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博碩士論文 etd-0601114-124228 詳細資訊
Title page for etd-0601114-124228
論文名稱
Title
兩岸貨幣清算機制下關於新台幣與人民幣匯率之研究
A Study of the Exchange Rate Between New Taiwan Dollar and Chinese Yuan under the Cross-strait Currency Settlement Mechanism
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
54
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
2014-06-14
繳交日期
Date of Submission
2014-07-01
關鍵字
Keywords
交叉匯率、貨幣替代、兩岸貨幣清算機制、馬可夫轉換模型
Cross-strait currency settlement, Currency Substitution, Cross Rate, Markov Regime-Switching Model
統計
Statistics
本論文已被瀏覽 5708 次,被下載 68
The thesis/dissertation has been browsed 5708 times, has been downloaded 68 times.
中文摘要
在當前的變動的經濟環境與機會之下,中國當局已經開始加速其所使用的貨幣,人民幣,國際化程度。且人民幣已經逐漸在世界經濟中扮演著重要的角色。此外,人民幣與新臺幣之間的緊密關係更由彼此互動相當頻繁可顯見,更特別的是在2012年8月31日所簽訂的兩岸貨幣清算合作備忘錄,藉由兩國之間的銀行在彼此的國家設立分行,減少匯率兌換的成本與風險,更可以降低彼此經濟上的障礙,兩國之間的直接匯率便成為了舉足輕重的媒介之一。這篇文章完成了先以Kuo(2011)的模型進行實證分析驗證新台幣與美元之間的均衡匯率的決定,也因此可以在進而對於人民幣與新台幣互換的匯率提供正確的模型進行估計。最後,可以在逐漸成熟的兩岸貨幣互換機制之下,提供台灣當局在決策制定與匯率均衡的決定下提供參考的依據。
Abstract
In this economic environment and opportunity, China authorities has accelerated the internationalization of China Yuan and played a significant role all over the world. Besides, the close relationship between Chinese and Taiwan cause us interact more frequently. Especially, after we had completed the contract of "cooperation of cross-strait currency settlement memorandum” on 31th August, 2012. Here, we intends to complete this research issues by the empirical studies which is based on Kuo (2011) who offers a complete and correct model to get the exchange rate between CNY and TWD. Eventually, we not only overcome the problem that CNY and TWD are not international currency, but also try to estimate the equilibrium exchange rate by the Kuo (2011) model under the settlement mechanism. After all, we show some valuable findings and contributions in the article which can be expected helpful for the future decision for Taiwan’s authorities making with China.
目次 Table of Contents
致謝 ii
摘要 iii
Abstract iv
Table of Content v
List of Figures vi
1. Introduction 1
1.1 Research Background 1
1.2 Research Motivation 6
1.3 Research Purpose 8
2. Literature Review 9
2.1 Foreign Literatures 9
2.1.1 Liquid service model (LSM) 10
2.1.2 Portfolio balance model (PBM) 10
2.2 Chinese Literature 12
3. Theoretical Model and Methodology 14
3.1 Theoretical Model: Kuo(2011) model 14
3.2 Methodology 21
3.2.1 A Markov-Switching Model 21
4. Data and Empirical Results 24
4.1 Data 24
4.2 Empirical Results 27
4.2.1 Empirical analysis 33
4.2.1.1 Special Drawing Right 34
4.2.1.2 US Dollar Index 35
4.2.2 Markov regime-switching model 36
5. Conclusion 42
Reference 45
Chinese 45
English 45
參考文獻 References
Chinese
1. Chiu (1993), “Currency Substitution in Taiwan”, Master’s thesis of National Chengchi University.
2. Shiau (2001), “Currency Substitution in Taiwan”, Master’s thesis of National Sun Yat-SenUniversity.
3. Yang and Shea (2005), “The New Taiwan Dollar Exchange Rate and Central Bank Intervention”, Taiwan Economic Forecast and Policy, 35:2, PP.22-39.
