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題名 內在性滙率動態決定理論之研究 作者 陳怡鈴 貢獻者 林柏生
陳怡鈴日期 1987 上傳時間 5-May-2016 14:11:01 (UTC+8) 參考文獻 參考文獻 1. Aizenman, J., 1986, "Testing Deviations from Purchasing Power Parity", Jornal of International Money and Finance, pp. 25-35. 2. Amano, A., 1985, "Alternative Approaches to Exchange-Rate Determination and Some Implications of the Structural Balance-of-Payments Approach for International Macroeconomic Interdependence", in Monetary Policy in Our Times (MIT Press), pp. 169-216. 3. Aberdeen, R.M., 1985, "Buffer Stocks, Exchange Rates and Deviations from Purchasing Power Parity", Journal of Money, Credit and Banking, Vol. 10, pp. 163-176. 4. Bilson, John F.O., 1978, "the Current Experience with Floating Exchange Rates: An Appraisal of the Monetary Approach”, American Economic Association, Vol.68, No. 2, pp. 392–397. 5. Bilson, John F.O., 1978b, "the Monetary approach to the Exchange Rate: Some Empirical Evidence", International Monetary Fund Staff Papers, pp. 48-75. 6. Bilson, John F.O., 1979b, "Recent Developments in Monetary Models of Exchange Rate Determination”, IMF Staff Papers, pp. 201-223. 7. Brissmis, S.N. & Leventakis, J.A., 1985, "Estimation of the Monetary Model of Exchange-Rate Determination under Rational Expectations", Journal of Economic Dynamics and Control, pp.477-491. 8. Cugno, F. & Montrucchio, L., 1985, "Some New Techniques for Modelling Non-Linear Economic Fluctuations: A brief Survey", pp. 146-165. 9. Day, R.H., 1982, "Irregular Growth Cycles", the American Economic Review, pp.405-414. 10. Day, R.H. & Shafer, W., 1985, "Keynesian Chaos”, Journal of Macroeconomics , Vol. 7, No. 3, pp. 277—295. 11. Driskill, R.A., 1981, "Exchange-Rate Dynamics: An Empirical Investigation", Journal of Political Economy, Vol.89, No.2, pp. 357-371. 12. Engel, C.M., 1986, "On the Correlation of Exchange Rates and Interest Rates", Journal of International Money and Finance, pp. 125-128. 13. Feigenbaum, M.J., 1983, "Universal Behavior in Nolinear System", in G.I. Barebatt, G. Iooss and D.D. Joseph, eds., Nonlinear Dynamics and Turbulence, pp. 101-138. 14. Frankel, J.A., 1977, "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials" ,The American Economic Review, Vol. 69, No. 4, pp.610-622. 15. Frankel, J.A., 1980, "Tests of Monetary and Portfolio Balance Models of Exchange Rate Determination", pp. 239-260. 16. Frenkel, J.A., 1980, "Exchange Rates, Prices, and Money: Lessons from the 1920`s", American Economic Association, Vol. 70, No.2, pp.235-242. 17. Hakkio, C.S., 1986 "Does the Exchange Rate Follow a Random Walk 7 A Monte Carlo Study of Four Tests for a Random Walk", Journal of International Money and Finance, pp. 221-229. 18. Hoffman, D.L. & Schlagenhauf, D.E., 1983, "Rational Expectations and Models of Exchnge Rate Determination”, Journal of Monetary Economics, pp.247-260. 19. Hoffman, D.L. & Schlagenhauf, D.E., 1985, "The Impact of News and Alternative Theories of Exchange Rate Determination", Journal of Money, Credit, and Banking, Vol. 17, No.3, pp. 328-346. 20. Hoppensteadt, F.C. & Hyman, J.M., 1975, "Periodic Solutions of A Logistic Diffrence Equation", SIAM J. Appl. Math, Vol. 32, No. 1, pp. 73–81. 21. Huang, R.D., 1981, "The Monetary Approach to Exchange Rate in an Efficient Foreign Exchange Market: Tests Based on Volatility". The Journal of Finance , pp.31-33. 22. Lewich, R.M., 1985, "Empirical Studies of Exchange Rates: Price Behavior, Rate Determination and Market Efficiency", in Ronald W. Jones and Peter B. Kenen, eds., Handbood of International Economics, Vol. 2, pp.979-1040. 23. Macesich, G., 1983, "Monetarism Theory and Policy". 24. May, R.M., 1976, "Simple Mathematical Models with Very Complicated Dynamics”, Nature, Vol. 261, pp.459-467. 25. Meese, R.A. & Rogoff, K., 1983, "Empirical Exchange Rate Models of the Seventies”, Journal of International Economics, pp. 3-24. 