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題名 匯率估計與預測之研究 : 臺灣實證分析
作者 鄭鴻章
貢獻者 汪義育
鄭鴻章
日期 1987
上傳時間 4-May-2016 17:09:28 (UTC+8)
參考文獻 參考書目\r\n一、中文部分:\r\nl.中央研究院統計研究所“時間數列分析與預測講習會\"參考資料，1986年。\r\n2.工商時報社論剪輯，1986年、1987年。\r\n3.石齊平\"當代計量經濟學\"，三民書局，1985年\r\n4.汪義育 \"台灣物價與所得波動之探討──向量自迴歸分析之結論\"，中國經濟學會年會論文集抽印本，1985年。\r\n5.李庸三 \"經濟計量方法\"，三民書局，1979年。\r\n6.李麗 \"我國外匯市場與匯率制度\"，財團法人金融人員研究訓練中心，1986年。\r\n7.俞海琴 \"我國央行外匯行為之研究\"，企銀季刊第十卷第二期，1986年。\r\n8.蕭美珠 \"購買力平價論──台灣實證研究\"，國立政治大學國際貿易研究所碩士論文，1983年。\r\n9.劉鶯釧 \"多元時間數列分析方法之介紹與應用\" 經濟論文叢刊第十輯，1982年。\r\n10.劉鶯釧 \"論因果關係檢定──時間數列分析方法之應用\"，經濟論文叢刊第十一輯，1983\r\n11.劉鶯釧 \"單一方程迴歸與時間數列分析\"，經濟論文叢刊第十二輯，1984年。\r\n\r\n二、英文部分:\r\n1. Bilson, John. 1978. The monetary approach to the exchange rate- some empirical evidence. IMF Staff Papers 25 (March) : 48-75.\r\n2. Branson, William. 1977 Asset markets and relative prices in exchange rate determination. Sozialwissenschaftliche Annalen 1:69-89.\r\n3. Branson, William, 1984. Exchange Rate Policy after a decade of “Floating” in John F. O. Bilson and Richard C. Marston, eds., \"Exchange Rate Theory and Practice” The University of chicago Press. 1984.\r\n4. Box, G. P. & Jenkin Gwilymm, \" Time Series Analysis-forecasting and Control \", Holden- Day Inc : Academic Press, 1976.\r\n5. Calvo, G. A. and C. A. Rodriguez (1977), \"A model of exchange rate determination with currency substitution and rational expectations\", Journal of Political Economy, 85:\r\n617-626.\r\n6. Dornbusch, Rudiger. 1976. Expectations and exchange rate dynamics. Journal of Political Economy 84:1161-76.\r\n7. Driskill, R. A ( 1981), \" Exchange- rate dynamics : An empirical investigation \", Journal of Political Economy, 89: 357-371.\r\n8. Frankel, Jeffrey. 1979. On the mark : A theory of floating exchange rates based on real interest differentials. American Economic Review 69 (September) : 610-22.\r\n9. ───,1980. Monetary and portfolio-balance models of exchange rate determination NBER Summer Institute Paper 80-7 In Economic Interdependence and Flexible Exchange Rates ,ed. J. Bhandari. Cambridge, Mass. : MIT Press, 1983.\r\n10. ───, 1981. On the mark: Reply. American Economic Review AER 71 (December): 1075-82.\r\n11. Frenkel, J. A. (1980), \" Exchange rates, prices and money: Lessons from the 1920s \", American Economic Review, 70: 235-242.\r\n12. Frenkel, Jacob. 1976. A monetary approach to the exchange rate : Doctrinal aspects and empirical evidence. Scandinavian Journal of Economics 76 (May): 200-224.\r\n13. ───, 1981. The collapse of purchasing power parities during the 1970s. European Economic Review, 16: 145-65.\r\n14. Frenkel, J. A. ( 1981 ) , \" Flexible exchange rates, prices and the role of news : Lessons from the 1970s \", Journal of Political Economy, 89 : 665-705.\r\n15. Frenkel, J. A. and K. W. Clements (1981), \" Exchange rates in the 1920s : A monetary\r\napproach \", in : Flanders and Razin, eds., Development in an inflationary world ( Academic Press, New York) 283-318.