人民幣匯率與總體經濟變數的關係： 非線性秩檢定共整合方法分析

The Relationships between Renminbi exchange rate and Macro-economy Variables ：Using Rank Test for Non-linear Cointegration

陳彥達(Yen-Ta Chen)

指導教授 ： 蘇志偉

淡江大學/商學院/國際企業學系碩士班/碩士(2011年)

https://doi.org/10.6846/TKU.2011.01346

摘要

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關鍵字

人民幣匯率 ； 非線性共整合方法 ； 門檻誤差修正模型

並列摘要

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並列關鍵字

Renminbi exchange rate ； Rank test ； Non-linear cointegration ； Threshold error-correction model

參考文獻

Blundell-Wignall, A. and Browne, F. (1991) Increasing financial market integration: RERs and macro-economic adjustment, Working Paper, Organization for Economic Cooperation and Development.

Breitung, J. (2001) Rank tests for nonlinear cointegration, Journal of Business and Economic Statistics, 19, 331-340.

Chan, K. S. (1993) Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model, The Annual of Statistics, 21, 520-533.

Chou, W. L. (2000) Exchange rate variability and China’s exports, Journal of Comparative Economics, 28, 61–79.

Dickey, D. A. and W. A. Fuller (1981) Likelihood Ratio Statistics for Autoregressive Time Series with Unit Root, Econometrica, 49, 1057–1072.