| Bounds Testing Approach to the Exchange Rate Overshooting in Taiwan | |
|---|---|
| 學年 | 92 |
| 學期 | 2 |
| 發表日期 | 2004-06-24 |
| 作品名稱 | Bounds Testing Approach to the Exchange Rate Overshooting in Taiwan |
| 作品名稱（其他語言） | |
| 著者 | Wang, Yu-Shan; Nieh, Chien-Chung |
| 作品所屬單位 | 淡江大學財務金融學系 |
| 出版者 | 臺北縣淡水鎮：淡江大學管理學院會計學系 |
| 會議名稱 | 2004年兩岸會計與管理學術研討會 |
| 會議地點 | 安徽省蚌埠市; 湖北省武漢市, 中國 |
| 摘要 | We employ the newly developed ARDL-ECM-MAIC bounds test (Pesaran, Shin and Smith. 2001) testing for the exchange rate overshooting phenomenon in Taiwan over 1986:01-2003:04. The ARDL approach is appropriate to test for the dynamic modeling irrespective of whether the variables are I (0) or I (1). We find the evidence that there do not exist a short-run overshooting phenomenon, which implies that no abnormal fluctuation of exchange rate in the presence of speculative bubble occurs during the sample period considered in Taiwan. The empirical fmding also provides the evidence for no existence of a long-run relationship between exchange rate and macroeconomic variables (money supply, industrial production, interest rate, and inflation rate), which objects the Dornbusch's (1976) stick price model of monetary approach to exchange rate determination. |
| 關鍵字 | ARDL;bound test;overshooting;exchange rate |
| 語言 | en |
| 收錄於 | |
| 會議性質 | 兩岸 |
| 校內研討會地點 | |
| 研討會時間 | 20040624~20040628 |
| 通訊作者 | |
| 國別 | CHN |
| 公開徵稿 | Y |
| 出版型式 | |
| 出處 | 2004年兩岸會計與管理學術研討會論文集(下)，頁360-376 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/88990 ) |
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