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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 陳思寬(Shikuan Chen) | |
| dc.contributor.author | Jr-Hung Lin | en |
| dc.contributor.author | 林誌宏 | zh_TW |
| dc.date.accessioned | 2021-06-08T05:09:49Z | - |
| dc.date.copyright | 2011-07-26 | |
| dc.date.issued | 2011 | |
| dc.date.submitted | 2011-07-20 | |
| dc.identifier.citation | 中文部分：
張銘仁，2007，實質匯率持續性的實證研究，中山管理評論，第十五卷第三期：p.613-636。 陳旭昇，2009，時間序列分析總體經濟與財務金融之應用，東華書局，修訂版。 黃志典，2009，國際金融—理論政策與應用，前程文化事業有限公司，初版。 楊奕農，2009，時間序列分析經濟與財務上之應用，雙葉書廊，第二版。 英文部分： Blomberg, S.B., Frieden J., and Stein, E., 2005, “Sustaining Fixed Rates: The Political Economy of Currency Pegs in Latin America”, Journal of Applied Economics, Vol. 8, 203-225. Calvo, G.A., Izquierdo, A., and Talvi, E., 2003, “Sudden Stops, the Real Exchange Rate, and Fiscal Sustainability: Argentina’s Lessons”, NBER, Working paper, No. 9828. Cheung, Y., and Lai, K.S., 2000, “On the Purchasing Power Parity Puzzle”, Journal of International Economics, Vol. 52, 312-330. Clague, C.K., 1988, “Purchasing-Power Parities and Exchang e Rates in Latin America”, The University of Chicago Press, Vol.36, No. 3. Elliott, G., Rothenberg, T., and Stock, J.H., 1996, “Efficient Tests for an Autoregressive Unit Root”, Econometrica, Vol. 64, 813-836. Frankel, J.A., and Rose, A.K., 1996, “A Penal Project on Purchasing Power Parity: Mean Reversion Within and Between Countries”, Journal of International Economics, Vol.40, 209-224. Frenkel, J.A., 1978, “Purchasing Power Parity: Doctrinal Perspective and Evidence from the 1920s”, Journal of International Economics, Vol.8, 169-191 Frenkel , R., and Rapetti M., 2010, “A Concise History of Exchange Rate Regimes in Latin America”, Center for Economic and Policy Research. Imbs, J., Mumtaz, H., Rvan, M.O., and Rey, H., 2005, “PPP Strikes Back: Aggregation and the Real Exchange Rate”, Quarterly Journal of Economics, Vol. 120, 1-43. International Monetary Fund Staff, 2006, “De Facto Classification of Exchange Rate Regimes and Monetary Policy Framework”, IMF Staff Papers. Klaus, S.H., Werner, A., Hausmann R., Chang, R., 2002, “Inflation Targeting in Brazil, Chile, and Mexico: Performance, Credibility, and the Exchange Rate”, Economía, Vol. 2, No.2, 31-89. Konig, W., 1968, “Multiple Exchange Rate Policies in Latin America”, Journal of Inter-American Studies, Vol. 10, No.1, 35-52. Liu, P.C., 1992, “Purchasing Power Parity in Latin America: A Co-integration Analysis”, Review of World Economics, Vol.128, No. 4, 662-680. MacKinnon, J.G., 1990, “Critical Values for Cointegration Tests”, Queen’s Economics Department, Working paper, No. 1227. Mussa, M., 1986, “Nominal Exchange rate regimes and the Behavior of Real Exchange Rates: Evidence and Implications”, Carnegie-Rochester Conference Series on Public Policy, Vol. 25, 117-214. Nelson, C.R., and Plosser, C.R., 1982, “Trends and Random Walks in Macroeconomic Time Series”, Journal of Monetary Economics, Vol. 10, 139-162. Newey, W.K., and West, K.D., 1994, “Automatic Lag Selection in Covariance Matrix Estimation”, Review of Economic Studies, Vol. 61, 631-653. Rodrik, D., 