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題名 台灣總體經濟變數之因果關係檢定
作者 蔡麗茹
貢獻者 汪義育
蔡麗茹
日期 1988
上傳時間 4-May-2016 14:22:02 (UTC+8)
參考文獻 參考書目
     一 中文部分
     1. 汪義育。「台灣物價與所得波動之探討—向量自迴歸模型分析之結論」，中國經濟學會年會論文集抽印本。民國74年11月。
     2. ───。「簡論因果關係檢定」，民意學術專刊。民75春季號。
     3. 鄭鴻章。「匯率估計與預測之研究－台灣實證分析」，國立政治大學國際貿易研究所碩士論文。民國76年6月。
     
     二 英文部分
     1. Branson, William. “Asset Market and Relative prices in Exchange Rate Determination”, Sozialwissenschaftliche Annalen, Band 1, 1977.
     2. Frenkel, J.A. and Rodriguez, C.A. “Protfolio Equilibrium and The Balance of Payments. A Monetary Approach”, The American Economic Review, Vol.65, No.4, September, 1975.
     3. Gandolfo, Giancarlo. International Ecnomics. Taipei: Maw Chang Book Company, 1987.
     4. Geweke, J. “The Approximate Slopes of Econometric Tests”, Econometrica, Vol.49, No.6, November, 1981.
     5. -----, “Inference and Causality in Economic Time Series Models”, in Griliches Z. and Intrligator M.D. (eds.) Handbook of Econometrics, Vol.2, 1984.
     6. Geweke, J., Meese R. and Dent W. “Comparing Alternative Tests of Causality in Temporal Systems”, Journal of Econometrics 21, 1983.
     7. Granger, C.W.J. “Testing for Causality: A Personal Viewpoint”, Journal of Economic Dynamics and Control 2, 1980.
     8. Gylfason, T. and Helliwell J.f. “A Synthesis of Keynesian, Monetary, and Portfolio Approaches to Flexible Exchange Rates”, NBER Working Paper Series, No.949.
     9. Harvey, A.C. The Econometric Analysis of Time Series, New York: Halstead Press, 1981.
     10. Hoffman, D.L. and Schlagenhauf, D.S. “The Impact of News and Alternative Theories of Exchange Rate Determination” Journal of Money, Credit, and Banking, August 1985.
     11. Hosoya, Yuzo. “On The Granger Condition for Non-Causality”, Econometrica, Vol. 45, No. 7, October, 1977.
     12. Hsiao, Cheng. “Autoregressive Modelling and Money Income Causality Detection”, Journal of Monetary Economics 7, 1981.
     13. -----, “Autoregressive Modelling and Causal Ordering of Economic Variables”, Journal of Economic Dynamics and Cotrol 4, 1982.
     14. Meeze, Richard A. and Rogoff, Kenneth “Empirical exchange rate models of The seventies, do they fit out of sample?” Journal of International Economics 14, 1983.
     15. Niehans, Jurg. International Monetary Ecnomics. London: The Johns Hopkins University press, 1984.
     16. Rivera-Batiz, F.L. and Rivera-Batiz, L. International Finance and Open Economy Macroeconomics, 1985.
     17. Sargent, T. J. Macroeconomic Theory, New York: Academic Press, 1979.
     18. Sims, C. A. “Money, Income and Causality” American Economic Review 62, 1972.
     19. -----, “Exogeneity and Causal Ordering in Macroeconomic Models”, in C.A. Sims ed. New Methods in Business Cycle Research: Proceedings of a Conference. Minneapolis, MN: Federal Reserve Bank of Minneapolis.
     20. -----, “Macroeconomics Reality”, Econometrica, 48, 1980.
     21. Tiao, G.C. and Box, G.E.P. “Modeling Multiple Time Series with Applications”, JASA, 1981.
     22. Tiao, G.C. and Tsay R.S. “Multiple Time Series Modeling and Extended Sample Cross – Correlations”, JBES, 1983.
     23. -----, “Consistent estimates of Autogressive Parameters and Extended Sample Autocorrelation Function for stationary and Nonstationary ARMA models,” J.A.S.A, 1982.
     24. Woo, Wing T. “The Monetary Approach to exchange rate Determination under rational expectations” Journal of International Economics, 18, 1985.
描述 碩士
國立政治大學
國際經營與貿易學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002005703
資料類型 thesis
dc.contributor.advisor 汪義育zh_TW
dc.contributor.author (Authors) 蔡麗茹zh_TW
dc.creator (作者) 蔡麗茹zh_TW
dc.date (日期) 1988en_US
dc.date.accessioned 4-May-2016 14:22:02 (UTC+8)-
dc.date.available 4-May-2016 14:22:02 (UTC+8)-
dc.date.issued (上傳時間) 4-May-2016 14:22:02 (UTC+8)-
dc.identifier (Other Identifiers) B2002005703en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/90442-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description.tableofcontents 目錄
     第一章 緒論………1
     第一節 研究動機與目的………1
     第二節 傳統國際金融理論之簡析………2
     第三節 因果關係概念之簡介………10
     第四節 研究大綱………12
     第二章 因果關係檢定………15
     第一節 導論………15
     第二節 基本假設………20
     第三節 因果關係的統計檢定方法………29
     第四節 檢定結果之解釋………38
     第三章 統計模型選擇之設定方法………55
     第一節 VAR模型之區塊排除性檢定………57
     第二節 “客觀”貝氏VAR模型………60
     第三節 Hsiao之VAR模型認定(HVAR) ………63
     第四節 多元時間序列模型(VARMA) ………67
     第四章 台灣之實證分析………80
     第一節 VAR區塊排除性檢定之實證分析………81
     第二節 “客觀”貝氏VAR模型之實證分析………96
     第三節 HVAR模型認定之實證分析………106
     第四節 VARMA模型之實證分析………110
     第五章 結論與建議………124
     第一節 結論………124
     第二節 建議………125
     附錄--資料來源………127
     