\r\n16. Fackler, J.S. &Kriger, S.C,\" An Applied of Vector of Time Series Technique to macroeconomic Forecasting \", Journal of Business & Economic Statistics ( 1986)\r\n17. Granger, C. W. J and Newbol Paul, \" Forecasting Economic Time Series \" Now York : Academic Press. (1977)\r\n18. Hooper, Peter and Morton, John. 1982. Fluctuations in the dollar: A model of nominal and real exchange rate determination. Journal of International Money and Finance 1, no. 1: 39-56.\r\n19. Hogan, \" A Comparsion of Alternative Exchange Rate forecasting Model \", The Economic Record.(1986)\r\n20. Levich, R. M, \" Empirical Study of Exchange Rate: Price behavior, Rate determination\r\nand market Exchange rate Efficiency \". Handbook of International Economic, Vo. II. (1985 )\r\n21. Litterman, Robert B, “Technique for forecasting Using Vector Autoregressive,\" Unpublished ph.D. disseration, University of Minesota Dept. of Economy ( 1980 ) .\r\n22. Levich, R. M. ( 1979a ) , \"The international money market : An assessment of forecasting techniques and market efficiency ( JAI Press, Greenwich, Conn. )\r\n23. Meese, R. and K. Rogoff (1983a),\" Empirical exchange r ate models of the seventies: Do they fit out of sample? \" Journal of Internationa1 Economics, 14 : 3- 24 .\r\n24. Nelson, Char les . R.\" Applied Time Series Analysis\", Holden-Day Inc: Academic Press. (1973)\r\n25. Sargent Thomas , J , \" Estimatig Vector Autore-gressive Using method not base on Explict Theory\", federal Reserve Bank of mineapolis Quarterly Review. (1979)\r\n26. Somanatn, V. S,\" Efficiency Exchange Rate Forecasting: Lagged model better than the\r\nRandom Walk\". Journal of International Money and Finance, (1986)\r\n27. Woo, W. T,\" The Monetary Approach to Exchange Rate determination Under Rational Expectation\" Journal of International Money and Finance (1986)\r\n28. WAYNE. Y. Y, WANG,\" Income and Price fluctuation in the Taiwan Economy: A vector Autoregression Model Approach,\" Unpublished ph.D disseration, University of Minesota. Dept. of Economy (1984)
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/#B2002006213
資料類型 thesis
dc.contributor.advisor 汪義育zh_TW
dc.contributor.author (Authors) 鄭鴻章zh_TW
dc.creator (作者) 鄭鴻章zh_TW
dc.date (日期) 1987en_US
dc.date.accessioned 4-May-2016 17:09:28 (UTC+8)-
dc.date.available 4-May-2016 17:09:28 (UTC+8)-
dc.date.issued (上傳時間) 4-May-2016 17:09:28 (UTC+8)-
dc.identifier (Other Identifiers) B2002006213en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=102835-
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\r\n表次………5\r\n圖次………7\r\n第一章 緒論………8\r\n第一節 研究動機與目的………8\r\n第二節 本文架構………9\r\n第二章 匯率決定模型與實證文獻檢討………10\r\n第一節 ppp理論以及實證………11\r\n第二節 貨幣分析理論模型及實證………18\r\n第三節 時間序列行為分析及預測文獻之探討………29\r\n附錄一 Hooper-Morton模型之建立………33\r\n第三章 時間序列分析方法之簡介………36\r\n第一節 ARIMA模型的理論架構………37\r\n第二節 模型之認定………39\r\n第三節 模型係數之估計………52\r\n第四節 診斷性檢定………57\r\n第五節 預測理論………59\r\n第六節 多元時間序列分析………66\r\n第四章 向量自迴歸分析方法之簡介………78\r\n第一節 VAR模型建立………79\r\n第二節 模型認定………83\r\n第三節 估計理論………84\r\n第四節 VAR模型預測………89\r\n第五節 貝氏向量自迴歸模型………91\r\n第六節 預測績效評估………96\r\n第五章 台灣匯率的實證分析………101\r\n第一節 台灣匯率變動之回顧………101\r\n第二節 結構化模型實證分析………107\r\n第三節 時間序列模型實證分析………133\r\n第四節 向量自迴歸模型實證分析………147\r\n第六章 結論與建議………160\r\n資料來源與定義………163\r\n參考書目………166\r\n\r\n表次\r\n表2-1-1 ppp絕對觀與相對關之實證文獻檢閱………17\r\n表2-2-1 