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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 何耕宇 | |
dc.contributor.author | Hung-Wei Tseng | en |
dc.contributor.author | 曾虹瑋 | zh_TW |
dc.date.accessioned | 2021-06-15T13:40:43Z | - |
dc.date.available | 2019-02-15 | |
dc.date.copyright | 2016-02-15 | |
dc.date.issued | 2016 | |
dc.date.submitted | 2016-01-09 | |
dc.identifier.citation | 一、中文文獻
王春源、王昭偉,2011,〈中、日、韓三國外匯市場之共同波動、聯合干預及溢出效果〉,南亞學報,第31 期,頁325-344。 彭德明,2013,〈東亞主要新興經濟體匯率變動率波動與共變程度之實證分析〉,中央銀行季刊,第三十五卷第三期,頁3-36。 二、英文文獻 Antonakakis, N. (2012), “Exchange Return Co-movements and Volatility Spillovers Before and After the Introduction of Euro, ”Journal of International Financial Markets, Institutions and Money 22, 1091–1109. Ariefianto, D. and P. Warjiyo (2010), “Co-movement 4 Period ASEAN Currency 1997-2005: A Theory Application Namely Optimal Currency Area Using Vector Error Correction Model,” Bulletin of Monetary,Economics and Banking 12, 447 - 480. BIS (2013), “Foreign Exchange Turnover in April 2013: Preliminary Global Results,” The BIS Triennial Central Bank Survey. Calvet, L., A. Fisher, and S. Thompson (2006), “Volatility Comovement: A Multifrequency Approach,” Journal of Econometrics 131, 179–215. Cashin, P., L. Céspedes, and R. Sahay (2002), “Keynes, Cocoa, and Copper: In Search of Commodity Currencies,” IMF Working Paper No. 02/223. Chung, C. (2006), “Characterizing Co-movement of the Won with the Yen Before and After the Currency Crisis,” Korea Review of International Studies 9-2, 3-18. Dickey, D., and W.A. Fuller (1981), “ Likelihood Ratio Statistics for Autoregressive Time Series With a Unit Root,” Econometrica 49, 1057 - 1072. Enders, W. (2004), Applied Econometric Time Series. New York: John Willey and Sons, Inc Granger, C.W.J., and P. Newbold (1974), “ Spurious Regressions in Econometrics,” Journal of Econometrics 2, 111 – 120. Im, K.P., M.H. Pesaran, and Y. Shin (2003), “Testing for Unit Roots in Heterogeneous Panels,” Journal of Econometrics 115, 53 - 74. Kühl, M. (2008), “Strong Comovements of Exchange Rates: Theoretical and Empirical Cases When Currencies Become the Same Assets,” CEGE Discussion Papers No. 76. Levin, A., C.-F. Lin, and J. Chu (2002), “Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties,” Journal of Econometrics 108, 1 – 24. Li, X.-M. (2011), “ How Do Exchange Rates Co-move? A Study on the Currencies of Five Inflation-targeting Countries,” Journal of Banking and Finance 35, 418–429. Pesarana, H.H., and Y. Shin (1998), “ Generalized Impulse Response Analysis in Linear Multivariate Models,” Economics Letters 58, 17 –29. Phillips, P.C.B., and P. Perron (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika 75, 335 – 346. Sims, C.A. (1980), “Macroeconomics and Reality,” Econometrica 48, 1 -48. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/51602 | - |
dc.description.abstract | 過往匯率波動外溢效果實證多聚焦地緣(如歐元區、亞洲區)或主要貨幣(如英鎊、日圓及歐元)間,將多國貨幣同時納入分析者相當有限,且分析角度多由各貨幣出發。本論文嘗試將全球交易活絡之貨幣,依地緣、經濟體開發程度、商品貨幣進行分類,編成貨幣群組,藉其經濟意函,作為大型資金流之代理變數,並依此估計VAR 模型及進行衝擊反應函數分析。此法,除可掌握大型資金流、精簡參數外,也可嘗試提供經濟意涵之解釋。
本論文實證結果顯示:日圓與商品貨幣存在負向關聯,且日圓走勢攸關市場風險胃納之變化。以較長期的角度觀察,東亞先進經濟體之匯率反應通常較接近多頭或空頭末端,除可藉由商品貨幣走勢進行預測外,亦可藉由監測先進或開發中經濟體商品貨幣強勢程度之差別,進行後續走勢之判斷,通常較有足夠的時間反應。臺灣雖未能進入全球交易前20 名貨幣,惟因與東亞先進經濟體匯率(特別是韓元)走勢相關性高,仍可藉由前述方法,達到預警效果。 | zh_TW |
dc.description.abstract | Previous empirical studies regarding spillover effects of exchange rate markets mostly focus on the perspective of geography; most of them start with currency-oriented aspect. This dissertation seeks to classify the world’s actively
traded currencies into groups. Based upon the economic implication of the classification, this dissertation uses these currency groups as proxy for large cash flows, estimates VAR model, and conducts analysis of impulse response functions accordingly. The empirical results show that Japanese Yen (JPY) and commodity currencies are negatively correlated, and JPY takes stake in the variation of market risk appetite.In the long-term, the exchange rate of developed economies in East Asia generally reacts closer to bull market or towards the end of bear market. It is suggested that the trend of commodity currency can be used for forecast. Besides, by monitoring the different level of commodity currencies’ strength among developed or developing economies, future trend can be deduced and sufficient reaction time may at disposal.Although Taiwan does not make it to rank as the world’s top 20 trading currencies, its high correlation with developed economies in East Asia, especially South Korean Won (KRW), makes the aforementioned method handy in signaling early warnings. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T13:40:43Z (GMT). No. of bitstreams: 1 ntu-105-R01723010-1.pdf: 1144124 bytes, checksum: 6188739b0dbaa933761b37d0077db91e (MD5) Previous issue date: 2016 | en |
dc.description.tableofcontents | 謝辭........................................................ i
中文摘要 ...................................................ii 英文摘要 ..................................................iii 壹、 前言................................................... 1 貳、 資料敘述............................................... 4 參、 研究方法............................................... 5 肆、 實證結果與分析......................................... 7 伍、 結論 ................................................. 21 陸、 參考文獻.............................................. 24 附錄. ..................................................... 26 | |
dc.language.iso | zh-TW | |
dc.title | 全球匯率市場外溢效果之探討 | zh_TW |
dc.title | Spillover Effects on Global Foreign Exchange Markets | en |
dc.type | Thesis | |
dc.date.schoolyear | 104-1 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 徐之強,周冠男 | |
dc.subject.keyword | 匯率,報酬率,因果檢定,向量自我迴歸模型,衝擊反應函數分析, | zh_TW |
dc.subject.keyword | exchange rate,exchange rate returns,Granger Causality Test,VAR,impulse- response function, | en |
dc.relation.page | 76 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2016-01-11 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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