2008, “The Real Exchange Rate and Economic Growth Comments and Discussion”, Brookings Papers on Economic Activity, 365-412. Rogoff, K., 1996, “The Purchasing Power Parity Puzzle”, Journal of Economic Literature, Vol. 34, 647-668. Sarno, L., and Taylor, M.P., 2002, “Purchasing Power Parity and the Real Exchange Rate”, IMF Staff Papers, Vol. 49, No. 1, 65-105 . Steinsson, J., 2008, “The Dynamic Behavior of the Real Exchange Rate in Sticky Price Models”, NBER, Working Paper, No. 13910. Wei, S., and Parsley D.C., 1995, “Purchasing Power Disparity During the Floating Rate Period: Exchange Rate Volatility, Trade Barriers and Other Culprit”, NBER, Working Paper, No. 5032. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/23765 | - |
| dc.description.abstract | 本文運用拉丁美洲國家資料，重新檢視拉丁美洲等開發中國家的實質匯率半衰期是否仍然落入Rogoff (1996)所提出的「購買力平價謎團」。計量方法參考 Cheung and Lai (2000)的單根檢定法，同時考慮不同檢定方法檢視時間序列的恆定性，並採用自我迴歸移動平均模型模擬時間序列的動態過程。將估計模型加諸一單位外在衝擊後，觀察其實質匯率的收斂速度。本研究採用拉丁美洲等國兌美元與日圓的雙邊實質匯率，估計半衰期約為4.12年，仍落入過去學者所估計三至五年的期間。此外，研究中亦發現，樣本中的國家皆有非單調的鐘型衝擊反應路徑，其原因可能與物價僵固性有關。 | zh_TW |
| dc.description.abstract | In this paper, we use the real exchange rates of Latin America countries to reexamine the “purchasing power parity puzzle” by Rogoff in 1996. We refer to Cheung and Lai (2000) of unit root tests, and consider different testing conditions to examine the persistence of time series. This paper will use the autoregressive moving average (ARMA) model to simulate the dynamic processes of time series. Moreover, we also investigate the converge speed of real exchange rates by one unit shock. Our study uses the bilateral real exchange rates, US dollar and Japanese yen, of the developing countries in Latin America. Generally, the half-life is about 4.12 years, still in the period of 3 to 5 years. Moreover, we also find that the dynamic response patterns of these countries are non-monotonic hump-shaped, which may be caused by sticky-price. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T05:09:49Z (GMT). No. of bitstreams: 1 ntu-100-R98724060-1.pdf: 516217 bytes, checksum: a7cc8988b580aa8f34763586a63b3337 (MD5) Previous issue date: 2011 | en |
| dc.description.tableofcontents | 誌謝 II
中文摘要 III Abstract IV 圖目錄 VII 表目錄 VIII 第壹章、緒論 1 第一節、研究動機 1 第二節、研究目的 2 第三節、研究架構 2 第貳章、文獻回顧 4 第一節、拉丁美洲國家背景 4 第二節、拉丁美洲國家匯率制度 5 第三節、國內外文獻 7 第參章、研究方法 10 第一節、資料來源與處理 10 第二節、建構實質匯率 11 第三節、單根檢定 12 第四節、ARMA模型與衝擊反應函數 16 第肆章、實證結果 19 第一節、單根檢定結果 19 第二節、AMRA模型與半衰期估計結果 25 第三節、衝擊反應函數 27 第伍章、結論與建議 32 參考文獻 33 附錄 36 | |
| dc.language.iso | zh-TW | |
| dc.title | 實質匯率持續性的研究：以拉丁美洲國家為例 | zh_TW |
| dc.title | A study of persistence in real exchange rates:A case study in Latin America | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 99-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 張銘仁,萬哲鈺 | |
| dc.subject.keyword | 實質匯率,半衰期,拉丁美洲,持續性,自我迴歸移動平均模型, | zh_TW |
| dc.subject.keyword | Real exchange rate,Half-life,Latin America,Persistence,ARMA model, | en |
| dc.relation.page | 43 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2011-07-20 | |
| 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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