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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/87279


    Title: The Cointegration of Exchange、Interetest Rate、Money Supply、 Real GNP---the Application of Johansen Sequential Testing Procedure
    Authors: 吳明修
    Wu, Ming-Shou
    Contributors: 饒秀華
    Rao, Xiu-Hua
    吳明修
    Wu, Ming-Shou
    Keywords: 共積
    非恆定
    Cointegration
    Non-stationary
    Johansen sequential testing Procedure
    Date: 1996
    Issue Date: 2016-04-28 11:33:55 (UTC+8)
    Abstract: 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。
    Reference: 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。
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    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.
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    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.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    83351019
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002002736
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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