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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 黃志典(Jyh-Dean Hwang) | |
| dc.contributor.author | Shang-En Kang | en |
| dc.contributor.author | 康上恩 | zh_TW |
| dc.date.accessioned | 2021-06-17T03:47:11Z | - |
| dc.date.available | 2021-03-02 | |
| dc.date.copyright | 2018-03-02 | |
| dc.date.issued | 2017 | |
| dc.date.submitted | 2018-01-27 | |
| dc.identifier.citation | 中文參考文獻
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[3] Ahumada, H., and Cornejo, M., 2015, Long-run Effects of Commodity Prices on the Real Exchange Rate: Evidence from Argentina, Económica, La Plata,Vol. LXI: 3-33. [4] Arezki, R., Dumitrescu, E., Freytag, A., and Quintyn, M., 2012, Commodity Prices and Exchange Rate Volatility: Lessons from South Africa’s Capital Account Liberalization, IMF working paper 168. [5] Balassa, B., 1964, the Purchasing-Power Parity Doctrine: A Reappraisal, Journal of Political Economy, Vol. 72, No. 6, 584-596 [6] Bashar, O. K. M. R., and Kabir, S.H., 2013, Relationship between Commodity Prices and Exchange Rate in Light of Global Financial Crisis: Evidence from Australia, International Journal of Trade, Economics and Finance, Vol. 4, No. 5,265. [7] Bilson, J. F. O., 1978, The Monetary Approach to the Exchange Rate: Some Empirical Evidence, IMF Staff Papers, Vol. 25, No.1, 48-75. 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J., 1987, Co-Integration and Error Correction: Representation, Estimation, and Testing, Econometrica, Vol. 55, No. 2, 251-276. [27] Frenkel, J.A., 1976, A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence, The Scandinavian Journal of Economics,Vol. 78, No. 2, 200-224. [28] Frenkel, J.A., 1981, Flexible Exchange Rates, Prices and the Role of News: Lessons from the 1970s, Journal of Political Economy, Vol.89, No.4 , 665-706. [29] Frankel, J.A. , 2007, On the Rand: Determinants of the South African Exchange Rate, NBER Working Paper ,No. 13050. [30] Gonzalo, J., 1994, Five Alternative Methods of Estimating Long-Run Equilibrium Relationships, Journal of Econometrics, Vol. 60, No. 1-2, 203-233. [31] Granger, C. W. J. , 1969, Investigating Causal Relations by Econometric Models and Cross-spectral Methods, Econometrica, Vol. 37, No. 3 ,424-438. [32] Granger, C. W. J. , 1981, Some Properties of Time Series Data and Their Use in Econometric Model Specification, Journal of Econometrics, Vol. 16,No. 1, 121-130. [33] Granger, C.W.J., and Newbold, P., 1974, Spurious Regressions in Econometrics, Journal of Econometrics, Vol. 2, No. 2, ,111-120. [34] Habib, M. M., Kalamova, M.M., 2007, Are There Oil Currencies? The Real Exchange Rate of Oil Exporting Countries, European Central Bank, No. 839. [35] Hatzinikolaou, D., and Polasek, M., 2003, the Commodity- Currency View of the Australian Dollar: a Multivariate Cointegration Approach, Journal of Applied Economics, Vol. 8, No. 1, 81-99 [36] Johansen, S., and Juselius, K., 1990, Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, Vol. 52, No.2, 169-210. [37] Kia, A. , 2012, Determinants of the Real Exchange Rate in a Small Open Economy: Evidence from Canada, Journal of International Financial Markets, Institutions and Money, Vol. 23, 