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題名 遠期匯率.即期匯率與匯率動態調整暨實證分析
作者 張宗傑
ZHANG, ZONG-JIE
貢獻者 曹添旺
張宗傑
ZHANG, ZONG-JIE
日期 1992
1991
上傳時間 2-May-2016 17:11:26 (UTC+8)
摘要 本文主旨在設立一個考慮遠期外匯市場之總體經濟模型，完整地將避險貿易行為、拋補利率行為及純粹投機行為綜合起來，使即期外匯市場與遠期外陸市場緊密結合。本文主要探討的問題為:
參考文獻 Baron, D.P. (1976), "Flexible Exchange Rates Forward Markets,and the Level of Trade," American Economic Review, 66,pp.253-266.
Bhandari, J.S. (1981), "Exchange Rate Overshooting Revisited,"Manchester School, 49, pp. 165-172.
Dornbusch, R. (1976), "Expectations and Exchange Rate Dynamics,"Journal of Political Economy, 84, pp.1161-1176.
Driskill, R. (1981), "Exchange Rate Dynamics: An An Emprical Investigation," American Economic Review, 89, pp.357-371.
Driskill, R. & McCafferty, S. (1982), "Spot and Forward Rates in a stochastic Model of the Foreign Exchange Market," Journal of International Economics, 99, pp.313-331.
Eaton, J. & Turnovsky, S.J. (1984), "The Forward Exchange Market Speculation, and Exchange Market Intervention," Quarterly Journal of Economics, 89, pp.45-70.
Friedman, M. (1953), "The Case for Flexible Exchange Rate," Essays in Positive Economics. Chicago: University of Chicago Press.
Frenkel, R.P. & Rodriguez, C.A. (1982), "Exchange Rate Dynamics and Overshooting Hypothesis," IMF Staff Papers, 29,pp.1-30.
Kawai, M. (1985), "The Effect of Forward Exchange on Spot Rate Volatility under Risk and Rational Expectations," Journal of International Economics, 16, pp.155-172.
Kouri, P.J .K. (1976), "The Exchange Rate and the Balance of Payments in the Short Run and in the long Run: A Monetary Approach," Scandinavian Journal of Economics, 78,pp. 280-304.
Obstfeld, M. and Stockman, A. (1985), "Exchange Rate Dynamics,"in: Jones, R. and Kenen, P., eds., Handbook of International Economics, 2, pp.917 -977.
Roper, D.E.(197S), "The Role of Expected Value Analysis for Speculative Decisions in the Forward Currency Market Comment,"Quarterly Journal of Economics, 89, pp.157-169.
Stein, J .L. (1980), "The Dynamic of Spot and Forward Prices in an Efficient Foreign Exchange Market with Rational Expectations,"American Economic Review, 70, pp.565-583.
Tsiang, S.C. (1959), "The Theory of Forward Exchange and the Effects of Government Intervention on the Foreign Exchange Market," IMF Staff Paper, 7, pp. 75-106.
