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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30863


    Title: 匯率預測模型之分析與比較
    Analysis of exchange rates forecasting models
    Authors: 謝耀慶
    Hsieh, Yao Ching
    Contributors: 郭維裕
    Kuo, Weiyu
    謝耀慶
    Hsieh, Yao Ching
    Keywords: Technical trading rules
    Market Models
    Fundamental Models
    Exchange rates
    Predictability
    Date: 2008
    Issue Date: 2009-09-14
    Abstract: In this research, we review the relevant literatures to discuss the predictability of foreign exchange rates. Besides, we collect literatures to examine the development of the fundamental models, market models, technical analysis and trading rules and compare and evaluate the precision of these models. Moreover, we make a case study of a global leading investment bank to discuss how to use these models in practice. The result shows that fundamental models can help to establish the long-term equilibrium but have some shortcomings and thus we could adopt market models to resolve the shortages and the technical analyses and rules to set the exact price levels for trading purposes.
    第一章 Introduction-----p.2
    第二章 Model review-----p.4
    第三章 Case study-----p.12
    第四章 Concluding remarks-----p.16
    Reference: 1. Siddique, Akhtar., Sweeney, Richard J. (1998), Forecasting Real Exchange Rates, Journal of International Money and Finance, 17,pp. 513- 534.
    2. Ahmad Zubaidi Baharumshah., Sen, Liew Khim., Ping, Lim Kian. (2003), Exchange Rates Forecasting Model: An Alternative Estimation Procedure.
    3. Rossi, Barbara. (2005), Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability.
    4. LeBaron, Blake. (1999), Technical trading rule profitability and foreign exchange intervention, Journal of International Economics, 49,pp. 125–143.
    5. Brooks, Chris., Hinich, Melvin J. (2001), Bicorrelations and Cross-bicorrelations as Non-linearity Tests and Tools for Exchange Rate Forecasting, Journal of Forecasting, 20,pp. 181-196.
    6. Neely, Christopher J. (2002), The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits, Journal of International Economics, 58,pp. 211–232.
    7. Neely, C.J., Weller, P.A. (2003), Intraday technical trading in the foreign exchange market, Journal of International Money and Finance, 22, pp. 223–237.
    8. Neely, Christopher J., Sarno, Lucio. (2002), How well do monetary fundamentals forecast exchange rates? Federal Reserve Bank of ST. Louis.
    9. Olson, Dennis. (2004), Have trading rule profits in the currency markets declined over time?, Journal of Banking & Finance, 28,pp. 85–105.
    10. Moerman, Gerard A. (2001), UNPREDICTABLE AFTER ALL? A SHORT NOTE ON EXCHANGE RATE PREDICTABILITY, Journal of Economic Literature.
    11. Boero, Gianna., Marrocu, Emanuela. (2002), The Performance of Non-linear Exchange Rate Models: a Forecasting Comparison, Journal of Forecasting, 21, pp. 513–542.
    12. Zimmermann, Georg., Neuneier, Ralph. (2001), MULTI-AGENT MARKET MODELING OF FOREIGN EXCHANGE RATES, Advances in Complex Systems, Vol. 4, no. 1, pp. 29-43.
    13. Dewachter, Hans. (2001), Can Markov switching models replicate chartist profits in the foreign exchange market? Journal of International Money and Finance, 20,pp. 25-41.
    14. De Gooijer, Jan G., Ray, Bonnie K., Krager, Horst. (1998), Forecasting Exchange Rates using TSMARS, Journal of International Money and Finance, 17,pp. 513- 534.
    15. Aries, Morgan., Giromini, Gianfranco., Meissner, Gunter. (2006), A Model for A Fair Exchange Rate, Review of Pacific Basin Financial Markets and Policies Vol. 9, No. 1,pp. 51-66.
    16. Mohi-uddin, Mansoor. (2005), A Review of Foreign Exchange Models, UBS Investment Research, London.
    17. Mohi-uddin, Mansoor. (2006), Key Factors for the USD, UBS Investment Research, London.
    18. Mohi-uddin, Mansoor. (2005), A Model for the EUR, UBS Investment Research, London.
    19. McCrae, Michael., Lin, Yan-Xia., Pavlik, Daniel., Gulati, Chandra M. (2002), Can Cointegration-based Forecasting Outperform Univariate Models? An Application to Asian Exchange Rates, Journal of Forecasting, 21, pp. 355-380.
    20. Sarantis, Nicholas. (1999), Modeling non-linearities in real effective exchange rates, Journal of International Money and Finance, 18, pp. 27- 45.
    21. Saacke, Peter. (2002), Technical analysis and the effectiveness of central bank intervention. Journal of International Money and Finance, 21, pp.459-479.
    Description: 碩士
    國立政治大學
    管理碩士學程(AMBA)
    97380020
    97
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097380020
    Data Type: thesis
    Appears in Collections:[管理碩士學程/商管專業學院碩士學位學程 AMBA] 學位論文

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