貨幣分析模型較具代表性之設定………24\r\n表2-2-2 貨幣分析模型之實證文獻檢閱………28\r\n表3-2-1 ESACF表………51\r\n表5-1-1 外匯匯率中央銀行牌價主要變動表………104\r\n表5-2-1 各國匯率之絕對ppp模型迴歸結果………110\r\n表5-2-2 各國匯率之相對ppp模型迴歸結果………111\r\n表5-2-3 台幣對美元匯率之結構化及隨機漫步模型迴歸結果………119\r\n表5-2-4 台幣對馬克匯率之結構化及隨機漫步模型迴歸結果………122\r\n表5-2-5 台幣對日圓匯率之結構化及隨機漫步模型迴歸結果………123\r\n表5-2-6 馬克對美元匯率之結構化及隨機漫步模型迴歸結果………126\r\n表5-2-7 日圓對美元匯率之結構化及隨機漫步模型迴歸結果………127\r\n表5-2-8 台幣對美元、馬克、日圓匯率預測之Theil u值………129\r\n表5-2-9 馬克、日圓對美元匯率預測之Theil u值………130\r\n表5-2-10 考慮結構化變動後台幣對美元、馬克、日圓匯率預測之Thei1 u值………131\r\n表5-2-11 考慮結構化變動後馬克、日圓對美元匯率預測之Thei1 u值………132\r\n表5-3-1 ESPACF表………134\r\n表5-3-2 時間序列模型估計與診斷性核定結果………136\r\n表5-3-3 時間序列模型預測結果………139\r\n表5-3-4 考慮加權處理後時間序列模型之預測結果………140\r\n表5-3-5 時間序列模型預測能力評估之統計量………141\r\n表5-3-6 加權處理後AR(1)模型預測能力評估之統計量………143\r\n表5-3-7 加權處理後AR(2)模型預測能力評估之統計量………145\r\n表5-4-1 模型設定限制之概似比率檢定(遞延三期) ………149\r\n表5-4-2 模型設定限制之概似比率檢定(遞延四期) ………150\r\n表5-4-3 遞延期次選擇之概似比率檢定………152\r\n表5-4-4 不同模型設定下Thei1u值之比較………153\r\n表5-4-5 隨機漫步貝氏模型預測能力檢討(無時間趨勢項) ………156\r\n表5-4-6 隨機漫步貝氏模型預測能力檢討(含時間趨勢項) ………157\r\n表5-4-7 隨機漫步貝氏模型預測能力檢討(含時間趨勢項) ………158\r\n\r\n圖次\r\n圖2-3-1 名目匯率變動趨勢圖………29\r\n圖5-1-1 新台幣對美元實際匯率主要變動情形(38年6月至68年2月) ………105\r\n圖5-1-2 新台幣對美元匯率變動趨勢圖(68年1月至75年11月) ………106\r\n圖5-3-1 ACF圖………133\r\n圖5-3-2 PACF圖………134zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002006213en_US
dc.title (題名) 匯率估計與預測之研究 : 臺灣實證分析zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考書目\r\n一、中文部分:\r\nl.中央研究院統計研究所“時間數列分析與預測講習會\"參考資料，1986年。\r\n2.工商時報社論剪輯，1986年、1987年。\r\n3.石齊平\"當代計量經濟學\"，三民書局，1985年\r\n4.汪義育 \"台灣物價與所得波動之探討──向量自迴歸分析之結論\"，中國經濟學會年會論文集抽印本，1985年。\r\n5.李庸三 \"經濟計量方法\"，三民書局，1979年。\r\n6.李麗 \"我國外匯市場與匯率制度\"，財團法人金融人員研究訓練中心，1986年。\r\n7.俞海琴 \"我國央行外匯行為之研究\"，企銀季刊第十卷第二期，1986年。\r\n8.蕭美珠 \"購買力平價論──台灣實證研究\"，國立政治大學國際貿易研究所碩士論文，1983年。\r\n9.劉鶯釧 \"多元時間數列分析方法之介紹與應用\" 經濟論文叢刊第十輯，1982年。\r\n10.劉鶯釧 \"論因果關係檢定──時間數列分析方法之應用\"，經濟論文叢刊第十一輯，1983\r\n11.劉鶯釧 \"單一方程迴歸與時間數列分析\"，經濟論文叢刊第十二輯，1984年。\r\n\r\n二、英文部分:\r\n1. Bilson, John. 1978. The monetary approach to the exchange rate- some empirical evidence. IMF Staff Papers 25 (March) : 48-75.\r\n2. Branson, William. 1977 Asset markets and relative prices in exchange rate determination. Sozialwissenschaftliche Annalen 1:69-89.\r\n3. Branson, William, 1984. Exchange Rate Policy after a decade of “Floating” in John F. O. Bilson and Richard C. Marston, eds., \"Exchange Rate Theory and Practice” The University of chicago Press. 1984.\r\n4. Box, G. P. & Jenkin Gwilymm, \" Time Series Analysis-forecasting and Control \", Holden- Day Inc : Academic Press, 1976.\r\n5. Calvo, G. A. and C. A. Rodriguez (1977), \"A model of exchange rate determination with currency substitution and rational expectations\", Journal of Political Economy, 85:\r\n617-626.\r\n6. Dornbusch, Rudiger. 1976. Expectations and exchange rate dynamics. Journal of Political Economy 84:1161-76.\r\n7. Driskill, R. A ( 1981), \" Exchange- rate dynamics : An empirical investigation \", Journal of Political Economy, 89: 357-371.\r\n8. Frankel, Jeffrey. 1979. On the mark : A theory of floating exchange rates based on real interest differentials. American Economic Review 69 (September) : 610-22.