Title page for etd-0804108-144543


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URN etd-0804108-144543
Author Chuan-chiang Leng
Author's Email Address No Public.
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Department Economics
Year 2007
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Nonlinear Analysis of the Uncovered Interest Parity in Latin American Countries
Date of Defense 2008-06-18
Page Count 58
Keyword
  • uncovered interest parity
  • nonlinear analysis
  • Abstract Abstract
    Most of literature and studies on prediction of exchange rate focus on main industrial countries with few discussions on the exchange rate of the developing countries. For model residual differences can be found in a linear model, so the linear model will adjust to find equilibrium at a fixed speed. However, it is difficult for the linear model to capture the character of dynamic adjustment behavior if a non-linear adjustment relationship exists (Sarno, 2002). Moreover, in case the trading costs exist in the foreign exchange market or the technical analysis is widely used among traders, then the deviations from equilibrium exchange rate may present a non-linear adjustment trend. In view of this, this study employed the STAR (smooth transition autoregression) model developed by Granger and Terasvirta (1993) to discuss the dynamic adjustment process of the deviations from UIP in the seven countries in Latin America. In most of the experimental studies conducted in the past, it was found difficult to establish the assumptions of uncovered interest parity (UIP). Therefore, this study is aimed to verify the experimental studies on UIP in the Latin America under the non-linear framework by means of non-linear model analysis.
    Advisory Committee
  • Yung-hsiang Ying - chair
  • Ching-Nun Lee - co-chair
  • Ming-jang Weng - advisor
  • Files
  • etd-0804108-144543.pdf
  • indicate access worldwide
    Date of Submission 2008-08-04

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