     表次
     表4-1-1 落後階次選擇之概似比率檢定………83
     表4-1-2 區塊排除之概似比率檢定………85
     表4-1-3 區塊排除之概似比率檢定………88
     表4-1-4 (1,2)與(1,3)式在不同估計期間下之概似比率檢定………91
     表4-1-5 單條方程式之F檢定中邊際顯著水準最高者………92
     表4-1-6 不同模型之預測能力檢定………95
     表4-2-1 貝氏模型不同全盤緊縮係數之預測績效………100
     表4-2-2 貝氏模型不同相對緊縮係數之預測績效………101
     表4-2-3 貝氏模型中不同遞減係數型態之預測績效………102
     表4-2-4 不同”較不重要變數之相對緊縮係數”之預測績效………105
     表4-3-1 被控制變數之最適解釋變數與落後階次選擇………108
     表4-3-2 HVAR模型之預測績效(Theil-u平均值) ………110
     表4-4-1 原始序列的SCCM表格………113
     表4-4-2 原始序列之SPCCM表格………114
     表4-4-3 取一階差分後之SCCM表格………115
     表4-4-4 取一階差分後之SPCCM表格………116
     表4-4-5 原始序列之ESCCM表………117
     表4-4-6 取一階差分後之ESCCM表………118
     表4-4-7 模型(i)殘差項的SCCM表格………120
     表4-4-8 預測誤差分解………121		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002005703en_US
dc.title (題名) 台灣總體經濟變數之因果關係檢定zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考書目
     一 中文部分
     1. 汪義育。「台灣物價與所得波動之探討—向量自迴歸模型分析之結論」，中國經濟學會年會論文集抽印本。民國74年11月。
     2. ───。「簡論因果關係檢定」，民意學術專刊。民75春季號。
     3. 鄭鴻章。「匯率估計與預測之研究－台灣實證分析」，國立政治大學國際貿易研究所碩士論文。民國76年6月。
     
     二 英文部分
     1. Branson, William. “Asset Market and Relative prices in Exchange Rate Determination”, Sozialwissenschaftliche Annalen, Band 1, 1977.
     2. Frenkel, J.A. and Rodriguez, C.A. “Protfolio Equilibrium and The Balance of Payments. A Monetary Approach”, The American Economic Review, Vol.65, No.4, September, 1975.
     3. Gandolfo, Giancarlo. International Ecnomics. Taipei: Maw Chang Book Company, 1987.
     4. Geweke, J. “The Approximate Slopes of Econometric Tests”, Econometrica, Vol.49, No.6, November, 1981.
     5. -----, “Inference and Causality in Economic Time Series Models”, in Griliches Z. and Intrligator M.D. (eds.) Handbook of Econometrics, Vol.2, 1984.
     6. Geweke, J., Meese R. and Dent W. “Comparing Alternative Tests of Causality in Temporal Systems”, Journal of Econometrics 21, 1983.
     7. Granger, C.W.J. “Testing for Causality: A Personal Viewpoint”, Journal of Economic Dynamics and Control 2, 1980.
     8. Gylfason, T. and Helliwell J.f. “A Synthesis of Keynesian, Monetary, and Portfolio Approaches to Flexible Exchange Rates”, NBER Working Paper Series, No.949.
     9. Harvey, A.C. The Econometric Analysis of Time Series, New York: Halstead Press, 1981.
     10. Hoffman, D.L. and Schlagenhauf, D.S. “The Impact of News and Alternative Theories of Exchange Rate Determination” Journal of Money, Credit, and Banking, August 1985.
     11. Hosoya, Yuzo. “On The Granger Condition for Non-Causality”, Econometrica, Vol. 45, No. 7, October, 1977.
     12. Hsiao, Cheng. “Autoregressive Modelling and Money Income Causality Detection”, Journal of Monetary Economics 7, 1981.
     13. -----, “Autoregressive Modelling and Causal Ordering of Economic Variables”, Journal of Economic Dynamics and Cotrol 4, 1982.
     14. Meeze, Richard A. and Rogoff, Kenneth “Empirical exchange rate models of The seventies, do they fit out of sample?” Journal of International Economics 14, 1983.
     15. Niehans, Jurg. International Monetary Ecnomics. London: The Johns Hopkins University press, 1984.
     16. Rivera-Batiz, F.L. and Rivera-Batiz, L. International Finance and Open Economy Macroeconomics, 1985.
     17. Sargent, T. J. Macroeconomic Theory, New York: Academic Press, 1979.
     18. Sims, C. A. “Money, Income and Causality” American Economic Review 62, 1972.
     19. -----, “Exogeneity and Causal Ordering in Macroeconomic Models”, in C.A. Sims ed. New Methods in Business Cycle Research: Proceedings of a Conference. Minneapolis, MN: Federal Reserve Bank of Minneapolis.
     20. -----, “Macroeconomics Reality”, Econometrica, 48, 1980.
     21. Tiao, G.C. and Box, G.E.P. “Modeling Multiple Time Series with Applications”, JASA, 1981.
     22. Tiao, G.C. and Tsay R.S. “Multiple Time Series Modeling and Extended Sample Cross – Correlations”, JBES, 1983.
     23. -----, “Consistent estimates of Autogressive Parameters and Extended Sample Autocorrelation Function for stationary and Nonstationary ARMA models,” J.A.S.A, 1982.
     24. Woo, Wing T. “The Monetary Approach to exchange rate Determination under rational expectations” Journal of International Economics, 18, 1985.		zh_TW