163–178. [38] Korhonen, I., and Juurikkala, T., 2009, Equilibrium Exchange Rates in Oil-Exporting Countries, Journal of Economics and Finance, Vol. 33, No.1, 71-79. [39] Krugman, P.R. , 1978, Purchasing Power Parity and Exchange Rates: another Look at the Evidence, Journal of International Economics,Vol. 8 , No.3, 397- 407. [40] Lütkepohl, H., Saikkonen, P., and Trenkler, C., 2001, Maximum Eigenvalue versus Trace Tests for the Cointegrating Rank of a VAR Process,The Econometrics Journal Vol. 4, No. 2, 287-310. [41] Mac Donald, R. , 1995, Long-Run Exchange Rate Modeling: a Survey of the Recent Evidence, IMF Staff Papers, Vol 42, No.3, 437-489. [42] Meese, R.A., and Rogoff, K., 1983, Empirical Exchange Rate Models of the Seventies : Do They Fit out of Sample, Journal of International Economics , Vol.14, No.1-2, 3-24. [43] Milesi-Ferretti, G.M., 2008, Fundamentals at Odds? The U.S. Current Account Deficit and the Dollar, Economic Notes, Vol.37, No.3, 259-281. [44] Mussa, M., 1986, Nominal Exchange Rate Regimes and the Behavior of Real Exchange Rates: Evidence and Implications, Journal of International Economics, Vol. 25, No.1, 117-214. [45] Nelson,C. R., and Plosser, C.I., 1982, Trend and Random Walks in Macroeconomic Time Series- Some Evidence and Implications, Journal of Monetary Economics,Vol. 10,No.2, 139-162. [46] Rogoff, K., 1996, the Purchasing Power Parity Puzzle, Journal of Economic Literature, Vol. 34, No. 2. , 647-668. [47] Ricci, L.A., Milesi-Ferretti, G.M., and Lee, J., 2008, Real Exchange Rates and Fundamentals: A Cross‐Country Perspective, Journal of Money, Credit and Banking, Vol. 45, No.5, 845-865. [48] Powell, J., 1999,《A History of the Canadian Dollar》,Bank of Canada Press Available http://www.bankofcanada.ca/2005/12/a-history-of-the-canadian-dollar-by-james-powell/ [49] Said, S.E., and Dickey, D.A., 1984, Testing for Unit Roots in Autoregressive-moving Average Models of Unknown Order, Biometrika, Vol.71, No.3, 599-607. [50] Samulson, P. A., 1964, Theoretical Notes on Trade Problems, The Review of Economics and Statistics, Vol.46, No.2 , 145-154. [51] Simpson, J. L., 2002, The Relationship between Commodity Prices and the Australian Dollar. EFMA 2002 London Meetings. [Online]. Available http://ssrn.com/abstract=314872 or http://dx.doi.org/10.2139/ssrn.314872 [52] Sims, C. A., 1980, Macroeconomics and Reality, Econometrica, Vol. 48, No. 1 , 1-48. [53] Taylor, A.M., 2002, A Century Of Purchasing-Power Parity, Review of Economics and Statistics, Vol. 84, No.1, 139-150. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/70167 | - |
| dc.description.abstract | 本文使用共整合檢定、向量誤差修正模型以及Granger因果關係檢定探討1980年至2016年間，澳洲、加拿大以及南非貨幣與原物料價格之間的關聯。這三個國家的匯率與原物料價格存在很高的聯動，素有商品貨幣之稱。本文以國際收支理論為架構分析匯率與原物料價格的關係，同時就單一國家分別使用三種不同的原物料價格指數(R/J CRB 期貨商品指數、世界銀行卑(貴)金屬指數以及按出口比重編製的原物料價格指數)比較結果。本文實證結果如下:
(一)長期而言，三種不同原物料指數與三個國家匯率存在共整合關係，其中R/J CRB 期貨商品指數對澳洲、加拿大以及南非貨幣的影響是一致的，均呈現負向關係，亦即R/J CRB 期貨商品指數上升時，將使這三國貨幣升值。 (二)短期而言，澳洲、加拿大以及南非的匯率會受到原物料價格指數落後期、貨幣供給量落後期的修正調整。短期影響澳洲匯率的因素，還包含淨國外資產落後期因素；就南非匯率而言，貿易財生產力的落後項也是短期調整匯率重要因子。 (三)各國在原物料價格指數與匯率領先與落後關係有很大的差異。澳洲匯率領先原物料價格指數；加拿大的匯率與能源價格指數呈現雙向回饋關係，顯示加國的匯率與能源類價格緊密關聯；至於南非則是原物料價格指數(以貴金屬為主)領先南非匯率。 | zh_TW |
