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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24966完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 陳思寬 | |
| dc.contributor.author | Shiu-Ming Huang | en |
| dc.contributor.author | 黃秀敏 | zh_TW |
| dc.date.accessioned | 2021-06-08T05:59:14Z | - |
| dc.date.copyright | 2007-08-28 | |
| dc.date.issued | 2007 | |
| dc.date.submitted | 2007-07-31 | |
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(1997), “Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited,” Journal of the Japanese and International Economies 11, pp.441-479. Perron, P. (1989), “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,” Econometrica 57, pp.1361-1401. Phillips, P.C.B. and Perron P. (1988), “Testing for a Unit Root in Time Series Regression,” Biometrika 75, pp.335-346. Rogoff, K. (1996), “The Purchasing Power Parity Puzzle,” Journal of Economic Literature34, pp.647-668. Said, S.E. and Dickey, D.A. (1984), “Testing for a Unit Root in Autoregressive Moving Average of Unknown Order,” Biometrika 71, pp.599-608. Sarantis, N. (1999), “Modeling Nonlinearities in Real Effective Exchange Rates,” Journal of International Money and Finance 18, pp.27-45. Tsay, R.S. (1989), ”Testing and Modeling Threshold Autoregressive Processes,” Journal of the American Statistical Association 84, pp.231-240. Taylor, M.P., Peel, D.A. (2000), “Nonlinear Adjustment Long-Run Equilibrium and Exchange Rate Fundamentals,” Journal of international money and finance 19, pp.33-53. Terͷsvirta, T. (1994), “Specification, Estimation and Evaluation of Smooth Transition Autoregressive Models,” Journal of the American Statistical Association 89, pp.208-218. Tong, H. (1978), On a Threshold Model, In C Chen(ed.), Pattern Recognition and Signal Processing, Sijthoff and Noordhoff, Amsterdam. Turnovsky, S.J. (1981), “The Asset Market Approach to Exchange Rate Determination: Some Short-Run, Stability, and Steady-State Properties,” Journal of Macroeconomics 3, pp.1-32. Zivot, E. and Andrews, D.W.K. (1992), “Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis,” Journal of Business & Economic Statistics 10, pp.251-269. 王俊化（2006)，《貨幣學派匯率偏離之非線性調整一門檻自我迴歸之應用》，中原大學國際貿易學系碩士論文。李建強、洪福聲與黃柏農（2005)，「金融發展與經濟成長的關係會消失嗎？一門檻自我迴歸的應用」，《經濟研究》，41:1，頁45一74。林芳珍（2003)，《網路外部性下關鍵存續量之估計一時間序列方法在WWW伺服器市場之實證》，中原大學國際貿易學系碩士論文。張治銘（2005)，《實質匯率內生波動之分析》，台灣大學經濟學研所碩士論文。楊奕農（2006)，《時間序列分析經濟與財務上之應用》。台北：雙葉書廊。楊少強（1996)，《結構性改變與單根》，台灣大學經濟學研所碩士論文。萬哲釭、高崇緯（2006)，「元太與台北外匯市場門檻共整合關係之分析」，《財金論文叢刊》，第五期，頁1一24一l萬哲釭（1995)，「匯率動態之非線性分析」，《企銀季刊》，第十八卷第三期。賴景昌（1994)，《國際金融理論：進階篇》。台北：茂昌書局。簡怡立（1998)，《實質匯率的穩定性質：以七大工業國為例》，台灣大學經濟學研所碩士論文。 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24966 | - |
| dc.description.abstract | 本文引用Chen(1998)理論模型，試圖解決Rogoff(1996)所提的一個難題，即以購買力平價難題為出發點，實質匯率具長期持續性失衡與短期大幅波動共同存在之現象。Chen(1998)理論模型發現：當馬簍條件不成立時，利用Hopf分歧定理可以驗證不確定均衡存在。進一步分析，當Hopf分歧發生於某特定值時，根據Lorenz’s 定理可以發現特性根存在共軛虛根。另一方面，Chen(1998)理論模型推導出的均衡實質匯率是一條二階差分的非線性方程。
實證方面，選取日本實質有效匯率之月資料來驗證不確定均衡的存在，以解釋實質匯率短期大幅波動的原因。利用Zivot- Andrews檢定，找出結構轉變點，並藉此結構轉變點將原始序列分割成兩段，再分別配適二階自我相關模型。接著循Tsay(1989)方法將原始序列配適具有非線性特徵的門檻自我迴歸模型。最後，分析上述兩種模型，並利用樣本資料是否存在共軛虛根與落後期變數係數總和是否趨近於1的性質，以解釋實質匯率在穩定狀態下長期持續性失衡的原因。 | zh_TW |
| dc.description.abstract | This study aims to solve the puzzle proposed by Rogoff (1996), by adopting Chen(1998)’s theoretical model. Based on purchase power parity(PPP), the puzzle is the enormous short-run volatility and the persistent long-run inequilibrium of real exchange rate. Chen (1998) pointed out that, when the Marshall-Lerner condition is not satisfied, there exists the possibility of the indeterminacy of equilibrium. The existence of the
