並列摘要
In this study, we evaluated the linearity or nonlinearity of 14 countries exchange rate time-series data. Sample data is spanned from 1994 to 2010. We use the Harvey et al. (2008) linearity test method, this method can work well under integrated order that is uncertain. We determine Singapore and Japan exchange rate time series are nonlinear time series, and the other countries' exchange rate time series are linear.
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延伸閱讀
- 張媛茹（2014）。檢驗匯率決定的貨幣模型─非線性共變量單根檢定之應用〔碩士論文，國立暨南國際大學〕。華藝線上圖書館。https://doi.org/10.6837/NCNU.2014.00311
- 紀崧傑（2016）。匯率影響之實證研究—縱橫平滑轉換迴歸模型之應用〔碩士論文，中原大學〕。華藝線上圖書館。https://doi.org/10.6840/cycu201600314
- 殷君豪（2007）。匯率非線性均值回復之實證研究〔碩士論文，中原大學〕。華藝線上圖書館。https://doi.org/10.6840/cycu200700783
- Chen, W. Y. (2016). A Time Series Analysis to Forecast Price Fluctuation [master's thesis, National Taiwan University]. Airiti Library. https://doi.org/10.6342/NTU201603007
- 吳博欽、申志偉、潘聖潔（2009）。Nonlinear Adjustment, Arbitrage and Economic Value Predictability of Exchange Rate。人文及社會科學集刊，21(1)，101-142。https://doi.org/10.6350/JSSP.200903.0101