
dc.type | Thesis | |
dc.date.schoolyear | 102-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 張勝凱,周有熙 | |
dc.subject.keyword | 單根檢定,向量自我迴歸模型,Granger因果關係檢定,衝擊反應分析,預測誤差變異數分解, | zh_TW |
dc.subject.keyword | unit root test,vector autoregression model,Granger causality test,impulse response analysis,forecast error variance decomposition, | en |
dc.relation.page | 49 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2014-05-27 | |
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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