Regime-Switching Analysis for the Impacts of the Exchange Rate Uncertainty on the Taiwan's Corporate Values
學年 90
學期 2
發表日期 2002-05-24
作品名稱 Regime-Switching Analysis for the Impacts of the Exchange Rate Uncertainty on the Taiwan's Corporate Values
作品名稱（其他語言）
著者 Nieh, Chien-Chung
作品所屬單位 淡江大學財務金融學系
出版者
會議名稱 2002年國立台灣大學財務金融國際研討會=2002 NTU International Conference on Finance
會議地點 臺北市, 臺灣
摘要 A second-moment regime-switching regression, which considers not only a switching intercept and a switching slope, but a switching error variance is applied to investigate the impacts of the exchange rate uncertainty (ERU) on the corporate values (CVs) for the industries concerned in Taiwan. Two different regimes of a strong-impact and a weak-impact are identified. However, the dominant power varies from industry to industry. The Wald statistics for the null of equality are mixed, which shows that if the Markov-switching (MS) model is appropriate, the ERU might not be the major factor but other factors, which could switch the CVs of Taiwan's industries. Nonetheless, for the model's volatility influence, the data of eight industries are shown to fit a two-state model when the volatility is stimulated. Finally, based on the 10% significant level, a two-state first-order MS model is appropriate for the "goodness of fit" analysis.
關鍵字 公司價值;GARCH模式;馬可夫轉換模型;匯率;不確定性;台灣;Corporate Value;Garch Model;Markov Switching Model;Exchange Rate;Uncertainty;Taiwan
語言 en
收錄於
會議性質 國際
校內研討會地點
研討會時間 20020524~20020525
通訊作者
國別 TWN
公開徵稿 Y
出版型式 紙本
出處 2002年國立台灣大學財務金融國際研討會論文集=Proceedings of 2002 NTU International Conference on Finance，25頁
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