政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/54292

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/54292

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政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/54292

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/54292

Title:	聯準會模型的國際普遍性與門檻回歸應用 The International Test and the Threshold Regressive Analysis of the Fed model
Authors:	潘彥君
Contributors:	郭維裕 Kuo, Wei Yu 潘彥君
Keywords:	聯準會模型共整合檢定門檻自我回歸非線性模型 The Fed model Cointegration test Threshold Autoregressive Non-linear model
Date:	2011
Issue Date:	2012-10-30 10:39:31 (UTC+8)
Abstract:	本篇論文檢驗聯準會模型在六個亞洲市場：中國大陸、印度、馬來西亞、新加坡、台灣和泰國是否成立。我們首先檢驗共整合檢定來觀察變數之間長期的關係；另外，針對線性的指標模型，我們則檢測其是否具有非線性的門檻自回歸情形。實證結果顯示，於共整合檢定下，六個國家的股票價格、股票報酬和十年期債券殖利率具有長期共整合關係；而在非線性的TAR模型配適下，其解釋能力優於線性的AR模型。 This paper studies the Fed Model in six Asia countries, China, India, Malaysia, Singapore, Taiwan, and Thailand. We examine the cointegraiton test for the long-run relationship and build a nonlinear threshold autoregressive model (TAR) between the long -term government bond yield, the stock index and the earning s index. Our empirical results show that such a long-run relationship indeed exists for those countries. In addition, the explanatory power of TAR model is better than linear AR model.
Reference:	Aubert, S., and P. Giot, 2007, .An International Test of the Fed Model,. Journal of Asset Management, 86-100. Balke, N.S., Fomby, T.B., 1997. Threshold cointegration. International Economic Review 38, 627-645. Campbell J. Y., and R. J. Shiller 2005. Valuation Ratios and the Long-run Stock Market Outlook: An Update, in Advances in behavioural Finance (Vol II), R. H. Thaler (Ed), Princeton University Press, Princeton. Durré, A., Giot, P., 2004. Endorse of fight the Fed model? An international analysis of earnings, stock prices and bond yields, Working paper. Enders, W., Granger, C.W.J., 1998. Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. J. Bus. Econ. Stat. 16, 305-311. Enders, Walter, and Pierre L. Siklos, 2000. "Cointegration and Threshold Adjustment." Journal of Business and Economic Statistics. Forthcoming (2000). Estrada, J., 2009, The Fed model: The Bad, the Worse and the Ugly, Quarterly Review of Economics and Finance, 49, 214-238. Hansen, B.E., Seo, B., 2002. Testing for two-regime threshold cointegration in vector error correction models. J. Econometrics 110, 293-318. Koivu, Matti, Teemu Pennanen, and William Ziemba, 2005. “Cointegration Analysis of the Fed Model.” Working paper. Malkiel, B.G., 2004, ‘Models of stock market predictability’, Journal of Financial Research 27(4), 449-459. Shen and Chiu, 1999, Transaction Cost and the Arbitrage Opportunity Between GDR and Its Stock Price: The Application of Threshold Cointegration, Journal of Financial Studies 7(2), 89-112. Thomas, Jacob and Frank Zhang, 2008. Don’t fight the Fed model. Yale University Working Paper. Tsay, R. S., 1989. Testing and Modeling Threshold Autoregressive Processes. Journal of the American Statistical Association, 84, 231-240. Tsay, R. S., 1998. Testing and modeling multivariate threshold models. Journal of the American Statistical Association 93, 1188–1998. Yardeni, E., 2003. Stock valuation models. Topical study 58. Prudential Financial Research. 王俊化(2006)，「貨幣學派匯率偏離之非線性調整-門檻自我回歸之應用」，中原大學國際貿易學系碩士論文楊奕農，「時間序列分析-經濟與財務上應用」，雙頁書廊有限公司，台北，民國98年
Description:	碩士國立政治大學國際經營與貿易研究所 99351008 100
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0099351008
Data Type:	thesis
Appears in Collections:	[Department of International Business] Theses

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