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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 陳旭昇(Shiu-Sheng Chen) | |
dc.contributor.author | Cheng-Che Hsu | en |
dc.contributor.author | 許誠哲 | zh_TW |
dc.date.accessioned | 2021-06-17T00:18:55Z | - |
dc.date.available | 2012-06-29 | |
dc.date.copyright | 2012-06-29 | |
dc.date.issued | 2012 | |
dc.date.submitted | 2012-06-28 | |
dc.identifier.citation | 陳旭昇(2007), 時間序列分析-總體經濟與財務金融之應用-, 東華書局, 2009修訂版.
Andersen, Torben G., Bollerslev, Tim, Diebold, Francis X., and Vega, Clara (2003), “Micro effects of macro announcements:real-time price discovery in foreign exchange”, American Economic Review, 93, 38–62. Bry, Gerhard and Boschan, Charlotte (1971), “Cyclical analysis of time series: Selected procedures and computer programs”, National Bureau of Economic Research, Inc, NBER Books. Chen, Shiu-Sheng (2011), “Predicting swings in exchange rates with macro fundamentals”, Working Paper. Chen, Yu-Chin and Tsang, Kwok Ping (2011), “What does the yield curve tell us about exchange rate predictability?”, Forthcoming in Review of Economics and Statistics. Cheung, Yin-Wong, Chinn, Menzie D., and Pascual, Antonio Garcia (2005), “Empirical exchange rate models of the nineties: Are any fit to survive?”, Journal of International Money and Finance, 24(7), 1150–1175. Diebold, Francis X. and Rudebusch, Glenn D. (1989), “Scoring the leading indicators”, Journal of Business, 62(3), 369–391. Dornbusch, Rudiger (1976), “Expectations and exchange rate dynamics”,Journal of Political Economy, 84(6), 1161–1176. Engel, Charles (1994), “Can the markov switching model forecast exchange rates?”, Journal of International Economics, 36, 151–165. Engel, Charles and Hamilton, James D. (1990), “Long swings in the dollar: Are they in the data and do markets know it?”, American Economic Review, 80(4), 689–713. Engel, Charles, Mark, Nelson C., and West, Kenneth D. (2007), “Exchange rate models are not as bad as you think”, National Bureau of Economic Research, Inc, NBER Working Paper 13318. Engel, Charles and West, Kenneth D. (2005), “Exchange rates and fundamentals”, Journal of Political Economy, 113(3), 485–517. Estrella, Arturo (1998), “A new measure of fit for equations with dichotomous dependent variables”, Journal of Business and Economic Statistics, 16(2),198–205. Froot, Kenneth A. and Rogoff, Kenneth (1995), “Perspectives on ppp and long-run real exchange rates”, Handbook of International Economics, 3, 1647–1688. Mark, Nelson C. (1995), “Exchange rates and fundamentals: Evidence on long-horizon predictability”, American Economic Review, 85(1), 201–218. Mark, Nelson C. and Sul, Donggyu (2001), “Nominal exchange rates and monetary fundamentals: Evidence from a small post-bretton woods panel”, Journal of International Economics, 53, 29–52. Meese, Richard A. and Rogoff, Kenneth (1983), “Empirical exchange rate models of the seventies: Do they fit out of sample”, Journal of International Economics, 14, 3–24. Molodtsova, Tanya and Papell, David H. (2009), “Out-of-sample exchange rate predictability with taylor rule fundamentals”, Journal of International Economics, 77, 167–180. Phillips, Peter C. B. and Hansen, Bruce E. (1990), “Statistical inference in instrumental variables regression with i(1) processes”, The Review of Economic Studies, 57(1), 99–125. Rime, Dagfinn, Sarno, Lucio, and Sojli, Elvira (2010), “Exchange rate forecasting, order flow and macroeconomic information”, Journal of International Economics, 80, 72–88. Rogoff, Kenneth S. and Stavrakeva, Vania (2008), “The continuing puzzle of short horizon exchange rate forecasting”, National Bureau of Economic Research, Inc, NBER Working Paper 14071. Rossi, Barbara (2005), “Testing long-horizon predictive ability with high persistence, and the meese-rogoff puzzle”, International Economic Review, 46(1), 61–92. