透過您的圖書館登入
IP:18.191.14.71
  • 期刊

匯率時間數列線性檢測的研究

Linearity Test of Exchange Rate Time Series

摘要


在本項研究中,我們評估14個國家月別匯率時間數列資料的線性或非線性。資料期間包括1994-2010年。我們採用哈威等人在2008年提出的線性測試方法,此一方法可以在整合階次不確定的情形下,運作良好。經過實證研究,確定新加波和日本的匯率時間序列是非線性。

關鍵字

匯率 線性

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.

並列關鍵字

exchange rate linearity

參考文獻


鍾惠民、周賓凰、孫而音(2009)。財務計量E-views的應用。臺北:新陸書局股份有限公司。
楊奕農(2006)。時間序列分析經濟與財務上的應用。臺北:雙葉書廊有限公司。
Caporale, G. M.,Gil-Alana, L.(2007).Nonlinearities and fractional integration in the US unemployment rate.Oxford Bulletin of Economics and Statistics.69,521-544.
Cook, S.(1999).Cyclicality and durability: evidence from US consumers' expenditure.Journal of Applied Economics.2,299-310.

延伸閱讀