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| Title: | 金融海嘯及海嘯後之台美匯率預測
Exchange rate forecasting during and after the financial crisis in Taiwan |
| Authors: | 謝仲
Hsieh, Chung |
| Contributors: | 林建秀
謝仲
Hsieh, Chung |
| Keywords: | 匯率
泰勒法則模型
樣本外預測
台美匯率
exchange rate
Taylor rule models
out-of-sample
USD/NTD |
| Date: | 2015 |
| Issue Date: | 2015-07-13 11:08:57 (UTC+8) |
| Abstract: | 本篇論文使用out-of-sample之匯率預測方法，並使用泰勒法則模型及基礎模型，來比較各模型的預測能力，樣本為金融海嘯期間2007/4-2012/6之台美匯率及金融海嘯後2012/7-2014/8之台美匯率，為了更有效捕捉台美政府的政策變動，我們將失業率缺口也加入模型中，但研究結果發現泰勒法則模型仍較適用產出缺口，使用產出缺口的模型較能打敗隨機預測模型在金融海嘯期間以及金融海嘯後期間。而Taylor rule fundamental models在金融海嘯期間表現較好，Taylor rule differential models則在金融海嘯後期間表現較好，除此之外，購買力平價模型也有相當好的表現。
This thesis evaluates out-of-sample exchange rate predictability of Taylor rule models and fundamental models, such as Purchasing Power Parity models, monetary models and interest rate differential models, using the USD/NTD exchange rate with real-time data during, and after the financial crisis. To capture the policy of the central bank’s policies, we use the output or the unemployment gap in Taylor rule models. While Taylor rule models with output gap outperformed the random walk model during and after financial crisis, Taylor rule models with unemployment gap rarely beat the random walk model. Purchasing Power Parity model’s predictability was also better than the random walk model during and after financial crisis. The performance of Taylor rule fundamental models was better during the financial crisis and the performance of Taylor rule differential models was better after the financial crisis. |
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| Description: | 碩士
國立政治大學
金融研究所
102352029
103 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0102352029 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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| 202901.pdf | 896Kb | Adobe PDF2 | 71 | View/Open |
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