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題名 The Cointegration of Exchange、Interetest Rate、Money Supply、 Real GNP---the Application of Johansen Sequential Testing Procedure
作者 吳明修
Wu, Ming-Shou
貢獻者 饒秀華
Rao, Xiu-Hua
吳明修
Wu, Ming-Shou
關鍵詞 共積
非恆定
Cointegration
Non-stationary
Johansen sequential testing Procedure
日期 1996
上傳時間 28-Apr-2016 11:33:55 (UTC+8)
摘要 本文的主要目的為比較不同模型或者不同檢定所產生的不同結果。選擇的遞延期數(lag)不同,則所得到的模型與共積數目也不一樣,使得不同遞延期數(lag)、不同模型 所得到的共積關係也不相同。所以本文將驗證在不同遞延期數下,所得到的不同模型共積關係的表現。因此希望利用Johansen Sequential Testing Procedure來同時決定共積關係數目及資料產生過程(DGP),而且也能探討共積關係。但其仍有缺點,例如Johansen Sequential Testing Procedure所取的遞延期數不同則所選定的模型也將不一樣,另一點是共積係數的估計值只是一basis。
參考文獻 一、中文部份
劉其昌、王素灣(1988)，"台幣與美元匯率決定因素的實證分析"，台灣金融統計月報，第24卷第4期，24-31。
呂桂玲(1989)，"新台幣對美元匯率決定之實證研究"，逢甲大學經濟研究所碩士論文。
余培德、蔡麗玲(1990)，"台灣匯率之決定與外匯市場之調整"，中央研究院經研所，台灣金融情勢與物價問題研討會論文集，139-169。
林秋之(1991)，"台灣的國際準備需求、匯率政策與國際收支"，中興大學經濟學研究所碩士論文。
滑明曙(1992)，"新台幣/美元實質匯率為一隨機漫步過程嗎？"，台北市銀月刊，第23卷第11期，2-13。
林麗貞(1993)，"台灣地區匯率決定之結構模型試估"，中興大學經濟研究所碩士論文。
錢俊男(1993)，"匯率決定理論與實證"，淡江大學金融研究所碩士論文。
魏明群(1994)，"匯率預測模式績效之研究"，成功大學會計學研究所碩士論文。
劉苓嫩(1994)，"新台幣對美元之匯率決並之實證研究━共整合分析方法的應用"，政治大學經濟研究所碩士論文。
林秋桂(1996)，"台灣外匯市場之效率性檢定"，淡江大學金融研究所碩士論

二、英文部份
Anindya Banerjce, Juan J. Dolado, John W. Galbraith and David F. Hendry(1993)," Co-integration, Error Correction, and The Econometric Analysis of Nonstationary Data", Oxford University Press.
Backus, D.(1984), "Empirical Model of the Exchange Rate: Sparating the Wheat from the Chaff", Canadian Journal of Economics. XVII, 4, 824-846.
Berger , R. L. and Sinclair, D. F.(1984), "Testing Hypothesis Concerning Unions of Linesr Subspaces", Journal of the American Statistical Association, No. 79,158-63.
Bhargava, A.(1986), "On the Theory of Testing for Unit Roots in Observed Time Series`., Review of Economic Studies, 53, 369-84.
Bilson, J. F. 0.(1987a), "Rational Expection and the Exchange Rate", in J. A. Frankel and H. G. Johansen (eds), The Economics of Exchange Rates Addison-Wesley Press,
Reading, 57-96.
Bilson, J. O.(1987b), "The Montary Approach to Exchange Rate -Some Empirical Evidence", IMF Staff paoers, 25, 48-75.
Booth, P. and D. Glassman (1987), "Off the Mark: Lessons for Exchange Rate Modeling", Oxford Economic Papers, 443-457.
Driskill, R. and S. Sheffrin(1981), "On the Mark: Comment", American Economic Review, 71, 1058-1074.
Frankel, J . A.(1984), "Test of Monetary and Portfolio Balence Models of Exchange Rate Determination"，in J. F O. Bilson and R. C. Marston(eds), Exchange Rate Thery and Practice, The University of Chicago Press for the NBER, 239-259.
Frenkel, J. A. (1976), "A Monetary Approach to the Exchange Rate Doctrinal Aspects and Emperical Evidence", Scandinnavian Journal of Economics, 78, 200-224.