| dc.description.abstract | This paper investigates the relationship between the commodity price and exchange rate behavior (Australian dollar, Canadian dollar and South African rand) of using cointegration test, vector error correction (VEC) Model and Granger causality test during the period of 1980 to 2016. This paper is based on the balance of international payment theory proposed by MacDonald (1995) and uses three different kinds of commodity price indexes (R/J CRB, World Bank Base MetalPrecious Metal index and commodity price index calculated by the proportion of export commodity value) to investigate the effects on exchange rate. The findings are stated below:
1.In the long run, there is cointegration between three commodity price indexes and the exchange rates of Australia, Canada and South Africa. Among of them, the relation between R/J CRB and these tree commodity currencies is negative. 2.In the short run, three commodity currencies are affected by lag of commodity price index and the lag of money supply. In the short term, Australian dollar is also influenced by the lag of net foreign asset. As for South African Rand, the lag of the tradable goods productivity is an important factor to adjust the deviation of exchange rate. 3.The results of Granger causality between commodity price and exchange rate are totally different for these three countries. In Australia, the exchange rate behavior leads commodity price. In term of Canadian dollar, there is feedback relationship between Canadian exchange rate and Energy price index. As for South African Rand, Precious Metal Price index leads its exchange rate. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-17T03:47:11Z (GMT). No. of bitstreams: 1 ntu-106-R04724018-1.pdf: 1607341 bytes, checksum: 455a6b253d34a7d3b6ef85b5c13697bc (MD5) Previous issue date: 2017 | en |
| dc.description.tableofcontents | 口試委員審定書 I
誌謝 II 中文摘要 III ABSTRACT IV 目錄 V 圖目錄 VII 表目錄 VIII 第一章 緒論 1 1.1研究背景與動機 1 1.2研究目的 3 1.3研究架構與流程 4 1.4商品貨幣及國際原物料市場背景概述 5 第二章 匯率決定理論 13 2.1國際收支學說 13 2.2購買力平價說 14 2.3利率平價理論 16 2.4貨幣分析方法 17 2.5資產組合平衡法 21 第三章 文獻探討 23 3.1國外文獻 23 3.2國內文獻 28 第四章 研究方法 30 4.1模型設計與變數定義 30 4.2變數定義 32 4.3單根檢定 37 4.4共整合檢定 39 4.5向量誤差修正模型(VECM) 41 4.6 Granger因果關係檢定 43 第五章 實證結果與分析 45 5.1資料來源 45 5-2單根檢定結果 47 5-3 Johansen共整合檢定結果 51 5-4向量誤差修正模型結果 62 5-5 Granger 因果關係檢定結果 69 第六章 結論與建議 77 6.1結論 77 6.2後續研究建議 78 參考文獻 79 | |
| dc.language.iso | zh-TW | |
| dc.title | 原物料價格與商品貨幣之關聯性分析-以澳幣、加幣、南非幣為例 | zh_TW |
| dc.title | The Relationship between Commodity Prices and Commodity Currencies: The Cases of Australian Dollar,Canadian Dollar and South African Rand | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 106-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 廖咸興(Hsien-Hsing Liao),林世銘(Suming Lin) | |
| dc.subject.keyword | 商品貨幣,原物料價格,國際收支理論,共整合檢定,向量誤差修正模型,Granger因果關係檢定, | zh_TW |
| dc.subject.keyword | commodity currency,commodity price,balance of international payment theory,cointegration test,vector error correction model,Granger causality test, | en |
| dc.relation.page | 85 | |
| dc.identifier.doi | 10.6342/NTU201701416 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2018-01-29 | |
| 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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