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    题名: 中國人民幣與亞洲四小龍貨幣的無本交交割遠期外匯之動態相關係數分析
    Volatility Transmissions between Renmibi and Four Asian Tigers Non-Delivery Forward Markets
    作者: 吳俊伯
    Wu,Chun Po
    贡献者: 毛維凌
    Mao, Wei Lin
    吳俊伯
    Wu,Chun Po
    关键词: 無本金交割匯率
    動態條件相關係數模型
    單位根檢定
    常態檢定
    波動不對稱檢定
    CCC 檢定
    日期: 2008
    上传时间: 2009-09-19 13:40:49 (UTC+8)
    摘要: 近年來，中國的經濟表現受眾人稱羨之餘，實質固定匯率政策卻為人所詬病。然而，中國人民銀行於 2005 年 7 月 21 日公告一套以市場供需為基準的管理浮動匯率制度後，人民幣遂開始逐步升值並連帶地牽動亞洲其他國家幣值變化。為瞭解人民幣變動對亞洲四小龍國家幣值的外溢效果，本文利用動態條件相關係數模型，透過人民幣和亞洲四小龍貨幣的無本金交割遠期外匯分析相關係數。最後發現，人民幣和四小龍貨幣間存在不同程度的正相關，且此動態相關性自 2008 年起日與俱增。
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    梁鴻民 (1998)，從國際投資客炒作模式談東亞經濟風暴及各國因應之道，靜宜大學新聞深度分析簡訊，第61期。
    賴彥君 (2008)，美國次級房貸對全球股價走勢的衝擊與影響—以DCC模型分析，國立政治大學經濟系碩士論文。
    描述: 碩士
    國立政治大學
    經濟研究所
    96258017
    97
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0096258017
    数据类型: thesis
    显示于类别:[經濟學系] 學位論文

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