博碩士論文 etd-0625110-215134 詳細資訊

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姓名 王政鈞(Cheng-chun Wang) 電子郵件信箱 nike012030@hotmail.com
畢業系所 企業管理學系研究所(Business Management)
畢業學位 碩士(Master) 畢業時期 98學年第2學期
論文名稱(中) 利率期間結構與匯率關係之研究
論文名稱(英) The relationship between the term structure and the exchange rate
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    論文語文/頁數 中文/61
    統計 本論文已被瀏覽 5567 次,被下載 0 次
    摘要(中) 自1973年浮動匯率制度確立以來,匯率的變動不只是企業或政府所關注的,一般家庭大眾也非常關心。企業關心匯率的走勢會牽動他們的獲利,一般大眾關注出國旅遊或者留學時的成本,更重要的是,匯率不只影響收益或成本,甚至可用來當作一種投資工具。
        本文主要是驗證利率期間結構對於匯率的解釋能力,過去許多研究已證實利率期間結構能夠預測經濟走勢,且經濟走勢能夠預測匯率,但過去卻無研究直接利用利率期間結構(term structure)去預測匯率,而是先經過複雜的模型計算風險溢酬(risk premium)去預測,因此本研究主要目的為:1. 檢驗利率期間結構是否能夠預測匯率。2. 過去研究顯示實質長期利率對於匯率是最具有預測力的,因此本文也將比較利率期間結構與實質長期利率這兩個解釋變數,看何者較具有預測力。3. 利用樣本外預測(out of sample)的方式來與隨機漫步模型(random walk)來做比較,看何種方式預測較為準確。
    摘要(英) Since the floating exchange rate regime was set up in 1973, the issue of exchange rate has been concerned not only by corporate organizations but also folks. For multinational corporate institutions, exchange rate plays an important role in their profit. For folks, exchange rate influences the cost of going abroad. What’s more, it is also one of investment tool for making profits.
      There are many empirical researches attesting that the term structure can forecast economic growth, and the exchange rate can be predicted by economic growth. However, no researches have shown the direct relationship between the term structure and the exchange rate. Therefore, the main purpose of this article is to examine whether the term structure can predict the exchange rate or not, and then to us this result to compare with the empirical result in which many researches claim that the real long term interest rate can predict the exchange rate very well. In the final step, we use the method of out of sample test to examine our model and random work model to make our examination more robust.
      In conclusion, our empirical research attests that the relationship between the term structure and the exchange rate is significantly negative. This result also shows that the ability of our model’s prediction is better than that of others.
  • 經濟成長
  • 實質長期利率
  • 利率期間結構
  • 匯率
  • 關鍵字(英)
  • term structure
  • economic growth
  • real long term interest rate
  • the exchange rate
  • 論文目次 致謝詞 I
    摘要 II
    Abstract III
    目錄 IV
    第壹章 緒論 1
    第一節 研究動機 1
    第二節 研究目的 2
    第三節 研究架構 4
    第貳章 文獻探討 7
    第一節 利率與匯率 7
    第二節 實質長期利率對匯率 7
    第三節 利率期間結構風險溢酬對匯率風險溢酬 8
    第四節 利率期間結構對經濟成長 9
    第五節 經濟成長對匯率 10
    第六節 小結 12
    第参章 建立實證模型 13
    第一節 資料來源與處理 13
    第二節 研究方法與假設 15
    第三節 本章小節 19
    第肆章 實證結果與分析 20
    第一節 解釋變數的選擇與分析結果 20
    第二節 穩健性(robust)檢定 25
    第伍章 結論 28
    參考資料 30
    附件 33
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  • 黃振聰 - 召集委員
  • 廖源星 - 委員
  • 梁慧玫 - 指導教授
  • 秦長強 - 指導教授
  • 口試日期 2010-06-02 繳交日期 2010-06-25

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