Granger, C. W. J.(1981), "Some properties of Time Series Data and their Use in Econometric Model Specification", Journal of Econometrics, No.16, 121-30.
Gardeazabal J. and M. Regules (1992), The Montary Model of Exchange Rate and Cointegration: Estimation, Testing and Prediction, Springer-Verlag, New York.
G. S. Maddala(1992), "Introdution to Econometric", Macmillan Press.
Haynes, S. E. and J. A. Stone(1981), "On the Mark: Comment", The American Economic Review, 71:5, 1060-1067.
Hardick, R. J. (1978), "An Empirical Analysis of the Exchange Rate", in J. A. Frankel and H, G. Johansen(eds), The Economics of Exchange Rate, Addition-Wesley Press, Readings, 97-128.
MacDonald, R. and M. Taylor (1991a), "The Monetary Approach to The Exchange Rate: Long-Run Relationships and Coefficient Restrictions" ,Economics Letters, 37，179-185.
MacDonald, R. and M. Taylor (1991 b), "The Monetary Approach to The Exchange Rate : Rational Expections, LongRun Equilibrium, and Forecasting", IMF Staff Papers, 40, 89-107.
P. C. B. Phillips(March, 1987), "Time Series Regression with a Unit Root", Econometrica, Vol.55, 277-301.
P. C. B. Phillips and P. Perron(1988), "Testing for a Unit Root in Time Series Regression", Biometrica, Vo1.75, 335-346.
Pantula, S. G.(l989). "Testing for Unit Roots in Time Series Data", Econometric Thery, No.5, 256-71.
S. G. Hall(l989), "Practitioners Comer-Maximum Likelihood Estimation of Cointergration Vectors: an Example of the Johansen Procedure", Oxford Bulletin of Economics and Statistics, Vol.51, No.2, 213-218.
Schwert, G. W.(l989), "Tests for Unit Roots: A Monte Carlo Investigation ", Journal of Business and Economic Statistics, No. 7,147 -59.
Soren Johansen, Katarina Juselius(1990), "Maximum Likehood Estimation and Inference on Cointergration-with Applications to The Demand For Money", Oxford Bulletion of Economics and Statistics, Vo1.52, No.2, 169-210.
Soren Johansen(l992),"Determination of cointerge\\ration rank In the presence of linear trend", Oxford Bulletin of Economics and Statistics, Vol.54, No.3, 383-397.
Soren Johansen(1994), "The Role of The Contant and Linear Terms in Cointergration Analysis of Nonstationary Variables"，Econometric Reviews, Vol.13, No.2, 205-229.
Said E. Said and David A. Dickey(l984), "Testing for Unit Roots in Autoregressive-Moving Average Model of Unknown Order", Biometrika, Vol.71, No.3, 599-607.
描述 碩士
國立政治大學
國際經營與貿易學系
83351019
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002002736
資料類型 thesis
dc.contributor.advisor 饒秀華zh_TW
dc.contributor.advisor Rao, Xiu-Huaen_US
dc.contributor.author (Authors) 吳明修zh_TW
dc.contributor.author (Authors) Wu, Ming-Shouen_US
dc.creator (作者) 吳明修zh_TW
dc.creator (作者) Wu, Ming-Shouen_US
dc.date (日期) 1996en_US
dc.date.accessioned 28-Apr-2016 11:33:55 (UTC+8)-
dc.date.available 28-Apr-2016 11:33:55 (UTC+8)-
dc.date.issued (上傳時間) 28-Apr-2016 11:33:55 (UTC+8)-
dc.identifier (Other Identifiers) B2002002736en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/87279-
