政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/87279

政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/87279

Please use this identifier to cite or link to this item: https://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。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.
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:	[Department of International Business] Theses

Files in This Item:

There are no files associated with this item.

社群 sharing

Loading...