Title page for etd-0607116-111101


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URN etd-0607116-111101
Author Chia-chin Su
Author's Email Address No Public.
Statistics This thesis had been viewed 5360 times. Download 420 times.
Department Economics
Year 2015
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title The long-run relationship between real exchange rates and real interest differentials— The application of a Band-pass filter.
Date of Defense 2016-06-30
Page Count 65
Keyword
  • Real exchange rates and interest rate differential
  • Band-pass filter
  • Unit root test
  • Cointegration
  • Abstract The purpose of this paper is to apply the method of band-pass filtering to extract medium and low frequency information from raw data, and then applied the extracted data to examine the long-term relationships of real exchange rates and interest rate differentials.
       Both monthly and quarterly data over 1974~2012 are applied. Our empirical results show that data after band-pass filtering improved drastically based on unit root tests, Johansen’s cointegration test and error-correction estimation, compared to raw data.
       Our evidence indicated that it is the interference of high frequency part in the raw data leading to the discrepancy of the theoretical predictions on long-term real exchange rates and interest rate differentials.
    Advisory Committee
  • Ming-Shann Tsai - chair
  • Shu-Ling Chiang - co-chair
  • Jyh-Lin Wu - advisor
  • Files
  • etd-0607116-111101.pdf
  • indicate access worldwide
    Date of Submission 2016-07-12

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