26. Miles, M.A., 1978, "Currency Substitution, Flexible Exchange Rates, and Monetary Independence", American Economic Review, Vol. 68, N0. 3, pp. 428-436. 27. Murphy, R.G. & Dunyne, C.W., 1980, "Asset Market Approaches to Exchange Rate Determination: A Comparative Analysis", Weltwirtschaftliches Archiv Bd, CXVI. pp.627-655. 28. Obstfeld, M. & Stockman, A.C., 1985, "Exchange Rate Dynamics", in Ronald W. Jones and Peter B. Kenen, eds . , Handbook of International Economics, Vol. 2., pp. 916-942. 29. Organization for Economic Co-operation and Development (OECD), 1985, " Monetary Studies Series: Exchange Rate Management and the Conduct of Monetary Policy", pp.122-154. 30. Stutzer, M.J., 1980, "Chaotic Dynamics and Bifurcation on a Macro Model”, Journal of Economic Dynamics and Control, pp. 353–376. 31. Turnovsky, S.T., 1984, "Exchange Market Intervention in a Small Open Economy: An Expository Model", in Pierre Malgrange and Pierre-Alain Muet, eds., Contemporary theory and Policy. 32. Westerfield, J.M., 1977, "An Examination of Foreign Exchange Risk under Fixed and Floating Rate Regimes", Journal of International Economics, pp. 181-200. 描述 碩士
國立政治大學
國際經營與貿易學系資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002006323 資料類型 thesis dc.contributor.advisor 林柏生 zh_TW dc.contributor.author (Authors) 陳怡鈴 zh_TW dc.creator (作者) 陳怡鈴 zh_TW dc.date (日期) 1987 en_US dc.date.accessioned 5-May-2016 14:11:01 (UTC+8) - dc.date.available 5-May-2016 14:11:01 (UTC+8) - dc.date.issued (上傳時間) 5-May-2016 14:11:01 (UTC+8) - dc.identifier (Other Identifiers) B2002006323 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/91265 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description.tableofcontents 目錄 謝辭………I 目錄………II 表目錄………III 圖目錄………IV 第一章 導論………1 第二章 文獻回顧………4 第一節 緒言………4 第二節 資產市場方法的匯率決定理論………5 第三章 研究方法──一階非線性差分方程體系………21 第四章 理論模型與模擬結果………32 第一節 模型的設立………32 第二節 模擬結果分析………37 第三節 經濟意義分析………52 第五章 結論………61 數學附錄………65 參考文獻………79 表目錄 表2-1 資產市場方法下，各種匯率決定模型的比較表………6 表4-1 設β=-100時，各種匯率動態調整型態的參數範圍………38 表4-2 設β=-100時，幾種匯率動態調整型態………39 表4-3 設β=-100時，幾種匯率動態調整的趨勢表………42 表4-4 設β=-5000時，幾種匯率動態調整型態………50 表4-5 設β=-5000時，幾種匯率動態調整的趨勢表………51 表4-6 參數變動對於模型的影響情形………54 表5-1 結構參數的變動效果表………61 圖目錄 圖3-1 參數值a對於單一解穩定性的影響情形………23 圖3-2 單一穩定解表示圖………26 圖3-3 2期分叉循環解表示圖………27 圖3-4 渾沌現象充分條件的圖形表示………28 圖3-5 渾沌現象充分條件的圖形表示………28 圖3-6 參數值對於穩定解的影響情形………29 圖3-7 參數值對於波動型態的影響情形………30 圖4-1 本模型以圖形表示的型態………35 圖4-2 匯率動態呈現渾沌現象的充分條件表示圖………37 圖4-3 設β=-100時，參數值α與logδ在各種動態調整型態下的分佈情形………40 圖4-4 設β=-100時，參數值α與1ogδ分佈的局部放大圖………41 圖4-5 穩定均衡解為0的匯率動態調整趨勢圖………43 圖4-6 1期穩定解的匯率動態調整趨勢圖………44 圖4-7 2期穩定循環解的匯率動態調整趨勢圖………45 圖4-8 4期穩定循環解的匯率動態調整趨勢圖………46 圖4-9 8期穩定循環解的匯率動態調整趨勢圖………47 圖4-10 3期穩定循環解的匯率動態調整趨勢圖………48 圖4-11 匯率動態調整呈渾沌現象的波動圖………49 圖4-12 當β>0，δ<0時，本模型以圖形表示的型態………53 圖4-13 參數值α對於圖形的影響情形………55 圖4-14參數值β與δ對於圖形的影響情形………56 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002006323 en_US dc.title (題名) 內在性滙率動態決定理論之研究 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 參考文獻 1. Aizenman, J., 1986, "Testing Deviations from Purchasing Power Parity", Jornal of International Money and Finance, pp. 25-35. 2. Amano, A., 1985, "Alternative Approaches to Exchange-Rate Determination and Some Implications of the Structural Balance-of-Payments Approach for International Macroeconomic Interdependence", in Monetary Policy in Our Times (MIT Press), pp. 169-216. 3. Aberdeen, R.M., 1985, "Buffer Stocks, Exchange Rates and Deviations from Purchasing Power Parity", Journal of Money, Credit and Banking, Vol. 10, pp. 163-176. 4. Bilson, John F.O., 1978, "the Current Experience with Floating Exchange Rates: An Appraisal of the Monetary Approach”, American Economic Association, Vol.68, No. 2, pp. 392–397. 5. Bilson, John F.O., 1978b, "the Monetary approach to the Exchange Rate: Some Empirical Evidence", International Monetary Fund Staff Papers, pp. 48-75. 6. Bilson, John F.O., 1979b, "Recent Developments in Monetary Models of Exchange Rate Determination”, IMF Staff Papers, pp. 201-223. 