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| 研究生： |
陳怡鈴 |
|---|---|
| 論文名稱： |
內在性滙率動態決定理論之研究 |
| 指導教授： | 林柏生 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 國際經營與貿易學系 Department of International Business |
| 論文出版年： | 1987 |
| 畢業學年度： | 75 |
| 語文別： | 中文 |
| 相關次數： | 點閱：137 下載：0 |
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目錄
謝辭………I
目錄………II
表目錄………III
圖目錄………IV
第一章 導論………1
第二章 文獻回顧………4
第一節 緒言………4
第二節 資產市場方法的匯率決定理論………5
第三章 研究方法──一階非線性差分方程體系………21
第四章 理論模型與模擬結果………32
第一節 模型的設立………32
第二節 模擬結果分析………37
第三節 經濟意義分析………52
第五章 結論………61
數學附錄………65
參考文獻………79
表目錄
表2-1 資產市場方法下，各種匯率決定模型的比較表………6
表4-1 設β=-100時，各種匯率動態調整型態的參數範圍………38
表4-2 設β=-100時，幾種匯率動態調整型態………39
表4-3 設β=-100時，幾種匯率動態調整的趨勢表………42
表4-4 設β=-5000時，幾種匯率動態調整型態………50
表4-5 設β=-5000時，幾種匯率動態調整的趨勢表………51
表4-6 參數變動對於模型的影響情形………54
表5-1 結構參數的變動效果表………61
圖目錄
圖3-1 參數值a對於單一解穩定性的影響情形………23
圖3-2 單一穩定解表示圖………26
圖3-3 2期分叉循環解表示圖………27
圖3-4 渾沌現象充分條件的圖形表示………28
圖3-5 渾沌現象充分條件的圖形表示………28
圖3-6 參數值對於穩定解的影響情形………29
圖3-7 參數值對於波動型態的影響情形………30
圖4-1 本模型以圖形表示的型態………35
圖4-2 匯率動態呈現渾沌現象的充分條件表示圖………37
圖4-3 設β=-100時，參數值α與logδ在各種動態調整型態下的分佈情形………40
圖4-4 設β=-100時，參數值α與1ogδ分佈的局部放大圖………41
圖4-5 穩定均衡解為0的匯率動態調整趨勢圖………43
圖4-6 1期穩定解的匯率動態調整趨勢圖………44
圖4-7 2期穩定循環解的匯率動態調整趨勢圖………45
圖4-8 4期穩定循環解的匯率動態調整趨勢圖………46
圖4-9 8期穩定循環解的匯率動態調整趨勢圖………47
圖4-10 3期穩定循環解的匯率動態調整趨勢圖………48
圖4-11 匯率動態調整呈渾沌現象的波動圖………49
圖4-12 當β>0，δ<0時，本模型以圖形表示的型態………53
圖4-13 參數值α對於圖形的影響情形………55
圖4-14參數值β與δ對於圖形的影響情形………56
參考文獻
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3. Aberdeen, R.M., 1985, "Buffer Stocks, Exchange Rates and Deviations from Purchasing Power Parity", Journal of Money, Credit and Banking, Vol. 10, pp. 163-176.
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21. Huang, R.D., 1981, "The Monetary Approach to Exchange Rate in an Efficient Foreign Exchange Market: Tests Based on Volatility". The Journal of Finance , pp.31-33.
22. Lewich, R.M., 1985, "Empirical Studies of Exchange Rates: Price Behavior, Rate Determination and Market Efficiency", in Ronald W. Jones and Peter B. Kenen, eds., Handbood of International Economics, Vol. 2, pp.979-1040.
23. Macesich, G., 1983, "Monetarism Theory and Policy".
24. May, R.M., 1976, "Simple Mathematical Models with Very Complicated Dynamics”, Nature, Vol. 261, pp.459-467.
25. Meese, R.A. & Rogoff, K., 1983, "Empirical Exchange Rate Models of the Seventies”, Journal of International Economics, pp. 3-24.
26. Miles, M.A., 1978, "Currency Substitution, Flexible Exchange Rates, and Monetary Independence", American Economic Review, Vol. 68, N0. 3, pp. 428-436.
27. Murphy, R.G. & Dunyne, C.W., 1980, "Asset Market Approaches to Exchange Rate Determination: A Comparative Analysis", Weltwirtschaftliches Archiv Bd, CXVI. pp.627-655.
28. Obstfeld, M. & Stockman, A.C., 1985, "Exchange Rate Dynamics", in Ronald W. Jones and Peter B. Kenen, eds . , Handbook of International Economics, Vol. 2., pp. 916-942.
29. Organization for Economic Co-operation and Development (OECD), 1985, " Monetary Studies Series: Exchange Rate Management and the Conduct of Monetary Policy", pp.122-154.
30. Stutzer, M.J., 1980, "Chaotic Dynamics and Bifurcation on a Macro Model”, Journal of Economic Dynamics and Control, pp. 353–376.
31. Turnovsky, S.T., 1984, "Exchange Market Intervention in a Small Open Economy: An Expository Model", in Pierre Malgrange and Pierre-Alain Muet, eds., Contemporary theory and Policy.
32. Westerfield, J.M., 1977, "An Examination of Foreign Exchange Risk under Fixed and Floating Rate Regimes", Journal of International Economics, pp. 181-200.
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