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 (描述) 83351019zh_TW
dc.description.abstract (摘要) 本文的主要目的為比較不同模型或者不同檢定所產生的不同結果。選擇的遞延期數(lag)不同,則所得到的模型與共積數目也不一樣,使得不同遞延期數(lag)、不同模型 所得到的共積關係也不相同。所以本文將驗證在不同遞延期數下,所得到的不同模型共積關係的表現。因此希望利用Johansen Sequential Testing Procedure來同時決定共積關係數目及資料產生過程(DGP),而且也能探討共積關係。但其仍有缺點,例如Johansen Sequential Testing Procedure所取的遞延期數不同則所選定的模型也將不一樣,另一點是共積係數的估計值只是一basis。zh_TW
dc.description.tableofcontents 第一章緒論..........1
第一節研究動機與目的..........1
第二節研究架構..........3
第二章匯率決定理論模型及相關實證文獻..........4
第一節匯率決定理論模型..........4
2.1.1國際收支學派..........4
2.1.2貨幣學派..........5
第二節相關實證文獻..........7
2.2.1國外實證文獻..........7
2.2.2國內實證文獻..........8
第三章研究方法(一)..........11
第一節遞延期數的選擇..........11
第二節單根檢定..........13
3.2.1趨勢穩定過程(trend stationary process-TSP)與差分穩定過程(difference stationay process-DSP)..........13
3.2.2Dickey-Fuller Augment-Dickey-Fuller Phillips-Perron無母數之單根檢定..........16
第三節殘差項相關檢定..........26
3.3.1殘差項常態性的檢定..........26
3.3.2殘差項的序列相關檢定..........27
第四章研究方法(二)..........30
第一節共積之概念..........30
第二節Johansen最大概似檢定法..........32
4.2.1最大概似法..........32
4.2.2共整合向量與其數的檢定..........33
第三節Sequential Testing Procedure..........36
4.3.1H與H二模型..........36
4.3.2H與H二模型的漸近分配..........38
4.3.3H與H二模型的Sequential Testing Procedure..........39
第四節五種模型之比較..........44
4.4.1五種模型之假設與特性..........44
4.4.2五種模型之Johansen Procedure..........48
4.4.3五種模型之比較..........49
第五章實證分析..........53
第一節遞延期數之選擇..........53
第二節單根檢定..........55
第三節H與H二模型之比較及H與H二模型的Sequential Testing Procedure..........66
5.3.1模型H與H之比較..........66
5.3.2模型H與H之Sequential Testing Procedure..........67
第四節五種模型之比較..........72
5.4.1五種模型的共積數..........72
5.4.2五種模型之共積係數..........74
第六章結論..........81
附錄整合誤差修正模型的推導..........84
參考文獻..........86		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002002736en_US
dc.subject (關鍵詞) 共積zh_TW
dc.subject (關鍵詞) 非恆定zh_TW
dc.subject (關鍵詞) Cointegrationen_US
dc.subject (關鍵詞) Non-stationaryen_US
dc.subject (關鍵詞) Johansen sequential testing Procedureen_US
dc.title (題名) The Cointegration of Exchange、Interetest Rate、Money Supply、 Real GNP---the Application of Johansen Sequential Testing Procedureen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文部份
劉其昌、王素灣(1988)，"台幣與美元匯率決定因素的實證分析"，台灣金融統計月報，第24卷第4期，24-31。
呂桂玲(1989)，"新台幣對美元匯率決定之實證研究"，逢甲大學經濟研究所碩士論文。
余培德、蔡麗玲(1990)，"台灣匯率之決定與外匯市場之調整"，中央研究院經研所，台灣金融情勢與物價問題研討會論文集，139-169。
林秋之(1991)，"台灣的國際準備需求、匯率政策與國際收支"，中興大學經濟學研究所碩士論文。
滑明曙(1992)，"新台幣/美元實質匯率為一隨機漫步過程嗎？"，台北市銀月刊，第23卷第11期，2-13。
林麗貞(1993)，"台灣地區匯率決定之結構模型試估"，中興大學經濟研究所碩士論文。
錢俊男(1993)，"匯率決定理論與實證"，淡江大學金融研究所碩士論文。
魏明群(1994)，"匯率預測模式績效之研究"，成功大學會計學研究所碩士論文。
劉苓嫩(1994)，"新台幣對美元之匯率決並之實證研究━共整合分析方法的應用"，政治大學經濟研究所碩士論文。
林秋桂(1996)，"台灣外匯市場之效率性檢定"，淡江大學金融研究所碩士論

二、英文部份
Anindya Banerjce, Juan J. Dolado, John W. Galbraith and David F. Hendry(1993)," Co-integration, Error Correction, and The Econometric Analysis of Nonstationary Data", Oxford University Press.
Backus, D.(1984), "Empirical Model of the Exchange Rate: Sparating the Wheat from the Chaff", Canadian Journal of Economics. XVII, 4, 824-846.
