dc.contributor.advisor | 沈中華 | zh_TW |
dc.contributor.advisor | Shen, Chung-Hua | en_US |
dc.contributor.author (Authors) | 郭怡婷 | zh_TW |
dc.contributor.author (Authors) | Kuo, Yi-Ting | en_US |
dc.creator (作者) | 郭怡婷 | zh_TW |
dc.creator (作者) | Kuo, Yi-Ting | en_US |
dc.date (日期) | 2003 | en_US |
dc.date.accessioned | 18-Sep-2009 15:56:07 (UTC+8) | - |
dc.date.available | 18-Sep-2009 15:56:07 (UTC+8) | - |
dc.date.issued (上傳時間) | 18-Sep-2009 15:56:07 (UTC+8) | - |
dc.identifier (Other Identifiers) | G0091258033 | en_US |
dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35753 | - |
dc.description (描述) | 碩士 | zh_TW |
dc.description (描述) | 國立政治大學 | zh_TW |
dc.description (描述) | 經濟研究所 | zh_TW |
dc.description (描述) | 91258033 | zh_TW |
dc.description (描述) | 92 | zh_TW |
dc.description.abstract (摘要) | 90年代末東亞金融危機造成多國貨幣大幅貶值,銀行紛紛倒閉。基本上金融危機可分為通貨危機(Currency Crisis)與銀行危機(Banking Crisis);通貨危機是指當年中任一季名目匯率貶值超過25%,且貶值幅度比前一季超過10個百分點。諸多實證文獻顯示,高估一國匯率為其通貨崩潰之先驅;又由於近年來新興國家快速開放資本市場,以致於成為危機之導火線。為分析此一現象,本文首先編製金融帳權數之新台幣實質有效匯率指數,並將東亞之台灣、印尼、韓國、菲律賓、泰國等五國之匯率、相對物價(各國與美國物價)、金融帳餘額等變數做共整合關係檢定,觀察三個變數的長期均衡關係,再將誤差項加入模型中,建構向量誤差模型。實證結果發現,金融帳與相對物價對匯率有顯著之影響力。 | zh_TW |
dc.description.abstract (摘要) | The 1997 East Asian Crises had made exchange rate depreciations and bank bankruptcies. Broadly speaking, it can be divided into currency crisis and banking crisis. Nominal exchange rate of any season in a year, which is depreciated over 25% and 10% than last season, is called a currency crisis. Lots of papers demonstrate that overvaluation is a precursor of a currency crash. Furthermore, developing countries have opened capital markets so rapidly that it became the tinderbox of crises. To analyze the phenomenon, this thesis first compile Taiwan’s financial weighted real effective exchange rate index, then examine exchange rates, relative prices (compare to American consumer price index), and net financial account of Taiwan, Indonesia, Korea, Philippine, and Thailand with cointegrated test to identify the long run equilibrium relationships between variables; then adding error terms into models to estimates vector error correction model (VECM). The empirical results show that financial account and relative price influence exchange rate significantly. | en_US |
dc.description.tableofcontents | 第一章 緒論 第一節 研究動機與背景 ……………………………………………1 第二節 研究目的 ……………………………………………………2 第三節 研究方法與步驟 ……………………………………………3 第四節 研究對象與資料來源 ………………………………………3 第五節 論文架構 ……………………………………………………4第二章 匯率、物價、金融帳之特徵及概況分析 第一節 匯率、物價、金融帳之概況分析 …………………………6 第二節 匯率、物價、金融帳之特徵 ………………………………12 第三節 本章小結 …………………………………………………12第三章 理論基礎與文獻回顧 第一節 理論基礎 …………………………………………………15 第二節 文獻回顧 …………………………………………………16 第三節 本章小結 …………………………………………………20第四章 實證模型與計量方法之建構 第一節 實質有效匯率指數之編製方法 …………………………21 第二節 計量方法—單根檢定 ……………………………………25 第三節 計量方法—共整合檢定模型 ……………………………27 第四節 計量方法—向量誤差修正模型 ……………………………30第五章 實證結果與分析 第一節 變數定義與單根檢定 ……………………………………31 第二節 新台幣實質有效匯率指數分析 …………………………34 第三節 Johansen共整合檢定與分析 ……………………………38 第四節 本章小結 …………………………………………………50第六章 結論與建議 第一節 結論 ………………………………………………………51 第二節 建議與未來研究方向 ……………………………………52參考文獻 …………………………………………………………………53附錄 ………………………………………………………………………58 | zh_TW |
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dc.language.iso | en_US | - |
dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0091258033 | en_US |
dc.subject (關鍵詞) | 亞洲通貨危機 | zh_TW |
dc.subject (關鍵詞) | 新台幣實質有效匯率指數 | zh_TW |
dc.subject (關鍵詞) | 共整合關係檢定 | zh_TW |
dc.subject (關鍵詞) | 向量誤差修正模型 | zh_TW |
dc.subject (關鍵詞) | Asian Currency Crisis | en_US |
dc.subject (關鍵詞) | Real effective exchange rate index (REER index) | en_US |
dc.subject (關鍵詞) | Cointegration | en_US |
dc.subject (關鍵詞) | Vector error correction model (VECM) | en_US |
dc.title (題名) | 由金融帳之角度探討亞洲通貨危機 | zh_TW |
dc.title (題名) | From Financial Account to Asian Currency Crisis | en_US |
dc.type (資料類型) | thesis | en |
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