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| Title: | 匯率金融泡沫之檢定與分析: 以台幣/美元匯率為例
The statistical test and analysis of the forex rate bubble: The case of TWD/USD |
| Authors: | 黃澈
Huang, Che |
| Contributors: | 郭維裕
Kuo, Wei-Yu
黃澈
Huang, Che |
| Keywords: | 泡沫
因子
美元
台幣
匯率
GSADF
USD/TWD
Bubble
Factor |
| Date: | 2023 |
| Issue Date: | 2023-07-06 16:31:35 (UTC+8) |
| Abstract: | 本文研究主要探討 GSADF 方法對於 USD/TWD 是否存在泡沫進行檢定，並且使用因子預測。目前國內外有關泡沫發生的研究，其論文大多以各國指數以及貴金屬等原物料為主，很少使用新型的泡沫檢定做為匯率是否存在泡沫的檢測主軸。藉由檢定的優化以及可標示日期和準確的特性，使得我們能更進一步探討泡沫發生區間所對應到的國際事件，甚至是使用因子進一步做出未來預測，每一區間都有其發生日以及截止日之時間，前向遞歸的返回算法使得泡沫的檢測不會因為市場的長期趨勢向上而做出不正確的判斷。
本文使用周頻率以及日頻率資料作為檢定的輸入，運用三種總經因子，進行
回測，找尋泡沫發生區間與因子是否有顯著性關聯，判斷台幣對美元於發生泡沫時是否能透過本文中的總經因子找尋軌跡。
This paper focuses on the GSADF method for detecting the presence of bubbles in USD/TWD and using factor forecasts. Currently, most of the domestic and international research on bubble occurrence focuses on national indices or raw materials such as precious metals, but rarely uses the new bubble detection method as the main axis for detecting bubbles in exchange rates. With the optimization of the check and the dateable and accurate characteristics, we can further explore the international events corresponding to the bubble occurrence interval, and even use the factors to make further future predictions.
In this paper, we use weekly frequency and daily frequency data as inputs for the test, and use the three GSADFs to find out whether there is a significant correlation between the bubble interval and the factors, and to determine whether the Taiwan dollar can find the trajectory through the GSADFs in this paper when a bubble occurs. |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
110351032 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110351032 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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