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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 梁國源 | |
| dc.contributor.author | Wen-Hao Tsai | en |
| dc.contributor.author | 蔡文豪 | zh_TW |
| dc.date.accessioned | 2021-06-08T05:13:34Z | - |
| dc.date.copyright | 2006-07-14 | |
| dc.date.issued | 2006 | |
| dc.date.submitted | 2006-07-14 | |
| dc.identifier.citation | 參考文獻
梁國源（2006a）, 地緣政治緊張情勢持續撼動油價, 《工商時報》, A6版, 3月6日。 梁國源（2006b）, 國際主要商品價格動向分析, 台灣綜合研究院-金融證券投資諮詢委員會財金論壇, 5月30日。 梁國源、顏承暉（2006）, 國際油價動向分析,《寶華綜合經濟研究院工作報告》, 序號06008。 梁國源、劉建志、顏承暉（2006）, 柏南克財經觀點論析,《台灣經濟論衡》, 4:4, 1-39。 梁國源、顏承暉、蔡文豪（2005）, 國際主要商品價格情勢及展望,《寶華綜合經濟研究院工作報告》, 序號05020。 梁國源、顏承暉、蔡文豪（2006）, 貴金屬供需概況與價格展望, 《寶華綜合經濟研究院工作報告》, 序號06007。 梁國源、朱家祥、王凱民、白紋薰、周大森（2005）《解讀台灣景氣密碼─預測經濟與股市波動》, 台北：富翁情報有限公司， 140pp Altman, E. and B. Gaurav (2004), Default and Returns on High-Yield Bonds, The Journal of Portfolio Management, 30:3, 58-73. Bernanke, B. (1995), The Macroeconomics of the Great Depression: A Comparative Approach, Journal of Money, Credit, and Banking, 27:1, 1-28. Bernanke, B. (2000), Japanese Monetary Policy: A Case of Self-Induced Paralysis? in R. Mikitani and A. Posen eds.: Japan’s Financial Crisis and Its parallels to U.S. Experience, Institute for International Economics, Special Report, 149-166. Bernanke, B. (2002), Deflation: Making Sure It Doesn’t Happen Here, Remarks by Governor Ben S. Bernanke, before the National Economic Club, Washington, D. C., November 21. Bernanke, B. and H. Janes (1991), The Gold Standard, Deflation and Financial Crisis in the Great Depression: An International Comparison, in R. Hubbard (ed.): Financial Markets and Financial Crises, Chicago: University of Chicago Press, 33-68. Bernanke, B. and I. Mihov (1998), Measuring Monetary Policy, Quarter Journal of Economics, 113:2, 869-902. Burns, F. and W. Mitchell (1946), Measuring business cycles, N.Y.: National Bureau of Economic Research. Blanchard, O. (1990), Why Does Money Affect Output, Handbook of Monetary Economics, Amsterdam: North Holland. Cunnyngham, J. (1963), Spectral Analysis of Economic Time Series, Working Paper No. 16, N.Y.: U.S. Department of Commerce, Bureau of the Census. EIA (2006), Short Term Energy Outlook, available on the website at http://www.eia.doe.gov/emeu/steo/pub/contents.html. Erol, U. and E. Balkan. (1991), The Reaction of Stock Returns to Anticipated and Unanticipated changes in Money: a Re-examination of the Evidence in the Frequency Domain, Applied Economics, 23:1, 113-122. Fuller, W. (1976), Introduction to Statistical Time Series, N.Y.: John Wiley & Sons . Granger, C. (1964), Spectral Analysis of Economic Time Series, N.J.: Princeton University Press. Granger, C. (1966), The Typical Spectral Shape of an Economic Variable, Economitrica, 34:1, 150-161. Granger, C. and O. Morgenstern. (1963), Spectral Analysis of Stock Market Prices, Kyklos, 16, 1-27. Hamilton, J. (1987), Monetary Factors in the Great Depression, Journal of Monetary Economics, 19:2, 145-169. Hatanaka, M. (1963), A Spectral Analysis of Business Cycle Indicators: Lead-lag in Terms of All Time Points, Econometric Research Program, Princeton Research Memorandum, No. 53. Hodrick, R. and C. Prescott (1980), Postwar U.S. Business Cycle:An Empirical Investigation, Discussion Paper in Carnegie Mellon University. Hodrick, R. and C. Prescott (1997), Postwar U.S. Business Cycle:An Empirical Investigation, Journal of Money, Credit and Banking, 29:1, 1-16. Keeler, J. (2002), Relative Prices and the Business Cycle, paper presented at the Southern Economic Association Annual Meetings in Tampa, the Society for the Development of Austrian Economics, Session 42C: Research in Empirical Austrian Economics. Knight, F. (1941), The Business Cycle, Interest, and Money: A Methodological Approach, The Review of Economic Statistics, 23:2, 53-67. Moore, G. (1990), Leading Indicators for the 1990s, N.Y.: Irwin Professional Pub. Murphy, J. (2004), Intermarket