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https://ah.lib.nccu.edu.tw/handle/140.119/36599| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 郭炳伸<br>林信助 | zh_TW |
| dc.contributor.author | 張惠玲 | zh_TW |
| dc.creator | 張惠玲 | zh_TW |
| dc.date | 2004 | en_US |
| dc.date.accessioned | 2009-09-18T10:56:35Z | - |
| dc.date.available | 2009-09-18T10:56:35Z | - |
| dc.date.issued | 2009-09-18T10:56:35Z | - |
| dc.identifier | G0913510131 | en_US |
| dc.identifier.uri | https://nccur.lib.nccu.edu.tw/handle/140.119/36599 | - |
| dc.description | 碩士 | zh_TW |
| dc.description | 國立政治大學 | zh_TW |
| dc.description | 國際經營與貿易研究所 | zh_TW |
| dc.description | 91351013 | zh_TW |
| dc.description | 93 | zh_TW |
| dc.description.abstract | In most of the empirical research about the uncovered interest rate parity (UIP), estimation of the condition at short horizons rejects this theoretical proposition and presents just opposite outcome, while estimation at long horizons reports more consistent results with the proposition. Based on the belief that permanent components may convey more information in the UIP condition, we adopt in this thesis the permanent-transitory decomposition approach introduced by Gonzalo\r\nand Granger (1995) to estimate the common long memory components\r\nof interest rates and that of exchange rate. We then re-evaluate the UIP condition using the decomposed permanent and transitory parts, respectively. Our results reinforce the stylized facts existing in the literature, while it remains to be answered why empirical evidence does not favor the UIP condition. | zh_TW |
| dc.description.abstract | In most of the empirical research about the uncovered interest rate parity (UIP), estimation of the condition at short horizons rejects this theoretical proposition and presents just opposite outcome, while estimation at long horizons reports more consistent results with the proposition. Based on the belief that permanent components may convey more information in the UIP condition, we adopt in this thesis the permanent-transitory decomposition approach introduced by Gonzalo\r\nand Granger (1995) to estimate the common long memory components\r\nof interest rates and that of exchange rate. We then re-evaluate the UIP condition using the decomposed permanent and transitory parts, respectively. Our results reinforce the stylized facts existing in the literature, while it remains to be answered why empirical evidence does not favor the UIP condition. | en_US |
| dc.description.tableofcontents | 1 Introduction 3\r\n2 Methodology 6\r\n3 Data and Empirical Results 9\r\n4 Re-examination of the performance of the UIP condition 12\r\n5 Conclusion 17\r\nList of Tables\r\n1 The results of the UIP estimation . . . . . . . . . . . . . . . . 20\r\n2 Estimation of Cointegration Structure . . . . . . . . . . . . . . 22\r\n3 Re-examination of the UIP condition after decomposition . . . 32\r\n4 Summary of the Unit Root Test . . . . . . . . . . . . . . . . . 33\r\nList of Figures\r\n1 The time series plot of the decomposed interest rates . . . . . 25\r\n2 The time series plot of the decomposed exchange rates . . . . 30 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#G0913510131 | en_US |
| dc.subject | UIP | en_US |
| dc.subject | decomposition | en_US |
| dc.title | Accounting for Uncovered Interest Rate Parity - The Permanent and Transitory Decomposition Approach | zh_TW |
| dc.type | thesis | en |
| dc.relation.reference | [1] Alexius, A. (2001), \\Uncovered Interest Parity Revisited,\" Review of In- | zh_TW |
| dc.relation.reference | ternational Economics, 9(3), pp.505-517. | zh_TW |
| dc.relation.reference | [2] Bekaert, G., M. Wei and Y. Xing (2002), \\Uncovered Interest Rate Parity | zh_TW |
| dc.relation.reference | and the Term Structure,\" NBER Working Paper No.8795, February. | zh_TW |
