Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/78482
DC Field | Value | Language |
---|---|---|
dc.contributor | 金融系;經濟系 | |
dc.creator | Lee, Chien-Chiang;Chang, Tsangyao;Lee, Chi-Chuan;Lin, Hsin-Yi | |
dc.creator | 李起銓;林馨怡 | zh_TW |
dc.date | 2010-07 | |
dc.date.accessioned | 2015-09-15T06:43:06Z | - |
dc.date.available | 2015-09-15T06:43:06Z | - |
dc.date.issued | 2015-09-15T06:43:06Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/78482 | - |
dc.description.abstract | This paper explores the long-run and causality relationship between the exchange rate and macroeconomic fundamentals in G-7 countries, employing recently developed tests for the linear cointegration provided by Johansen (1988), the non-parametric cointegration method provided by Bierens (1997), as well as the non-linear Granger causality provided by Hiemstra and Jones (1994) and Diks and Panchenko (2006). The results for the Johansen (1988) test show that there is no evidence of a long-run cointegration relationship between the two variables. Conversely, Bierens (1997) provides clear support of a non-linear cointegration relationship. We also find that uni-directional causality exists, except for Canada, Germany, and the United Kingdom according to the Hiemstra and Jones (1994) test. However, the Diks and Panchenko (2006) test finds bi-directional causality in Canada, Germany, and United Kingdom, uni-directional causality running from the exchange rate to fundamentals in Italy, and uni-directional causality running from fundamentals to the exchange rate in Japan. | |
dc.format.extent | 159 bytes | - |
dc.format.mimetype | text/html | - |
dc.relation | Journal of Economics and Management, 6(2), 203-228 | |
dc.subject | Exchange Rate;Macroeconomics | |
dc.title | The Non-linear Dynamic Relationship between Exchange Rates and Macroeconomic Fundamentals in G-7 Countries | |
dc.type | article | en |
item.fulltext | With Fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.grantfulltext | restricted | - |
item.openairetype | article | - |
item.cerifentitytype | Publications | - |
Appears in Collections: | 期刊論文 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
index.html | 159 B | HTML2 | View/Open |
Google ScholarTM
Check
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.