Analysis, N.Y.: John Wiley & Sons Inc. NBER (2006), US Business Cycle Expansions and Contractions, available on the website at http://www.nber.org/cycles.html. Nerlove, M. (1964), Spectral Analysis of Seasonal Adjustment Procedures, Econometrica, 32, 241-286. Pring, M. (2006), Six Stages of the Business Cycle, available on the website at http://www.pring.com/ptg.htm. Siegel, J. (2002), Stocks for the Long Run, 3rd. ed., N.Y.: Irwin Professional Pub. Smith, P., S. Sorensen and M. Wickens. (2006), The Asymmetric Effect of the Business Cycle on the Relation between Stock Market Returns and Their Volatility, Discussion Papers in Economics, York: Department of Economics, the University of York. Strongin, S. (1995), The Identification of Monetary Policy Disturbances: Explaining the Liquidity Puzzle, Journal of Monetary Economics, 35:3, 463-497. Taylor, J. (1998), Investment Timing and the Business Cycle, N.Y.: Wiley. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/23986 | - |
| dc.description.abstract | 本篇論文主要針對多元市場的連結關係進行討論。文獻上多元市場的討論，主要針對美國的債券、股票、產出以及商品市場的連結關係進行研究。在這裡我們也是採用美國的資料，若依經濟理論，不管景氣走向高峰或衰退，債券及股票市場皆領先產出市場，但債券市場領先的期數大於股票市場，債券市場相較股票市場屬於領先指標中的長指標。但原物料市場有落後產出市場的情形發生。在實證文獻上，債券與股票市場也大致與理論相同，但原物料市場有些許不同於經濟理論，有領先產出市場的情形發生，唯領先期間相當短。此外，本篇論文也分別對美國的產出、股票、債券及原物料市場做出詳細介紹。本文的主要結論有二：一，本實證利用1972年1月至2006年3月美國市場的資料，計算一個完整的景氣循環所需要的時間為5.7年（約68.5個月），與NBER自1945年至2001年所認定10個歷史循環之平均週期67個月相比，相差不大。二，考慮1984年1月至2005年10 月間市場間連結的關係發現，債券市場領先產出市場約6.8至8.1個月，而股票市場亦領先產出市場約5.29至5.83個月。至於商品市場與產出市場幾乎同時變動。經由本篇論文實證的結果可以說明，過去20年間，雖然市場上存在對新經濟造成整個循環態勢發生顯著改變的憂慮，但經由本文的實證結果發現，除了商品市場落後或領先產出市場的情形並非相當顯著，與過去文獻有些出入外，其餘無論從產出市場的循環週期，以及多元市場的連結方面，大致符合過去文獻的結果。 | zh_TW |
| dc.description.provenance | Made available in DSpace on 2021-06-08T05:13:34Z (GMT). No. of bitstreams: 1 ntu-95-R93323045-1.pdf: 861030 bytes, checksum: b0ab680b5989b7d02093273c8617dcdc (MD5) Previous issue date: 2006 | en |
| dc.description.tableofcontents | 目錄
摘要..................................................II ㄧ、緒論..............................................1 二、景氣循環與市場連結分析............................4 2.1景氣循環定義與階段及多元市場連動關係...............4 2.2景氣循環與其他多元市場連動關係.....................8 2.3 多市場分析的特例--通貨緊縮.......................12 三、產出、股票、債券及商品市場簡介...................14 3.1產出市場..........................................14 3.1.1產出市場介紹....................................14 3.1.2 產出市場的頻譜分解與意涵.......................20 3.2股票市場..........................................22 3.2.1美國股票市場概況................................22 3.2.2 美國股市三大交易市場介紹.......................23 3.2.3 美國主要股票指數介紹...........................24 3.3美國債券市場......................................28 3.3.1美國債券市場概況................................28 3.3.2詳述美國債券....................................32 3.4商品市場介紹......................................34 3.4.1 主要商品指數介紹...............................34 3.4.1.1. CRB現貨商品價格指數.........................34 3.4.1.2. 路透-CRB商品價格指數及路透/傑佛瑞CRB商品價格指數..................................................36 3.4.1.3 高盛及道瓊AIG商品價格指數...................38 3.4.2 主要商品價格指數比較..........................40 四、美國市場連結性的實證分析........................42 4.1資料描述.........................................42 4.2實證結果及意涵...................................45 五、結論與未來研究方向..............................49 附表1 CRB現貨商品價格指數分類一....................51 附錄 頻譜分析-概念與應用...........................53 參考文獻............................................63 | |
| dc.language.iso | zh-TW | |
| dc.title | 多元市場連结分析-以美國為例 | zh_TW |
| dc.title | Intermarket Analysis-Take America Markets for example | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 94-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 林惠玲,余士迪 | |
| dc.subject.keyword | 交叉頻譜,景氣循環,多元市場分析, | zh_TW |
| dc.subject.keyword | cross spectrum,business cycle,Intermarket Analysis, | en |
| dc.relation.page | 66 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2006-07-14 | |
| 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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