Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/37412| 題名: | 中國人民幣與亞洲四小龍貨幣的無本交交割遠期外匯之動態相關係數分析 Volatility Transmissions between Renmibi and Four Asian Tigers Non-Delivery Forward Markets |
作者: | 吳俊伯 Wu,Chun Po |
貢獻者: | 毛維凌 Mao, Wei Lin 吳俊伯 Wu,Chun Po |
關鍵詞: | 無本金交割匯率 動態條件相關係數模型 單位根檢定 常態檢定 波動不對稱檢定 CCC 檢定 |
日期: | 2008 | 上傳時間: | 19-九月-2009 | 摘要: | 近年來，中國的經濟表現受眾人稱羨之餘，實質固定匯率政策卻為人所詬病。然而，中國人民銀行於 2005 年 7 月 21 日公告一套以市場供需為基準的管理浮動匯率制度後，人民幣遂開始逐步升值並連帶地牽動亞洲其他國家幣值變化。為瞭解人民幣變動對亞洲四小龍國家幣值的外溢效果，本文利用動態條件相關係數模型，透過人民幣和亞洲四小龍貨幣的無本金交割遠期外匯分析相關係數。最後發現，人民幣和四小龍貨幣間存在不同程度的正相關，且此動態相關性自 2008 年起日與俱增。 | 參考文獻: | Anderson, T. W. and D. A. Darling (1952), “Asymptotic Theory of Certain “Goodness of Fit” Criteria Based on Stochastic Process,” Annals of Mathematical Statistics, Volume23, Tssue 2, pp. 193-212. Bauwens, L., S. Laurent and J. V. K. Rombouts (2006), “Multivariate GARCH Models: A Survey,” Journal of Applied Econometrics, 21: 79-109. Billio, M., M. Caporin and M. Gobbo (2006), “Flexible Dynamic Conditional Correlation Multivariate GARCH for Asset Allocation,” Applied Financial Economics Letters, Vol. 2 , 123-130. Bollerslev, T. (1986), “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, 31, 307-327. Bollerslev, T., R. F. Engle, and J. M. Wooldridge (1988), “A Capital Asset Pricing Model with Time-Varying Covariances,” Journal of Political Economy, Vol. 96, no. 1. Bollerslev, T. (1990), “Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model,” The Review of Economics and Statistics, Vol. 72, No. 3, pp. 498-505. Colavecchio, R. and M. Funke (2008), “Volatility Transmissions Between Renminbi and Asia-Pacific On-Shore and Off-Shore US. Dollar Futures,” China Economic Review, 19, 635-648. DeJong, D. N., J. C. Nankervis, N. E. Savin, and C. H. Whiteman (1992), “Integration Versus Trend Stationary in Time Series,” Econometrica, Vol. 60, No. 2, pp. 423-433. Dicky, D. A. and W. A. Fuller (1979), “Distribution of the Estimators for Autoregressive Time Series With a Unit Root,” Journal of the American Statistical Association, Vol. 74. No. 366, pp. 427-431. Dicky, D. A., D. P. Hasza and W. A. Fuller (1984), “Testing for Unit Roots in Seasonal Time Series,” Journal of the American Statistical Association, Vol. 79, No. 386, pp. 355-367. Engle, R. F. (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation,” Econometrica, Vol. 50, No. 40. Engle, R. F. and V. K. Ng (1991), “Measuring and Testing the Impact of News on Volatility,” Working Paper. Engle, R. F. and K. F. Kroner (1995), “Multivariate Simultaneous Generalized ARCH,” Econometric Theory, 11(1), 122-150. Engle, R. F. and K. Sheppard (2001), “Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH,” Mimeo, UCSD. Engle, R. F. (2002), “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models,” Journal of Business & Economic Statistics, 20, 339-350. Glosten, L. R., R. Jagannathan and D. E. Runkle (1993), “On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,” The Journal of Finance, Vol. 48, No. 5, pp. 1779-1801. Hafner, C. M. and P. H. Franses (2003), “A Generalized Dynamic Conditional Correlation Model for Many Asset Returns,” Econometric Institute Report EI 2003-18. Hamilton, J. C. (1994). Times Series Analysis. first edition, Princeton University Press, United kingdom. Heij, C., P. D. Boer and P. H. Franses (2004). Econometric Methods with Applications in Business and Economics. first edition, Oxford University Press, United State. Kwiatkowski, D., P. C.B. Phillips, P. Schmidt, and Y. Shin (1992), “Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root - How Sure Are We that Economic Time Series Have a Unit Root?,” Journal of Econometric, 54, 159-178. Marzo, M. and P. Zagaglia (2008), “A Note on the Conditional Correlation Between Energy Prices: Evidence from Future Markets,” Energy Economics, Vol. 30, Issue. 5, pp. 2454-2458. Nelson, D. B. and C. R. Plosser (1982), “Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications,” Journal of Monetary Economics, Vol. 10, Issue. 2, pp.139-162. Nelson, D. B. (1991), “Conditional Heteroskedasticity in Asset Returns: A New Approach,” Econometrica, Vol. 59, No. 2, pp.347-370. Ng, S. and P. Perron (2001), “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power,” Econometrica, Vol. 69, No. 6, 1519-1554. Otranto, E. (2008), “Identify Financial Time Series with Similar Dynamic Conditional Correlation,” Working Paper. Pelagatti M. M. and S. Rondena (2006), “Dynamic Conditional Correlation with Elliptical Distributions,” Econometrics 0503007, EconWPA, URL: http://ideas.repec.org/p/wpa/wuwpem/0503007.html. Phillips, P. C. B. and P. Perron (1988), “Testing for a Unit Root in Time Series Regression,” Biometrika, 75, 2, pp. 335-46. Silvennoinen, A. and T. Teräsvirta (2008), “Multivariate Garch Models,” Working Paper, Handbook of Financial Time Series. Tse, Y. K. and A. K. C. Tsui (2002), “A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations,” Journal of Business & Economic Statistics, Vol. 20, No. 3, pp. 351-362. 陳旭昇 (2007)，時間序列分析—總體經濟與財務金融之應用，初版，台北市: 台灣東華。 梁鴻民 (1998)，從國際投資客炒作模式談東亞經濟風暴及各國因應之道，靜宜大學新聞深度分析簡訊，第61期。 賴彥君 (2008)，美國次級房貸對全球股價走勢的衝擊與影響—以DCC模型分析，國立政治大學經濟系碩士論文。 |
描述: | 碩士 國立政治大學 經濟研究所 96258017 97 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0096258017 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 801701.pdf | 127.57 kB | Adobe PDF2 | View/Open | |
| 801702.pdf | 192 kB | Adobe PDF2 | View/Open | |
| 801703.pdf | 160.8 kB | Adobe PDF2 | View/Open | |
| 801704.pdf | 373.13 kB | Adobe PDF2 | View/Open | |
| 801705.pdf | 484.42 kB | Adobe PDF2 | View/Open | |
| 801706.pdf | 532.57 kB | Adobe PDF2 | View/Open | |
| 801707.pdf | 374.1 kB | Adobe PDF2 | View/Open | |
| 801708.pdf | 222.76 kB | Adobe PDF2 | View/Open | |
| 801709.pdf | 322.37 kB | Adobe PDF2 | View/Open |
Google ScholarTM
Check
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.