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題 名 | 亞洲金融危機前後匯率波動不對稱現象之比較與政策意涵=A Comparison of Asymmetric Volatility in Exchange Rate Prior and Post Asian Financial Crisis and Some Policy Implications |
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作 者 | 楊踐為; 胥愛琦; 吳清豐; | 書刊名 | 臺灣管理學刊 |
卷 期 | 5:2 2005.08[民94.08] |
頁 次 | 頁187-207 |
分類號 | 563.2 |
關鍵詞 | 波動率不對稱; 亞洲金融危機; 匯率; Asymmetric volatility; Asian financial crisis; Exchang rate; |
語 文 | 中文(Chinese) |
中文摘要 | 金融資產報酬波動率的不對稱現象近年來受到相當的重視,唯其形成原因在股票市場與匯率市場各有不同解釋,仍未能達成一致共識。本文主要探討亞洲七個國家與地區在經歷金融危機後,其匯率波動率之不對稱程度是否有所不同,並瞭解危機前後政府的匯率干預政策是否有所改變,來觀察匯率波動率不對稱程度與政策干預程度間的互動關係。實證資料涵蓋七個國家地區近五年的日匯率資料,透過EGARCH模式分別探討其波動率不對稱程度,結果顯示除了泰國外,其他六個國家地區的匯率報酬率都呈現波動率不對稱之現象。將樣本期間分為金融危機前後兩個子期,再比較其不對稱程度時,則發現不對稱之強弱似乎與政策干預程度之間具有正向變化關係。 |
英文摘要 | The asymmetric volatility of financial asset returns has attracted much interest in recent years. The causes of it, however, have not reached a consensus for both the stock and exchange rate markets. This paper mainly investigates if there is differential degree of volatility asymmetry before and after government’s intervention policy change in weathering through Asian financial crisis and the association between asymmetric volatility and policy change for seven Asian markets. An EGARCH model is applied to the five years’ daily exchange rates to examine the degree of asymmetric volatility. The results show that the asymmetric volatility is present in six markets, with the exception of Thailand. In addition, a positive relationship between the magnitude of asymmetry and degree of policy intervention is affirmed in exchange rate markets. |
本系統中英文摘要資訊取自各篇刊載內容。