| dc.relation.reference | [3] Beveridge, S. and C. R. Nelson (1981), \\A New Approach to Decomposi- | zh_TW |
| dc.relation.reference | tion of Economic Time Series into Permanent and Transitory Components | zh_TW |
| dc.relation.reference | with Particular Attention to Measurement of the "Business Cycle`,\" Jour- | zh_TW |
| dc.relation.reference | nal of Monetary Economics, 7, pp.151-174. | zh_TW |
| dc.relation.reference | [4] Chinn, M. D. and G. Meredith (2003), \\Monetary Policy and Long- | zh_TW |
| dc.relation.reference | Horizon Uncovered Interest Parity,\" forthcoming, IMF Sta® Papers. | zh_TW |
| dc.relation.reference | [5] Chinn, M. D. and G. Meredith (2002), \\Testing Uncovered Interest Parity | zh_TW |
| dc.relation.reference | at Short and Long Horizons during the Post-Bretton Woods Era,\" UCSC | zh_TW |
| dc.relation.reference | Center for International Economics Working Paper, June. | zh_TW |
| dc.relation.reference | [6] Froot, K. A. and R. H. Thaler (1990), \\Anomalies: Foreign Exchange,\" | zh_TW |
| dc.relation.reference | Journal of Economic Perspectives, 4(3), Summer, pp.179-192. | zh_TW |
| dc.relation.reference | [7] Gonzalo, J. and C. Granger (1995), \\Estimation of Common Long- | zh_TW |
| dc.relation.reference | Memory Components in Cointegrated Systems,\" Journal of business & | zh_TW |
| dc.relation.reference | economic statistics, Jan., 13(1), pp.27-35. | zh_TW |
| dc.relation.reference | [8] Johansen, S. (1988), \\Statistical Analysis of Cointegration Vectors,\" Jour- | zh_TW |
| dc.relation.reference | nal of Economic Dynamics and Control, 12, pp.231-254. | zh_TW |
| dc.relation.reference | [9] Johansen, S. and K. Juselius (1990), \\Maximum Likelihood Estimation | zh_TW |
| dc.relation.reference | and Inference on Cointegration- with Applications to the Demand for | zh_TW |
| dc.relation.reference | Money,\" Oxford Bulletin of Economics and Statistics, 52(2), pp.169-210. | zh_TW |
| dc.relation.reference | [10] MacDonald, R. and M. P. Taylor (1992), \\Exchange Rate Economics: A | zh_TW |
| dc.relation.reference | survey,\" IMF Sta® Papers, 39(1), pp.1-57. | zh_TW |
| dc.relation.reference | [11] Marey, P. S. (2004), \\Uncovered Interest Parity Tests and Exchange Rate | zh_TW |
| dc.relation.reference | Expectations,\" Working Papers, ROA, Maastricht University. | zh_TW |
| dc.relation.reference | [12] McCallum, B. T. (1994), \\A Reconsideration of the Uncovered Interest | zh_TW |
| dc.relation.reference | Parity Relationship,\" Journal of Monetary Economics, 33, pp.105-132. | zh_TW |
| dc.relation.reference | [13] Meredith, G. and Y. Ma (2002), \\The Forward Premium Puzzle Revis- | zh_TW |
| dc.relation.reference | ited,\" IMF Working Papers 02/28, November. | zh_TW |
| dc.relation.reference | [14] Quah, D. (1992), \\The Relative Importance of Permanent and Transitory | zh_TW |
| dc.relation.reference | Components: Identi‾cation and some Theoretical Bounds,\" Economet- | zh_TW |
| dc.relation.reference | rica, 60, pp.107-118. | zh_TW |
| dc.relation.reference | [15] Popper, H. (1993), \\Long-Term Covered Interest Parity: Evidence from | zh_TW |
| dc.relation.reference | Currency Swaps,\" Journal of International Money and Finance, 12, | zh_TW |
| dc.relation.reference | pp.439-448. | zh_TW |
| dc.relation.reference | [16] Stock, J. H. and M. W. Watson (1988), \\Testing for common trends,\" | zh_TW |
| dc.relation.reference | Journal of the American Statistical Association, 83, pp.1097-1107. | zh_TW |
| item.openairecristype | http://purl.org/coar/resource_type/c_46ec | - |
| item.languageiso639-1 | en_US | - |
| item.openairetype | thesis | - |
| item.grantfulltext | open | - |
| item.cerifentitytype | Publications | - |
| item.fulltext | With Fulltext | - |
| Appears in Collections: | 學位論文 | |
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