政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/78783
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113730/144729 (79%)
造訪人次 : 51765090      線上人數 : 555
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/78783


    題名: 匯率波動與外匯干預
    Exchange Rate Volatility and Central Bank Intervention
    作者: 謝柏笙
    貢獻者: 林馨怡
    謝柏笙
    關鍵詞: 匯率波動
    外匯干預
    追蹤資料
    分量迴歸
    日期: 2015
    上傳時間: 2015-10-01 14:24:21 (UTC+8)
    摘要: 本文章使用 Lin (2010) 的動態追蹤資料分量迴歸(DPQR)來分析匯率波動與外匯干預之間的關係。此外，本文更探討新興市場國家與非新興市場國家樣本間外匯干預對匯率波動的影響。實證結果發現,匯率波動較低時與外匯干預較不具有顯著的正向關係,然而當匯率波動較高時則與外匯干預呈現顯著
    的正向關係。此外,在新興市場國家中,可發現在高匯率波動下,外匯干預與匯率波動之間為顯著的正向關係;而非新興市場國家樣本所得到的結果為外匯干預與匯率波動之間在為不顯著的正向關係。
    參考文獻: Artus, J. R.(1983).Toward a more orderly exchange rate system,Finance and Development, 20 , 10-13

    Akhtar,M.A.,Spence-Hilton,R.(1984).Effects of exchange rate uncertainty on German and U.S. trade,Quarterly Review,(New York:Federal Reserve Bank of New York,Spring), 7-16

    Andersen,T.G.,Bollerslev,T.(1998).Answering the sceptics: yes standard volatility models do provide accurate forecasts,International Economic Review, 39 , 885-905.

    Cameron,A.C., Pravin K. Trivedi(2005).Microeconometrics: Methods and Applications,Cambridge University Press, 697-778.

    Brodasky,D.A.(1984).Fixed versus flexible exchange rates and the measurement of exchange rate instability,Journal of international economics, 16 , 295-306.

    Broll,U.(1994).Foreign production and forward markets,Australian Economic Papers, 62 , 1-6

    Bayoumi,T.,Eichengreen,B.(1998).Exchange rate volatility and intervention: implications of the theory of optimum currency areas,Journal of International Economics, 45 , 191-209.

    Beine,M.,Laurent,S.,Lecourt,C.(2003).Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis,European Economic Review, 47 , 891-911.

    Benita,G.and Lauterbach,B.(2007).
    Policy Factors and Exchange Rate Volatility: Panel Data versus a Specific Country Analysis,International Research Journal of Finance and Economics, 7-23


    Berganza,J.C.,Broto,C.(2012).Flexible inflation targets, forex interventions and exchange rate volatility in emerging countries,Journal of International Money and Finance, 31 , 428-444

    Carranza,L., Galdon-Sanchez, J.E., Gomez-Biscarri, J.(2009). Exchange rate and inflation dynamics in dollarized economies,Journal of Development Economics, 89 , 98-108.

    Dominguez,K.M.(1993).Does Foreign-exchange intervention matter?the portfolio effect,The American Economic Review, 83 , 1356-1369.

    Dominguez,K.M.(1998).Central bank intervention and exchange rate voatility.Journal of international money and finance, 17 , 161-190.

    Dominguez,K.M.(2003).The market microstructure of central bank intervention,Journal of International Economics, 59 , 25-45.

    Dominguez,K.M.(2006).When do central bank interventions influence intra-daily and longer-term exchange rate movements?,Journal of International Money and Finance, 25 , 1051-1071


    Edison,H.,Cashin,P.,Liang,H.(2006).Foreign exchange intervention and the Australian dollar:has it mattered?,International Journal of finance and Economics, 11 , 155-171.

    Frenkel,M.,Pierdzioch,C.,Stadtmanna,G.(2005).The effects of Japanese foreign exchange market interventions on the yen-U.S. dollar exchange rate volatility,International Review of Economics and Finance, 14 , 27-39.

    Gotur(1985).Effect of exchange rate volatility on trade:some further evidence,IMF Staff papers.

    Grossmann,A.,Love,I.,Orlov,A.G.(2014).The dynamics of exchange rate volatility: A panel VAR approach,Journal of International Financial Markets, Institutions and Money, 33 , 1-27


    Hooper,P,Kohlhagen,S(1978).The effect of exchange rate uncertainty on the price and volume of international trade,Journal of international economics, 8 , 483-511

    Hung,J.(1997).Intervention strategies and exchange rate volatility: a noise trading perspective,Journal of International Money and Finance, 16 , 779-793.

    Hau,H.(2002).Real exchange rate volatility and economic openness: Theory and evidence,Journal of Money, Credit and Banking, 34 , 611-630

    Ho,C., McCauley,R.N.(2003).Living with flexible exchange rates: issues and recent experience in inflation targeting emerging market economies,BIS Working Paper.

    Jeffrey M.Wooldridge (2010).Econometric Analysis of Cross Section and Panel Data,MIT Press, 247-338.

    Koenker, R. and G. Bassett (1978).Regression Quantiles,Econometrica, 46 , 33-50.

    Kumar,V(1992).Real effects of exchange risk on international trade,Working paper, 92-95

    Koenker, R. (2004).Quantile Regression for Longitudinal Data,Journal of Multivariate Analysis, 91 , 74-89.

    Little, J.S., Romano, T.F.(2009). Inflation targeting-Central bank practice overseas,Federal Reserve Bank of Boston, Public Policy Briefs, 08-1 , 1-30.

    Lin, H.(2010). Endogeneity in Panel Data Quantile Regression Models: a Fitted Value Approach,mimeo, National Chengchi University.

    Lin, H. Y., and Chen, P. Y., (2010).The relation between inflation and trade openness: the application of panel data quantile regression,Academia Economic Papers, 38:1 , 1-32.

    McKenzie and Brooks(1997).The impact of exchange rate volatility on German-U.S. trade flows,Journal of international financial markets,institutions and money, 7 , 73-87.

    McKenzie M.D.(1999).The impact of exchange rate volatility on international trade flows,Journal of economic Surveys, 71-106

    McKenzie,M.(2002).The economics of exchange rate volatility asymmetry,International Journal of Finance and Economics, 7 , 247-260.

    Rose,A.(2007).A stable international monetary system emerges:inflation targeting is Bretton Woods,revisted,Journal of international money and finance, 26 , 663-681.

    William H. Greene (2011).Econometric Analysis ,Prentice Hall, 343-431.
    描述: 碩士
    國立政治大學
    經濟學系
    102258014
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0102258014
    資料類型: thesis
    顯示於類別:[經濟學系] 學位論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    801401.pdf1025KbAdobe PDF264檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