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| 題 名 | An Augmented Threshold Estimation of Covered Interest Rate Arbitrage for Western European Countries during the Pre-Euro Dollar Period |
|---|---|
| 作 者 | Tai, Yun Chiang; Wang, Chi-hsiu; | 書刊名 | Academy of Taiwan Business Management Review |
| 卷 期 | 4:3 2008.12[民97.12] |
| 頁 次 | 頁133-145 |
| 分類號 | 562.12 |
| 關鍵詞 | The behavioral finance of exchange rate; The covered interest arbitrage; The Keynes-Einzig conjecture; The exchange rate-disconnect puzzle; The general equilibrium; The nonparametric estimation; The threshold autoregressive model; TAR; |
| 語 文 | 英文(English) |
| 英文摘要 | A general equilibrium of the threshold estimation for the CIP deviation is given. We provide a nonparametric estimation of augmented thresholds as the aggregated data is processed. For seven European countries, the non-stationary of CIP deviation has been confirmed. The Keynes-Einzig conjecture holds for all countries but with the slower adjustment rate between thresholds. Outside thresholds, the series is non-stationary with larger negative correlation to show that the force takes the series back and forth with large quantity and high frequency. The robustness test has been performed to reconfirm our results based on the MAE criterion. The implication shows that the momentum effect exists within thresholds and the turbulence becomes larger as thresholds are reached. The general equilibrium is obtained to show that the behavioral finance applies. |
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