| dc.contributor.advisor | 郭炳伸<br>林信助 | zh_TW |
| dc.contributor.author (Authors) | 張惠玲 | zh_TW |
| dc.creator (作者) | 張惠玲 | zh_TW |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 18-Sep-2009 18:56:35 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 18:56:35 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 18:56:35 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0913510131 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36599 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 91351013 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (摘要) | In most of the empirical research about the uncovered interest rate parity (UIP), estimation of the condition at short horizons rejects this theoretical proposition and presents just opposite outcome, while estimation at long horizons reports more consistent results with the proposition. Based on the belief that permanent components may convey more information in the UIP condition, we adopt in this thesis the permanent-transitory decomposition approach introduced by Gonzalo and Granger (1995) to estimate the common long memory components of interest rates and that of exchange rate. We then re-evaluate the UIP condition using the decomposed permanent and transitory parts, respectively. Our results reinforce the stylized facts existing in the literature, while it remains to be answered why empirical evidence does not favor the UIP condition. | zh_TW |
| dc.description.abstract (摘要) | In most of the empirical research about the uncovered interest rate parity (UIP), estimation of the condition at short horizons rejects this theoretical proposition and presents just opposite outcome, while estimation at long horizons reports more consistent results with the proposition. Based on the belief that permanent components may convey more information in the UIP condition, we adopt in this thesis the permanent-transitory decomposition approach introduced by Gonzalo and Granger (1995) to estimate the common long memory components of interest rates and that of exchange rate. We then re-evaluate the UIP condition using the decomposed permanent and transitory parts, respectively. Our results reinforce the stylized facts existing in the literature, while it remains to be answered why empirical evidence does not favor the UIP condition. | en_US |
| dc.description.tableofcontents | 1 Introduction 3 2 Methodology 6 3 Data and Empirical Results 9 4 Re-examination of the performance of the UIP condition 12 5 Conclusion 17 List of Tables 1 The results of the UIP estimation . . . . . . . . . . . . . . . . 20 2 Estimation of Cointegration Structure . . . . . . . . . . . . . . 22 3 Re-examination of the UIP condition after decomposition . . . 32 4 Summary of the Unit Root Test . . . . . . . . . . . . . . . . . 33 List of Figures 1 The time series plot of the decomposed interest rates . . . . . 25 2 The time series plot of the decomposed exchange rates . . . . 30 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0913510131 | en_US |
| dc.subject (關鍵詞) | UIP | en_US |
| dc.subject (關鍵詞) | decomposition | en_US |
| dc.title (題名) | Accounting for Uncovered Interest Rate Parity - The Permanent and Transitory Decomposition Approach | zh_TW |
| dc.type (資料類型) | thesis | en |
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