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博碩士論文 etd-0522115-131759 詳細資訊
Title page for etd-0522115-131759
論文名稱
Title
自我學習機制、經濟基本面與名目匯率動態─台灣、韓國之實證研究
Fundamentals and Exchange Rates under Self-Referential Learning─The Evidence from Taiwan and Korea
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
59
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2015-06-10
繳交日期
Date of Submission
2015-06-22
關鍵字
Keywords
適應性預期、理性預期、經濟基本面、樣本外預測、名目匯率、學習機制、變異數比率
Out-of-sample test, Variance ratio, Fundamentals, Adaptive expectation, Rational expectation, Exchange rates, Adaptive learning
統計
Statistics
本論文已被瀏覽 5786 次,被下載 535
The thesis/dissertation has been browsed 5786 times, has been downloaded 535 times.
中文摘要
本文藉由貨幣學派模型作為理論基礎,並遵循Kim (2009) 之分析法,探討理性預期、適應性預期、自我學習機制下之匯率模型所隱含的名目匯率之統計特性是否與實際資料之統計特性相近。本文以長期匯率預測方程式之迴歸係數β ̂、變異數比率及名目匯率之樣本外預測作為比較的依據。實證結果顯示,台灣、南韓藉由自我學習機制下之匯率模型,相較於其它模型中所隱含的統計特性較能夠與實際資料之統計特性接近。
Abstract
This paper considers a monetary model with different specifications on expectations such as the rational expectation, the adaptive expectation and the self-referential learning. This paper aims to examine if the statistical properties of nominal exchange rates implied by the three alternative specifications of expectations are similar to those implied by exchange rate data. The statistical properties in this paper are the slope coefficient of long-term exchange rates prediction equation, the variance ratio and out-of-sample test. The results from Taiwan and Korea indicate that the adaptive learning is the one which the best describe statistical properties of nominal exchange rates.
目次 Table of Contents
論文審定書................................................................................i
論文公開授權書.........................................................................ii
謝辭.........................................................................................iii
摘要.........................................................................................iv
Abstract....................................................................................v
目錄.........................................................................................vi
圖次........................................................................................viii
表次..........................................................................................ix
第一章 緒論...............................................................................1
第一節 研究目的與動機...............................................................1
第二節 研究流程.........................................................................2
第二章 文獻回顧.........................................................................3
第三章 理論模型........................................................................10
第一節 貨幣模型........................................................................10
第二節 不同預期形成機制下之名目匯率決定 .................................11
3.2.1 理性預期下的名目匯率決定.................................................11
3.2.2 適應性預期下的名目匯率決定..............................................12
3.2.3 學習機制下的名目匯率決定.................................................13
第四章 研究方法.........................................................................18
第一節 變異比率分析法...............................................................18
第二節 資料生成過程...................................................................19
第三節 Wald檢定.........................................................................21
第四節 樣本外預測......................................................................22
第五章 實證結果分析...................................................................25
第一節 資料來源與說明................................................................25
第二節 實際資料的實證結果..........................................................26
第三節 資料模擬結果....................................................................28
第四節 理性預期、適應性預期及學習機制下之實證結果...................29
第五節 Wald檢定..........................................................................36
第六節 樣本外預測表現.................................................................38
第六章 結論.................................................................................40
參考文獻......................................................................................41
中文部分......................................................................................41
英文部分......................................................................................42
附錄A...........................................................................................44
附錄B...........................................................................................45
附錄C...........................................................................................46
附錄D...........................................................................................49
參考文獻 References
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