7. Brissmis, S.N. & Leventakis, J.A., 1985, "Estimation of the Monetary Model of Exchange-Rate Determination under Rational Expectations", Journal of Economic Dynamics and Control, pp.477-491. 8. Cugno, F. & Montrucchio, L., 1985, "Some New Techniques for Modelling Non-Linear Economic Fluctuations: A brief Survey", pp. 146-165. 9. Day, R.H., 1982, "Irregular Growth Cycles", the American Economic Review, pp.405-414. 10. Day, R.H. & Shafer, W., 1985, "Keynesian Chaos”, Journal of Macroeconomics , Vol. 7, No. 3, pp. 277—295. 11. Driskill, R.A., 1981, "Exchange-Rate Dynamics: An Empirical Investigation", Journal of Political Economy, Vol.89, No.2, pp. 357-371. 12. Engel, C.M., 1986, "On the Correlation of Exchange Rates and Interest Rates", Journal of International Money and Finance, pp. 125-128. 13. Feigenbaum, M.J., 1983, "Universal Behavior in Nolinear System", in G.I. Barebatt, G. Iooss and D.D. Joseph, eds., Nonlinear Dynamics and Turbulence, pp. 101-138. 14. Frankel, J.A., 1977, "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials" ,The American Economic Review, Vol. 69, No. 4, pp.610-622. 15. Frankel, J.A., 1980, "Tests of Monetary and Portfolio Balance Models of Exchange Rate Determination", pp. 239-260. 16. Frenkel, J.A., 1980, "Exchange Rates, Prices, and Money: Lessons from the 1920`s", American Economic Association, Vol. 70, No.2, pp.235-242. 17. Hakkio, C.S., 1986 "Does the Exchange Rate Follow a Random Walk 7 A Monte Carlo Study of Four Tests for a Random Walk", Journal of International Money and Finance, pp. 221-229. 18. Hoffman, D.L. & Schlagenhauf, D.E., 1983, "Rational Expectations and Models of Exchnge Rate Determination”, Journal of Monetary Economics, pp.247-260. 19. Hoffman, D.L. & Schlagenhauf, D.E., 1985, "The Impact of News and Alternative Theories of Exchange Rate Determination", Journal of Money, Credit, and Banking, Vol. 17, No.3, pp. 328-346. 20. Hoppensteadt, F.C. & Hyman, J.M., 1975, "Periodic Solutions of A Logistic Diffrence Equation", SIAM J. Appl. Math, Vol. 32, No. 1, pp. 73–81. 21. Huang, R.D., 1981, "The Monetary Approach to Exchange Rate in an Efficient Foreign Exchange Market: Tests Based on Volatility". The Journal of Finance , pp.31-33. 22. Lewich, R.M., 1985, "Empirical Studies of Exchange Rates: Price Behavior, Rate Determination and Market Efficiency", in Ronald W. Jones and Peter B. Kenen, eds., Handbood of International Economics, Vol. 2, pp.979-1040. 23. Macesich, G., 1983, "Monetarism Theory and Policy". 24. May, R.M., 1976, "Simple Mathematical Models with Very Complicated Dynamics”, Nature, Vol. 261, pp.459-467. 25. Meese, R.A. & Rogoff, K., 1983, "Empirical Exchange Rate Models of the Seventies”, Journal of International Economics, pp. 3-24. 26. Miles, M.A., 1978, "Currency Substitution, Flexible Exchange Rates, and Monetary Independence", American Economic Review, Vol. 68, N0. 3, pp. 428-436. 27. Murphy, R.G. & Dunyne, C.W., 1980, "Asset Market Approaches to Exchange Rate Determination: A Comparative Analysis", Weltwirtschaftliches Archiv Bd, CXVI. pp.627-655. 28. Obstfeld, M. & Stockman, A.C., 1985, "Exchange Rate Dynamics", in Ronald W. Jones and Peter B. Kenen, eds . , Handbook of International Economics, Vol. 2., pp. 916-942. 29. Organization for Economic Co-operation and Development (OECD), 1985, " Monetary Studies Series: Exchange Rate Management and the Conduct of Monetary Policy", pp.122-154. 30. Stutzer, M.J., 1980, "Chaotic Dynamics and Bifurcation on a Macro Model”, Journal of Economic Dynamics and Control, pp. 353–376. 31. Turnovsky, S.T., 1984, "Exchange Market Intervention in a Small Open Economy: An Expository Model", in Pierre Malgrange and Pierre-Alain Muet, eds., Contemporary theory and Policy. 32. Westerfield, J.M., 1977, "An Examination of Foreign Exchange Risk under Fixed and Floating Rate Regimes", Journal of International Economics, pp. 181-200. zh_TW