\r\n9. ───,1980. Monetary and portfolio-balance models of exchange rate determination NBER Summer Institute Paper 80-7 In Economic Interdependence and Flexible Exchange Rates ,ed. J. Bhandari. Cambridge, Mass. : MIT Press, 1983.\r\n10. ───, 1981. On the mark: Reply. American Economic Review AER 71 (December): 1075-82.\r\n11. Frenkel, J. A. (1980), \" Exchange rates, prices and money: Lessons from the 1920s \", American Economic Review, 70: 235-242.\r\n12. Frenkel, Jacob. 1976. A monetary approach to the exchange rate : Doctrinal aspects and empirical evidence. Scandinavian Journal of Economics 76 (May): 200-224.\r\n13. ───, 1981. The collapse of purchasing power parities during the 1970s. European Economic Review, 16: 145-65.\r\n14. Frenkel, J. A. ( 1981 ) , \" Flexible exchange rates, prices and the role of news : Lessons from the 1970s \", Journal of Political Economy, 89 : 665-705.\r\n15. Frenkel, J. A. and K. W. Clements (1981), \" Exchange rates in the 1920s : A monetary\r\napproach \", in : Flanders and Razin, eds., Development in an inflationary world ( Academic Press, New York) 283-318.\r\n16. Fackler, J.S. &Kriger, S.C,\" An Applied of Vector of Time Series Technique to macroeconomic Forecasting \", Journal of Business & Economic Statistics ( 1986)\r\n17. Granger, C. W. J and Newbol Paul, \" Forecasting Economic Time Series \" Now York : Academic Press. (1977)\r\n18. Hooper, Peter and Morton, John. 1982. Fluctuations in the dollar: A model of nominal and real exchange rate determination. Journal of International Money and Finance 1, no. 1: 39-56.\r\n19. Hogan, \" A Comparsion of Alternative Exchange Rate forecasting Model \", The Economic Record.(1986)\r\n20. Levich, R. M, \" Empirical Study of Exchange Rate: Price behavior, Rate determination\r\nand market Exchange rate Efficiency \". Handbook of International Economic, Vo. II. (1985 )\r\n21. Litterman, Robert B, “Technique for forecasting Using Vector Autoregressive,\" Unpublished ph.D. disseration, University of Minesota Dept. of Economy ( 1980 ) .\r\n22. Levich, R. M. ( 1979a ) , \"The international money market : An assessment of forecasting techniques and market efficiency ( JAI Press, Greenwich, Conn. )\r\n23. Meese, R. and K. Rogoff (1983a),\" Empirical exchange r ate models of the seventies: Do they fit out of sample? \" Journal of Internationa1 Economics, 14 : 3- 24 .\r\n24. Nelson, Char les . R.\" Applied Time Series Analysis\", Holden-Day Inc: Academic Press. (1973)\r\n25. Sargent Thomas , J , \" Estimatig Vector Autore-gressive Using method not base on Explict Theory\", federal Reserve Bank of mineapolis Quarterly Review. (1979)\r\n26. Somanatn, V. S,\" Efficiency Exchange Rate Forecasting: Lagged model better than the\r\nRandom Walk\". Journal of International Money and Finance, (1986)\r\n27. Woo, W. T,\" The Monetary Approach to Exchange Rate determination Under Rational Expectation\" Journal of International Money and Finance (1986)\r\n28. WAYNE. Y. Y, WANG,\" Income and Price fluctuation in the Taiwan Economy: A vector Autoregression Model Approach,\" Unpublished ph.D disseration, University of Minesota. Dept. of Economy (1984)zh_TW