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    题名: 國際準備需求：亞洲國家的實證
    The demand for international reserves：Evidence from Asian countries
    作者: 黃馨慧
    Huang,Xin Hui
    贡献者: 郭炳伸
    Kuo,Bing Shen
    黃馨慧
    Huang,Xin Hui
    关键词: 誤差修正模型
    共整合分析
    外匯存底需求
    貨幣成長率
    error correction model
    cointegration test
    international reserves
    unit root tests
    日期: 2007
    上传时间: 2009-09-11 17:08:26 (UTC+8)
    摘要: 本文的主要目的在於探討亞洲國家央行外匯存底的需求，研究的國家包括韓國、大陸、印度、新加坡、台灣與日本。透過使用1987年Engle-Granger的共整合分析法，我們發現這六國的外匯存底需求與其解釋變數具有共整合的現象。共整合現象的存在反映了這些國家的外匯存底需求存在長期的均衡關係。此外，為了進一步了解短期經濟的干擾如何影響外匯存底的需求，本文採用誤差修正模型做為分析工具，與過去文獻不同的是，本文的實證結果顯示本文所研究的六個國家之外匯存底顯著的受到貨幣成長率的影響，依據誤差修正模型的調整項亦可發現當外匯存底需求偏離長期均衡值時，此六國的調整速度相當慢，絕對值都在0.5以下，由於當一個經濟體系允許以緩慢的修正速度調整至長期均衡，必須擁有大量的外匯存底，由於本文所挑選的國家為全球著名的外匯存底持有國，其央行皆持有巨額的外匯存底，故本文的實證結果與理論假設一致。
    The primary purpose of this paper is to explore the demand characteristics for international reserves in some Asian countries including Korea, China, India, Singapore, Taiwan, and Japan. After applying the cointegration test of Engle-Granger (1987), we discover that the non-stationary macro time series of the group of the countries under study are cointegrated. Hence, international reserves in these Asian countries have displayed a long-run relationship with some determinants for the past several decades. Besides, we adopt an error correcting mechanism specification to investigate the short-run dynamic process of reserve holdings. Based on the error correction model (ECM), the rate of monetary growth is found to have a significant effect on reserve holdings in all of the six countries. In the end, the properties of the error correction terms among these countries are examined. We find that the absolute value of the error correction term is less than 0.5 in these economies. It implies that all of these six countries have very low adjustment speed of the demand for reserves. Owing to the huge stock of reserve holdings in this area, the results appear to be sensible.
    參考文獻: Aizenman, J. and N. Marion (2003). “The High Demand for International Reserves in the Far East: What`s Going On?” Journal of the Japanese and International Economies 17/3, 370-400.
    Aizenman, J. and J. Lee (2005). “International Reserves: Precautionary versus Mercantilist Views, Theory and Evidence,” forthcoming, Open Economies Review.
    Aizenman, J and D. Riera-Crichton (2006). “Real Exchange Rate and International Reserves in the Era of Growing Financial and Trade Integration.” NBER Working paper # 12363.
    Aizenman, J. and J. Lee (2006). “Financial versus Monetary Mercantilism – Long-run View of Large International Reserves Hoarding.” manuscript.
    Arize, A. C., J. Malindretos and E. C. Grivoyannis (2004). “Foreign Exchange Reserves and Import Demand in a Developing Economy: the Case of Pakistan.” International Economic Journal 18, 2, 259-274
    Bilson, J. F. O. and Frenkel, J. ( 1979). “Dynamic adjustment and the demand for international reserves.” NBER Working Paper no. 403.
    Dickey, D. A. and Fuller, W. A. (Jun., 1979). “Distribution of the Estimators for Autoregressive Time Series With a Unit Root.” Journal of the American Statistical Association 84, 427-431.
    Edwards, S. (1983). “The Demand for International Reserves and Exchange Rate Adjustments: the Case of LDCs, 1964–1972.” Economica 50, 269-280.
    Elbadawi, I.A. (1990). “The Sudan Demand for International Reserve: a Case of a Labor-Exporting Country.” Economica 57, 73-89.
    Enders, W. (2004). “Applied Econometric Time Series. ” New York：John Willey & Sons, Inc.
    Engle, R.T. and Granger, C.W.J. (1987). “Cointegration and Error Correction: Representation, Estimation and Testing.” Econometrica 55, 251-276.
    Ford, J.L. and Huang, G. (1994). “The Demand for International Reserves in China: an ECM Model with Domestic Monetary Disequilibrium.” Economica 67, 379-397.
    Huang, T.-H. and Shen, C.-H. (1999). “Apply the Seasonal Error Correction Model to the Demand for International Reserves in Taiwan.” Journal of International Money and Finance 18, 107-131
    Kelly, M. G. (1970). “The demand for international reserves.” American Econornic Review 59, 659-667.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    95351028
    96
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0095351028
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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