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題名 | 匯率與單根--臺灣之實證研究= |
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作者 | 吳致寧; |
期刊 | 經濟論文 |
出版日期 | 19940300 |
卷期 | 22:1 1994.03[民83.03] |
頁次 | 頁101-133 |
分類號 | 563.24 |
語文 | chi |
關鍵詞 | 單根; 匯率; 實證研究; 臺灣; |
中文摘要 | 本文利用Sims(1988)之貝氏檢定、Abuaf與Jorion(1990)之GLS檢定來檢測臺灣與其他各主要工業國家間之名目與實質匯率是否具單根。實證結果指出有充分的證據棄卻臺灣與各主要工業國家間之名目與實質匯率具單根的虛無假護。透過Kwiatkowski, Phillips, Schmidt與Shin(1992)之LM檢定,實證結果進一步顯示臺灣與各主要工業國家間之名目與實質匯率大致分別與趨勢恆定及恆定之虛無假設相一致,此亦指出臺灣與大多數工業國家間之長期購買力平價說成立。 |
英文摘要 | This paper applies Sims' (1988) Bayesian test, and Abuaf and Jorion's (1990) restricted GLS test to investigate the issue of unit roots among nominal and real exchange rates between Taiwan and major industrial countries. Empirical results point out that there is strong evidence to rejects the null hypothesis of unit roots among exchange rates. Recently, Kwiatkowski, Phillips, Schmidt and Shin [KPSS] (1992) propose a test of the null hypothesis that an observable series is stationary. Furthermore, the empirical result from KPSS test points that nominal and real exchange rates between Taiwan and major industrial countries are roughly consistent with the hypothesis of trend stationary and stationarity respectively. This implies that purchasing power parity holds in the long run between Taiwan and most industrial countries. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。