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    政大機構典藏 > 商學院 > 統計學系 > 學位論文 >  Item 140.119/99316
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/99316


    Title: 以分群方法探討東亞國家貨幣整合的可行性
    An Exchange-Rate-Based Unsupervised Learning in Monetary Integration in East Asia
    Authors: 林瑞哲
    Lin, Jui Che
    Contributors: 周珮婷
    Chou, Pei Ting
    林瑞哲
    Lin, Jui Che
    Keywords: 貨幣整合
    匯率
    消費者物價指數
    DCG tree
    機器學習
    Monetary Integration
    Exchange Rates
    Consumer Price Index
    DCG tree
    Machine Learning
    Date: 2016
    Issue Date: 2016-07-20 16:53:18 (UTC+8)
    Abstract: 自從2007年發生金融海嘯後,歐盟貨幣整合問題持續被討論,其中,歐盟成員國各國經濟狀況差距過大被認為是這次經濟危機爆發出種種問題的主要原因。而近幾年,在國際其他地區區域性整合刺激之下,亞洲各國開始重視簽屬自由貿易協定的重要性,甚至未來朝區域貨幣整合作發展。
    此論文主要是探討東亞國家是否具備成立亞元區的條件。我們探討東亞各國2004-2015年間對美元匯率以及消費者物價指數(CPI)變化是否有一致的趨勢,主要使用MST及HC、DCG tree機器學習分群演算法作為分析工具,對於東亞十個國家,包含台灣、日本、中國、南韓、香港、印尼、泰國、馬來西亞、菲律賓、新加坡以及用於對照的世界上其他國家作分析,以2008年金融海嘯以及2013年日本提出新經濟政策作為分界點,分為三個時期做討論。
    研究結果顯示,三個時期,東亞國家匯率變動相較於世界其他國家皆較有一致的趨勢,而更進一步檢視,我們發現在日本提出新經濟政策前後,東亞國家匯率結構發生明顯的變化。物價指數方面同樣也是東亞國家有較集中的趨勢,但物價指數不向匯率,不同時期並無明顯變化。我們進而推論東亞國家以符合成立亞元區最基本的條件,匯率和物價指數的一致性,但是有幾個結果不能忽略,日本對於東亞國家匯率結構的影響力以及人民幣、日圓等強勢貨幣匯率變動趨勢在分析結果中和其餘東協國家還是有些差距,這些可能是在未來貨幣整合過程中市所需要注意的部分。
    After the global financial crisis, European Union (EU) faced a range of economic and political problems, including the Greek debt crisis and the upcoming UK referendum on EU membership. People start to think what factors cause these problems. A large literature has emerged discussing this issue and examining the future directions of monetary and exchange rate agreements of many countries in the region. One of the popular questions has raised researchers’ interests: Are East Asian countries possible to be the next monetary integrated area?

    This paper investigates the similarity of exchange rates and consumer price index (CPI) in the East Asian region, Taiwan, Japan, China, Hong Kong, South Korea and five ASEAN member countries by cluster analysis. We use HC tree and DCG tree to discuss the structures of these two macro economic factors and whether major economic events between 2004~2015 such as global financial crisis and Japan’s new economic policy influenced the structure.

    The exchange rates and CPI are both found to be more consistent among East Asian countries, including that these countries already have the basic condition to be the monetary integrated area. However, it is important to pay attention to Japan’s new economic policy, which influenced the structure a lot, and that Japanese yen and Chinese yuan still have gaps with ASEAN member countries.
    Reference: 中華經濟研究院研究報告 (2004)。全球經貿結盟『區域化』與『雙邊化』的趨勢與衝擊。台北:行政院經濟建設委員會委託。
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    彭德明 (2005)。東亞共通通貨區可行性初探。中央銀行季刊,第二十七卷第四期, 55-82。
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    Fushing, H., Wang. H., Vanderwaal, K., McCowan, B., Koehl, P.Multi. (2013). Multi-scale clustering by building a robust and self correcting ultrametric topology on data points. PLoS One, 8(2,e56259. doi: 10.1371/journal.pone.0056259.
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    Weera, Prasertnukul. Donghun, Kim. Makato, Kakinaka. (2010). Exchange rates, price levels, and inflation targeting : evidence from Asian countries. Japan and the world economy : international journal of theory and policy.- Amsterdam : Elsevier Science Publ, 173-182
    X. Y., Wu and Z. G., Zheng. (2013). Hierarchical cluster-tendency analysis of the group structure in the foreign exchange market. Front. Phys, 8(4), 451.
    Description: 碩士
    國立政治大學
    統計學系
    103354019
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1033540191
    Data Type: thesis
    Appears in Collections:[統計學系] 學位論文

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