4. Chang (2006), “The impact of the Currency Substitution to the Money Demand the Empirical Results of Taiwan”, Master’s thesis of Soochow University.
5. Hsieh (2008, on-Linear Investigation of Currency Substitution: an Empirical Study of Six East Asian Countries”, Master’s thesis of National University of Kaohsiung.
6. Chou,et. al, (2008), “The Currency Substitution Empirical Study of the Taiwan Dollar to U.S. Dollar ”, Taiwan Economic Forum, 6, PP. 42-65.
7. Lee and Hung (2013), “The empirical research on the correlation between Foreign exchange rates and Macroeconomics, taking Mainland China as an example”, Master’s thesis of National Chengchi University.

English
1. Bordo, M. D. and E. U. Choudhri, (1982), “Currency substitution and the demand for money”,
Journal of Money Credit and Banking, 14, PP. 48-57.
2. Chen, C. N. (1973), “Diversified Currency Holdings and Flexible Exchange Rates,” Quarterly
Journal of Economics, 87, PP. 96-111.
3. Cuddington, J.T.(1983), “Currency substitution, capital mobility and money demand”, Journal
of International Money and Finance , 2 , PP.111-113.
4. Dornbusch, R. (1976), “Exchange rate expectation and monetary policy”, Journal of Political
Economy, 84, PP. 1161-1176.
5. Engle and Granger (1987), “Cointegration and Error Correction: Representation, Estimation
and Testing ”, Econometrical, 55,PP. 251-276.
6. Garcia, R. (1998), “Asymptotic Null Distribution of the Likelihood Ratio Test in Markov
Switching Models”, International Economic Review, 39, PP.763-788.
7. Hamilton (1990), “Analysis of time series subject to changes in regime”, Journal of
Econometrics, 45, PP. 39-70.
8. Imrohoroglu, S. (1994), “GMM estimates of currency substitution between the Canadian dollar
and the US dollar”, Journal of Money Credit and Banking, 26, PP. 792-807.
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Cointegration with Application to the Demand for Money”,Oxford Bulletin of Economics and
Statistic, 52, PP.169-209.
10. Krugman, P. R. (1978), “Purchasing powerr parity and exchange rate”, Journal of International
Economics, 8, PP. 397-407.
11. Kuo, C. J. and S. L. Lu (2005), “Taiwan’s financial holding companies: an empirical
investigation based on Markov regime-switching model”, Applied Economics, 37, PP. 593-605.
12. Kuo, C.J. (2011),” The Determination of the exchange Rate Between Taiwan and Chinese
Yuan: Issues for the Studies of Monetary Settlement Mechanism”, Working Paper.
13. Lucas. R. E. Jr (1973), “Some international evidence on output-inflation trade-offs”, American
Economic Review, 5, PP. 326-334.
14. Masson, P. (2000), “One world, one currency: destination or delusion?” Speech at the IMF
Economic Forum 8. Transcript available in ttp://www.inf.org/external/np/tr/2000/tr001108.htm
15. MacKinnon, James G., Alfred A. Haug, and Leo Michelis (1999). Numerical Distribution
Functions of Likelihood Ratio Tests for Cointegration." Journal of Applied Econometrics,
PP.563-577.
16. Miles, M. A. (1978), “Currency substitution, flexible exchange rates and monetary
independence”, American Economic Review, 68, PP. 428-436.
17. Ramirez-Rojas, C.L. (1985) “Currency Substitution in Argentina, Mexico, and Uruguay”, Staff
Papers, International Monetary Fund, 32, 629-67.
18. Sargent, T. J. (1976), “Observational equivalence of natural and unnatural rate of theories of
macroeconomics”, Journal of Political Economy, 3, PP. 207-238.
19. Sargent, J. J. (1987), Macroeconomic Theory, Academic Press, Inc. New York.
20. Silberberg, E. (1990), The Structure of Economics: A Mathematical Analysis, McGraw-Hill
Publishing Company, New York.
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