Title page for etd-0516113-112138


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URN etd-0516113-112138
Author Yan-ting Chen
Author's Email Address No Public.
Statistics This thesis had been viewed 5358 times. Download 764 times.
Department Economics
Year 2012
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Non-Linear Mechanisms of Exchange Rate Pass-Through :
Evidence From Industries In Taiwan
Date of Defense 2013-06-11
Page Count 47
Keyword
  • Genetic Algorithms
  • Non-Liner
  • Exchange Rate Pass-Through
  • Threshold Cointegration
  • Maximum Likelihood Estimate
  • Abstract This paper applies a test for the linear no cointegration null hypothesis in a
    threshold vector error correction model by M.Seo(2006) to investigates non-linear
    exchange rate pass-through (ERPT) in Taiwan. It use the MLE method to estimate
    threshold value and cointegrating vector. The traditional literature using the grid
    search to find optimal solution.But in a multi-model, the use of grid search is not
    efficient, and therefore we adept a genetic algorithm to improve its efficiency.
      Empirical results indicate that there are six industries reflect significant threshold
    cointegration effect among the fourteen industries. Three industries among
    the six industries observed asymmetric exchange rate pass through. Our reasults
    support that exporters consider menu costs in determining whether to adjust the export
    price.
    Advisory Committee
  • Ming-Shann Tsai - chair
  • Hsiu-Hsin Ko - co-chair
  • Jyh-Lin Wu - advisor
  • Files
  • etd-0516113-112138.pdf
  • indicate access worldwide
    Date of Submission 2013-06-19

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