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现值学习机制、经济基本面与名目汇率动态 ─台湾、韩国之实证研究-论文范文

【中文摘要】:以货币学派模型出发,并遵循Kim (2009) 之分析法,探

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讨不同预期机制下之汇率模型隐含的名目汇率之统计特性是否与实际资料之统计特性接近。比较标準为长期汇率预测方程式之迴归係数 β ̂、变异数比率及名目汇率样本外预测。在台湾与韩国之实证研究中,皆反映现值学习机制模型所隐含的名目汇率,其统计特性较能与实际资料的统计特性相近。
【英文摘要】:This paper adopts Kim (2009)’s method.To examine whether the statistical properties of nominal exchange rates implied by different learning models are close to those implied by exchange rate data. The standards of comparison are the slope coefficient of long-term exchange rates prediction equation, the variance ratio, and out-of-sample test. Our empirical results from Taiwan and Korea indicate that the statistical properties of nominal exchange rates implied by the

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present-value learning model are close to those from exchange rate data.
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  • 来源:作者:龚俊荣

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