查詢結果分析
來源資料
相關文獻
- 檢視臺灣機電及紡織出口貿易受匯率波動影響的不對稱性--格子搜尋法虛擬變數的應用
- 臺灣股票店頭市場股價報酬波動行為的研究
- A Complete Resolution of the Efficient Rent-Seeking Paradox
- Dawn-Dusk Asymmetry of the Pulsations Observed at Very Low Latitude
- 企業的匯率波動避險策略
- 匯率轉嫁效果之不對稱性研究--以臺灣為例
- 高效能液相層析ODS管柱分離效率評估方法之探討
- 央行限制國內法人承作NDF對外匯市場之影響
- 進口物價的匯率轉嫁與不對稱性:臺灣的實證研究
- 臺灣匯率波動對股價報酬之影響
頁籤選單縮合
題 名 | 檢視臺灣機電及紡織出口貿易受匯率波動影響的不對稱性--格子搜尋法虛擬變數的應用=Investigating the Asymmetries of Exchange Rate Volatility on Taiwan's Exports of Electro-Mechanics and Textiles: The Implication of Grid Search and Dummies |
---|---|
作 者 | 張瑞娟; 徐茂炫; 林君瀅; | 書刊名 | 臺灣經濟預測與政策 |
卷 期 | 36:2 民95.03 |
頁 次 | 頁115-139 |
分類號 | 563.2 |
關鍵詞 | 匯率波動; 不對稱性; 自我迴歸條件變異模型; Exchange rate volatility; Asymmetry; ARCH; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究探討1990年1月至2001年12月期間,臺灣匯率升貶值波動對於機電及紡織類兩產業的出口貿易量是否具有不對稱性的影響。主要計量技巧是藉由格子搜尋(grid search)法設定虛擬變數以架構非線性模型,用以探討匯率走勢震盪及平穩時,對出口貿易是否造成不對稱性影響。文中首先以自我迴歸條件變異模型(autoregressive conditional heteroskedastic model, 簡稱ARCH模型)估計匯率波動幅度,然後展開正式估計。文中除比較匯率升貶值對出口貿易是否可能造成不對稱性影響外,並同時估計產業間是否存在不對稱性的差異。結果發現,無論產業內或產業間,該不對稱影響確實存在,此一結果有助於觀察實證上匯率不對稱性影響的現象與該影響對整體經濟波動相關議題之探討。 |
英文摘要 | This research investigates whether there exist asymmetries of exchange rate volatility on Taiwan's exports of electro-mechanics and textiles, using monthly data over the period from 1990:01 to 2001:12. Econometrically, this empirical work employs the grid search method to set dummy variables such that we can construct a nonlinear model in order to explore the differential impacts on Taiwan's exporting volumes, either when exchange rate fluctuation is slight or great. We first measure the exchange rate volatility by adopting Engle's (1982) autoregressive conditional heteroskedastic (ARCH) process, and then build up a nonlinear model to reach our goals. Our purpose not only examines whether there are the asymmetric effects of exorting volumes in response to exchange rates during both harsh and smooth periods, but also compares the disparities of exchange rate volatility during appreciation and depreciation periods. Furthermore, we contrast the differentials in industries. In all cases, we provide the evidence on asymmetries either intra-or inter-industries. Our results not only contribute to the literature on nonlinearities, but also provide further implications of business cycle fluctuations. |
本系統中英文摘要資訊取自各篇刊載內容。