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| 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.
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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: | [國際經營與貿易學系 ] 學位論文
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