Foreign Exchange Market Spillovers: Evidence from Taiwan and China

兩岸匯率實證之研究：門檻模型之應用

牟萬馨(Cindy Wan-Shin Mo)

《台灣金融財務季刊》 14卷1期 (2013/03) Pp. 65-89

摘要

本研究探討自兩岸貿易和金融市場日益密切後對人民幣和台幣間的蔓延效應，採用貝氏計量經濟學方法和門檻變數作研究。實證結果顯示，兩個市場間之關連性可作為政府決策者和市場交易人於投資決策之參考。再者，研究指出，人民幣於金融海嘯前後對新台幣有顯著之影響，然而，台幣對人民幣之影響相對較不顯著。

並列摘要

A Bayesian econometric approach and threshold variables have been employed in this study to investigate how Chinese yuan and New Taiwan dollar affect each other after the delicate interrelationship in trade and finance between Taiwan and China. Evidence shows that both commodities bring about significant effects on each other through the U.S. dollar and may thus be used for the government authorities and traders of Taiwan and China in implementing appropriate policies and portfolio diversification strategies. Moreover, Chinese Reminbi affects New Taiwan dollar through the U.S. dollar pre- and post-subprime mortgage crisis, but a reverse effect is not detected.

並列關鍵字

Bayesian econometric approach ； threshold autoregressive model ； New Taiwan dollar ； Chinese yuan ； foreign exchange policy

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