indeterminacy of equilibrium may be established by applying the theory of Hopf bifurcation. Further, according to Lorenz’s Theorem, analysis shows that Hopf bifurcation occurs at a critical value of the key parameter, at which the eigenvalues are complex conjugates. On the other hand, it can also be derived from Chen’s model that the equilibrium of real exchange rate is a second-order nonlinear difference equation. In terms of empirical evidence, the monthly data of real effective exchange rate from Japan was chosen to prove the existence of the indeterminacy of equilibrium, and to interpret why real exchange rate fluctuates violently in the short run. The Zivot-Andrews (1992) test was used to estimate structural change point, and to divide the sample period into two subperiods which exhibit stationary second-order autoregressive model. Then, by this characteristic of nonlinearity, the threshold autoregressive model, raised by Tsay (1989), was used to interpret the movement of real exchange rate of Japan as well. Last but not least, provided that the complex conjugates exist and the sum of modulus is close to one, the reason why real exchange rate remains inequilibrium constantly under stationary condition in the long run. can be explained. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T05:59:14Z (GMT). No. of bitstreams: 1 ntu-96-R94341063-1.pdf: 534642 bytes, checksum: e468fdb18bd36cbf0f3c4704be4e54d7 (MD5) Previous issue date: 2007 | en |
| dc.description.tableofcontents | 口試委員會審定書..........................................i
謝辭.....................................................ii 中文摘要................................................iii 英文摘要.................................................iv 第一章 緒論 第一節 研究動機.........................................1 第二節 研究目的.........................................2 第三節 研究架構.........................................3 第二章 文獻探討 第一節 匯率短期大幅波動之相關研究.......................4 第二節 匯率偏離長期均衡之相關研究.......................6 第三節 結構性改變與單根之相關研究.......................8 第四節 門檻自我迴歸模型之相關研究......................10 第三章 研究方法 第一節 理論模型........................................12 第二節 週期均衡解之存在................................18 第三節 Zivot and Andrews檢定...........................22 第四節 門檻自我迴歸模型................................24 第四章 實證結果與分析 第一節 前言............................................28 第二節 實證模型........................................30 第三節 模型配適結果....................................32 1、 AR模型......................................32 2、 TAR模型.....................................36 第四節 配適結果分析....................................46 第五章 結論與建議........................................48 參考文獻.................................................50 | |
| dc.language.iso | zh-TW | |
| dc.subject | 門檻自我迴歸模型 | zh_TW |
| dc.subject | 二階自我相關模型 | zh_TW |
| dc.subject | Zivot and Andrews 檢定 | zh_TW |
| dc.subject | 不確定均衡 | zh_TW |
| dc.subject | 馬簍條件 | zh_TW |
| dc.subject | 非線性 | zh_TW |
| dc.subject | 實質匯率 | zh_TW |
| dc.subject | 購買力平價難題 | zh_TW |
| dc.subject | 結構轉變點 | zh_TW |
| dc.subject | threshold autoregressive model | en |
| dc.subject | purchase power parity | en |
| dc.subject | real exchange rate | en |
| dc.subject | Marshall-Lerner condition | en |
| dc.subject | indeterminacy of equilibrium | en |
| dc.subject | Zivot -Andrews test | en |
| dc.subject | structural change point | en |
| dc.subject | second-order autoregressive model | en |
| dc.subject | nonlinearity | en |
| dc.title | 實質匯率內生波動分析—門檻自我迴歸模型之應用 | zh_TW |
| dc.title | Analysis of Endogenous Real Exchange Rate Fluctuations
— Application of Threshold Autoregressive Model | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 95-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 萬哲鈺,張銘仁 | |
| dc.subject.keyword | 購買力平價難題,實質匯率,馬簍條件,不確定均衡,Zivot and Andrews 檢定,結構轉變點,二階自我相關模型,非線性,門檻自我迴歸模型, | zh_TW |
| dc.subject.keyword | purchase power parity,real exchange rate,Marshall-Lerner condition,indeterminacy of equilibrium,Zivot -Andrews test,structural change point,second-order autoregressive model,nonlinearity,threshold autoregressive model, | en |
| dc.relation.page | 53 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2007-08-01 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 國家發展研究所 | zh_TW |
| 顯示於系所單位： | 國家發展研究所 | |
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