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/66012 | - |
dc.description.abstract | 本文參考Chen (2011) 之研究方法, 以12 個已開發國家的月資料為樣本, 對匯率升貶值之趨勢進行預測。本研究以期間利差作為關鍵解釋變數設立模型。由於期間利差對市場資訊反應極為迅速, 我們預期加入期間利差可以增加模型的解釋能力。為了比較期間利差對於模型解釋能力的影響,我們進一步考慮不放入期間利差的模型。此外我們亦關心期間利差相對於利率所增加的解釋能力,因而進一步建立一個以利率取代期間利差的模型。除了自設模型外, 本文亦使用貨幣模型、購買力平價模型以及考慮利率平滑的泰勒法則模型作為比較。儘管模型對於短期以及長期的匯率趨勢預測, 無法於所有國家皆具最佳的解釋力, 但實證結果顯示, 加入期間利差的模型其整體表現較佳。本文的研究結果可對於未來匯率趨勢的預測提供可靠的參考意見。 | zh_TW |
dc.description.abstract | This paper follows the emprical models from Chen (2011), using monthly data from 12 developed country to predict the swings in exchange rate (major trends in depreciation or appreiation). In our research, term spread is treated as the key variable to construct the empirical model. Because its sensitivity to the market information is quite strong, it would expected to increase the explanatory power of the exchange rate swing. We also consider a model without term spread to compare the marginal effect, and a model with interest rate instead of term spread. In addtion to our model, we also apply monetary model, purchase power parity model and Taylor rule model with interest rate smoothing for robustness. Although our model do not being very suceccful at all horizon on all country, however, our empirical result shows the term spread model performs better on long-horizon forecasting. Out result provides a reliable prediction for future exchange rate trends. | en |
dc.description.provenance | Made available in DSpace on 2021-06-17T00:18:55Z (GMT). No. of bitstreams: 1 ntu-101-R99323048-1.pdf: 781552 bytes, checksum: 5847c45b8d00420d345a09146c5a739c (MD5) Previous issue date: 2012 | en |
dc.description.tableofcontents | 1 前言 1
2 實證模型 5 2.1 模型設定. . . . . . . . . . . . . . . . . . . . 5 2.2 匯率預測模型. . . . . . . . . . . . . . . . . . 7 3 資料敘述 11 3.1 資料來源及定義. . . . . . . . . . . . . . . . .11 3.2 資料期間及樣本內外期間長度. . . . . . . . . . .12 4 實證結果 13 4.1 匯率趨勢的認定以及初步檢視. . .. . . . . . . . 13 4.2 模型顯著性檢視. . . . . .. . . . . . . . . . . 14 4.3 模型預測力比較. . . . . . . . . . . . . . .. . 15 4.4 預測匯率變動率的表現. . . . . . . . . . . . . 17 4.5 臺灣資料實證結果. . . . . . . . . . . . . . . 17 4.6 穩健性檢視. . . . . . . . . . . . . . . . . . 18 5 結語 20 參考文獻 22 附錄 24 附圖與附表 26 | |
dc.language.iso | zh-TW | |
dc.title | 期間利差能否預測匯率之升貶趨勢? | zh_TW |
dc.title | Does Term Spread Predict the Swings in Exchange Rate? | en |
dc.type | Thesis | |
dc.date.schoolyear | 100-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 張勝凱(Sheng-Kai Chang),周有熙(Yu-Hsi Chou) | |
dc.subject.keyword | 匯率預測,匯率趨勢,期間利差, | zh_TW |
dc.subject.keyword | exchange rate forecasting,exchange rate swings,term spread, | en |
dc.relation.page | 37 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2012-06-28 | |
dc.contributor.author-college | 社會科學院 | zh_TW |
dc.contributor.author-dept | 經濟學研究所 | zh_TW |
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