Berger , R. L. and Sinclair, D. F.(1984), "Testing Hypothesis Concerning Unions of Linesr Subspaces", Journal of the American Statistical Association, No. 79,158-63.
Bhargava, A.(1986), "On the Theory of Testing for Unit Roots in Observed Time Series`., Review of Economic Studies, 53, 369-84.
Bilson, J. F. 0.(1987a), "Rational Expection and the Exchange Rate", in J. A. Frankel and H. G. Johansen (eds), The Economics of Exchange Rates Addison-Wesley Press,
Reading, 57-96.
Bilson, J. O.(1987b), "The Montary Approach to Exchange Rate -Some Empirical Evidence", IMF Staff paoers, 25, 48-75.
Booth, P. and D. Glassman (1987), "Off the Mark: Lessons for Exchange Rate Modeling", Oxford Economic Papers, 443-457.
Driskill, R. and S. Sheffrin(1981), "On the Mark: Comment", American Economic Review, 71, 1058-1074.
Frankel, J . A.(1984), "Test of Monetary and Portfolio Balence Models of Exchange Rate Determination"，in J. F O. Bilson and R. C. Marston(eds), Exchange Rate Thery and Practice, The University of Chicago Press for the NBER, 239-259.
Frenkel, J. A. (1976), "A Monetary Approach to the Exchange Rate Doctrinal Aspects and Emperical Evidence", Scandinnavian Journal of Economics, 78, 200-224.
Granger, C. W. J.(1981), "Some properties of Time Series Data and their Use in Econometric Model Specification", Journal of Econometrics, No.16, 121-30.
Gardeazabal J. and M. Regules (1992), The Montary Model of Exchange Rate and Cointegration: Estimation, Testing and Prediction, Springer-Verlag, New York.
G. S. Maddala(1992), "Introdution to Econometric", Macmillan Press.
Haynes, S. E. and J. A. Stone(1981), "On the Mark: Comment", The American Economic Review, 71:5, 1060-1067.
Hardick, R. J. (1978), "An Empirical Analysis of the Exchange Rate", in J. A. Frankel and H, G. Johansen(eds), The Economics of Exchange Rate, Addition-Wesley Press, Readings, 97-128.
MacDonald, R. and M. Taylor (1991a), "The Monetary Approach to The Exchange Rate: Long-Run Relationships and Coefficient Restrictions" ,Economics Letters, 37，179-185.
MacDonald, R. and M. Taylor (1991 b), "The Monetary Approach to The Exchange Rate : Rational Expections, LongRun Equilibrium, and Forecasting", IMF Staff Papers, 40, 89-107.
P. C. B. Phillips(March, 1987), "Time Series Regression with a Unit Root", Econometrica, Vol.55, 277-301.
P. C. B. Phillips and P. Perron(1988), "Testing for a Unit Root in Time Series Regression", Biometrica, Vo1.75, 335-346.
Pantula, S. G.(l989). "Testing for Unit Roots in Time Series Data", Econometric Thery, No.5, 256-71.
S. G. Hall(l989), "Practitioners Comer-Maximum Likelihood Estimation of Cointergration Vectors: an Example of the Johansen Procedure", Oxford Bulletin of Economics and Statistics, Vol.51, No.2, 213-218.
Schwert, G. W.(l989), "Tests for Unit Roots: A Monte Carlo Investigation ", Journal of Business and Economic Statistics, No. 7,147 -59.
Soren Johansen, Katarina Juselius(1990), "Maximum Likehood Estimation and Inference on Cointergration-with Applications to The Demand For Money", Oxford Bulletion of Economics and Statistics, Vo1.52, No.2, 169-210.
Soren Johansen(l992),"Determination of cointerge\\ration rank In the presence of linear trend", Oxford Bulletin of Economics and Statistics, Vol.54, No.3, 383-397.
Soren Johansen(1994), "The Role of The Contant and Linear Terms in Cointergration Analysis of Nonstationary Variables"，Econometric Reviews, Vol.13, No.2, 205-229.
Said E. Said and David A. Dickey(l984), "Testing for Unit Roots in Autoregressive-Moving Average Model of Unknown Order", Biometrika, Vol.71, No.3, 599-607.		zh_TW