描述 碩士
國立政治大學
經濟學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004705
資料類型 thesis
dc.contributor.advisor 曹添旺zh_TW
dc.contributor.author (Authors) 張宗傑zh_TW
dc.contributor.author (Authors) ZHANG, ZONG-JIEen_US
dc.creator (作者) 張宗傑zh_TW
dc.creator (作者) ZHANG, ZONG-JIEen_US
dc.date (日期) 1992en_US
dc.date (日期) 1991en_US
dc.date.accessioned 2-May-2016 17:11:26 (UTC+8)-
dc.date.available 2-May-2016 17:11:26 (UTC+8)-
dc.date.issued (上傳時間) 2-May-2016 17:11:26 (UTC+8)-
dc.identifier (Other Identifiers) B2002004705en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89865-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description.abstract (摘要) 本文主旨在設立一個考慮遠期外匯市場之總體經濟模型，完整地將避險貿易行為、拋補利率行為及純粹投機行為綜合起來，使即期外匯市場與遠期外陸市場緊密結合。本文主要探討的問題為:zh_TW
dc.description.tableofcontents 謝詞. . . . . . . . . . . . . . . . . . . . . . . I
本文摘要. . . . . . . . . . . . . . . . . . . . . . II
目錄. . . . . . . . . . . . . . . . . . . . . . IV
圖表目次. . . . . . . . . . . . . . . . . . . . . . V
第一章: 緒論. . . . . . . . . . . . . . . . . . . . . . 1
第一節: 研究動機與目的. . . . . . . . . . . . . . . . . . . . . . .1
第二節: 文獻回顧. . . . . . . . . . . . . . . . . . . . . . 3
第三節: 研究方法與本文架構. . . . . . . . . . . . . . . . . . . . . . 6
注釋. . . . . . . . . . . . . . . . . . . . . . 8
第二章: 理論動態模型. . . . . . . . . . . . . . . . . . . . . . 9
第一節: 考慮遠期匯率之理論動態模型設定. . . . . . . . . . . . . . . . . . . . . . 9
第二節: 模型求解縮減式. . . . . . . . . . . . . . . . . . . . . . 13
第三節: 穩定條件與最適貨幣政策. . . . . . . . . . . . . . . . . . . . . .20
第四節: 模型結果之比較. . . . . . . . . . . . . . . . . . . . . . 25
注釋. . . . . . . . . . . . . . . . . . . . . . 28
第三章: 實證分析. . . . . . . . . . . . . . . . . . . . . . 30
第一節: 台灣匯率訂價之歷史背景. . . . . . . . . . . . . . . . . . . . . . 30
第二節: 實證資料說明. . . . . . . . . . . . . . . . . . . . . . 35
第三節: 台灣匯率動態調整之實證分析與結果. . . . . . . . . . . . . . . . . . . . . . 37
第四章: 評估與總結. . . . . . . . . . . . . . . . . . . . . . 47
參考文獻. . . . . . . . . . . . . . . . . . . . . .49		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004705en_US
dc.title (題名) 遠期匯率.即期匯率與匯率動態調整暨實證分析zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Baron, D.P. (1976), "Flexible Exchange Rates Forward Markets,and the Level of Trade," American Economic Review, 66,pp.253-266.
Bhandari, J.S. (1981), "Exchange Rate Overshooting Revisited,"Manchester School, 49, pp. 165-172.
Dornbusch, R. (1976), "Expectations and Exchange Rate Dynamics,"Journal of Political Economy, 84, pp.1161-1176.
Driskill, R. (1981), "Exchange Rate Dynamics: An An Emprical Investigation," American Economic Review, 89, pp.357-371.
Driskill, R. & McCafferty, S. (1982), "Spot and Forward Rates in a stochastic Model of the Foreign Exchange Market," Journal of International Economics, 99, pp.313-331.
Eaton, J. & Turnovsky, S.J. (1984), "The Forward Exchange Market Speculation, and Exchange Market Intervention," Quarterly Journal of Economics, 89, pp.45-70.
Friedman, M. (1953), "The Case for Flexible Exchange Rate," Essays in Positive Economics. Chicago: University of Chicago Press.
Frenkel, R.P. & Rodriguez, C.A. (1982), "Exchange Rate Dynamics and Overshooting Hypothesis," IMF Staff Papers, 29,pp.1-30.
Kawai, M. (1985), "The Effect of Forward Exchange on Spot Rate Volatility under Risk and Rational Expectations," Journal of International Economics, 16, pp.155-172.
Kouri, P.J .K. (1976), "The Exchange Rate and the Balance of Payments in the Short Run and in the long Run: A Monetary Approach," Scandinavian Journal of Economics, 78,pp. 280-304.
Obstfeld, M. and Stockman, A. (1985), "Exchange Rate Dynamics,"in: Jones, R. and Kenen, P., eds., Handbook of International Economics, 2, pp.917 -977.
Roper, D.E.(197S), "The Role of Expected Value Analysis for Speculative Decisions in the Forward Currency Market Comment,"Quarterly Journal of Economics, 89, pp.157-169.
Stein, J .L. (1980), "The Dynamic of Spot and Forward Prices in an Efficient Foreign Exchange Market with Rational Expectations,"American Economic Review, 70, pp.565-583.
Tsiang, S.C. (1959), "The Theory of Forward Exchange and the Effects of Government Intervention on the Foreign Exchange Market," IMF Staff Paper, 7, pp. 75-106.		zh_TW