Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/37412| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 毛維凌 | zh_TW |
| dc.contributor.advisor | Mao, Wei Lin | en_US |
| dc.contributor.author | 吳俊伯 | zh_TW |
| dc.contributor.author | Wu,Chun Po | en_US |
| dc.creator | 吳俊伯 | zh_TW |
| dc.creator | Wu,Chun Po | en_US |
| dc.date | 2008 | en_US |
| dc.date.accessioned | 2009-09-19T05:40:49Z | - |
| dc.date.available | 2009-09-19T05:40:49Z | - |
| dc.date.issued | 2009-09-19T05:40:49Z | - |
| dc.identifier | G0096258017 | en_US |
| dc.identifier.uri | https://nccur.lib.nccu.edu.tw/handle/140.119/37412 | - |
| dc.description | 碩士 | zh_TW |
| dc.description | 國立政治大學 | zh_TW |
| dc.description | 經濟研究所 | zh_TW |
| dc.description | 96258017 | zh_TW |
| dc.description | 97 | zh_TW |
| dc.description.abstract | 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。 | zh_TW |
| dc.description.tableofcontents | 第一章 前言‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥1\n\n第二章 模型文獻回顧‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥3\n 第一節 單變量 GARCH 模型‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥4\n 第二節 多變量 GARCH 模型‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥7\n 第三節 固定條件相關係數模型‥‥‥‥‥‥‥‥‥‥‥‥‥‥9\n 第四節 動態條件相關係數模型‥‥‥‥‥‥‥‥‥‥‥‥‥‥11\n 第五節 橢圓分配的動態條件相關係數型‥‥‥‥‥‥‥‥‥‥‥14\n\n第三章 實證分析‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥15\n 第一節 資料概述‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥17\n 1.1 無本金交割遠期外匯的基本介紹‥‥‥‥‥‥‥‥‥‥‥17\n 1.2 資料簡述‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥19\n 1.3 單位根檢定‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥20\n 1.4 資料的基本特性‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥23\n 第二節 資料的預先檢定‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥24\n 2.1 常態檢定‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥24\n 2.2 ARCH 檢定‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥27\n 2.3 波動不對稱檢定‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥29\n 第三節 動態條件相關係數型估計‥‥‥‥‥‥‥‥‥‥‥‥‥‥32\n 第四節 錯誤設定檢定‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥37\n\n第四章 結論‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥39\n\n參考文獻‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥41\n\n附錄‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥45\n 附錄一‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥45\n 附錄二‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥48\n 附錄三‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥52\n\n表目錄\n表(一)：中國與亞洲四小龍 NDF 契約類別‥‥‥‥‥‥‥‥‥‥‥19\n表(二)：NDF 的單根檢定‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥22\n表(三)：NDF 報酬率的單根檢定‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥23\n表(四)：基本統計量‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥23\n表(五)：常態檢定‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥26\n表(六)：ARMA(P,Q)的最適階數依據‥‥‥‥‥‥‥‥‥‥‥‥‥‥28\n表(七)：ARCH檢定結果‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥28\n表(八)：波動不對稱檢定結果‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥31\n表(九)：DCC模型在不同GARCH下的 SIC值‥‥‥‥‥‥‥‥‥‥‥33\n表(十)：動態條件相關係數參數估計結果‥‥‥‥‥‥‥‥‥‥‥‥34\n表(十一)：非條件相關係數估計結果‥‥‥‥‥‥‥‥‥‥‥‥‥‥34\n表(十二)：CCC 檢定‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥38\n表(十三)：單變量 EGARCH(2,1) 參數估計結果‥‥‥‥‥‥‥‥‥48\n\n圖目錄\n圖(一)：中國與亞洲四小龍的 QQ-Plot‥‥‥‥‥‥‥‥‥‥‥‥‥‥25\n圖(二)：CHN 與 HKG 動態條件相關係數‥‥‥‥‥‥‥‥‥‥‥‥‥35\n圖(三)：CHN 與 TWN動態條件相關係數‥‥‥‥‥‥‥‥‥‥‥‥‥35\n圖(四)：CHN 與 KOR動態條件相關係數‥‥‥‥‥‥‥‥‥‥‥‥‥36\n圖(五)：CHN 與 SGP 動態條件相關係數‥‥‥‥‥‥‥‥‥‥‥‥‥36\n圖(六)：CHN 樣本分配圖‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥45\n圖(七)：HKG 樣本分配圖‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥46\n圖(八)：TWN 樣本分配圖‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥46\n圖(九)：KOR 樣本分配圖‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥47\n圖(十)：SGP 樣本分配圖‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥47\n圖(十一)：CHN 條件變異數‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥49\n圖(十二)：HKG 條件變異數‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥50\n圖(十三)：TWN 條件變異數‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥50\n圖(十四)：KOR 條件變異數‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥51\n圖(十五)：SGP 條件變異數‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥51\n圖(十六)：HKG 與 TWN 動態條件相關係數‥‥‥‥‥‥‥‥‥‥‥‥52\n圖(十七)：.HKG 與 KOR 動態條件相關係數‥‥‥‥‥‥‥‥‥‥‥‥52\n圖(十八)：HKG 與 SGP 動態條件相關係數‥‥‥‥‥‥‥‥‥‥‥‥53\n圖(十九)：TWN 與 KOR 動態條件相關係數‥‥‥‥‥‥‥‥‥‥‥‥53\n圖(二十)：TWN 與 SGP 動態條件相關係數‥‥‥‥‥‥‥‥‥‥‥‥54\n圖(二十一)：KOR 與 SGP 動態條件相關係數‥‥‥‥‥‥‥‥‥‥‥54 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#G0096258017 | en_US |
| dc.subject | 無本金交割匯率 | zh_TW |
| dc.subject | 動態條件相關係數模型 | zh_TW |
| dc.subject | 單位根檢定 | zh_TW |
| dc.subject | 常態檢定 | zh_TW |
| dc.subject | 波動不對稱檢定 | zh_TW |
| dc.subject | CCC 檢定 | zh_TW |
| dc.title | 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 | zh_TW |
| dc.title | Volatility Transmissions between Renmibi and Four Asian Tigers Non-Delivery Forward Markets | en_US |
| dc.type | thesis | en |
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| item.openairetype | thesis | - |
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