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| 研究生： |
謝柏笙 |
|---|---|
| 論文名稱： |
匯率波動與外匯干預 Exchange Rate Volatility and Central Bank Intervention |
| 指導教授： | 林馨怡 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
社會科學學院 - 經濟學系 Department of Economics |
| 論文出版年： | 2015 |
| 畢業學年度： | 103 |
| 語文別： | 中文 |
| 論文頁數： | 44 |
| 中文關鍵詞： | 匯率波動 、外匯干預 、追蹤資料 、分量迴歸 |
| 相關次數： | 點閱：83 下載：19 |
| 分享至: |
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本文章使用 Lin (2010) 的動態追蹤資料分量迴歸(DPQR)來分析匯率波動與外匯干預之間的關係。此外，本文更探討新興市場國家與非新興市場國家樣本間外匯干預對匯率波動的影響。實證結果發現,匯率波動較低時與外匯干預較不具有顯著的正向關係,然而當匯率波動較高時則與外匯干預呈現顯著
的正向關係。此外,在新興市場國家中,可發現在高匯率波動下,外匯干預與匯率波動之間為顯著的正向關係;而非新興市場國家樣本所得到的結果為外匯干預與匯率波動之間在為不顯著的正向關係。
1.緒論 1
2.文獻回顧 3
3.計量方法 9
3.1 追蹤資料模型 .................9
3.2 分量迴歸方法 .................... 10
3.3 追蹤資料分量迴歸分析 ......................11
3.4 動態追蹤分量迴歸分析 ......................12
4.資料 14
5.實證結果 20
5.1 基本結果 ..........................20
5.2 不同時期 .................22
5.3 穩健性檢驗 ...................24
5.4 新興市場國家與非新興市場國家 .................25
6.結論 27
參考文獻 28
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