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系統識別號 U0026-0812200914103692
論文名稱(中文) 亞洲國家自90年代後的匯率相對表現
論文名稱(英文) The relative performance of Asian countries’ exchange rates since 1990s’
校院名稱 成功大學
系所名稱(中) 財務金融研究所
系所名稱(英) Graduate Institute of Finance & Banking
學年度 96
學期 2
出版年 97
研究生(中文) 施品帆
研究生(英文) Pin-Fin Shih
學號 r8695121
學位類別 碩士
語文別 英文
論文頁數 41頁
口試委員 口試委員-陳怡凱
指導教授-王澤世
口試委員-林軒竹
中文關鍵字 實質匯率  購買力平價說  國外直接投資 
英文關鍵字 Real exchange rate  Purchasing power parity  Foreign direct investment 
學科別分類
中文摘要 本篇主要使用Panel model去評估亞洲國家的匯率相對表現,我們由亞洲國家的實質匯率,國內生產毛額,以及國外直接投資的三者之間的關係去做判斷,藉由觀測各國的截距項,我們可以因此判斷該國貨幣是相對高估或者低估。除此之外,我們亦針對1997年的亞洲金融風暴的匯率表現重新檢視評估。

實證結果發現亞洲國家自90年代之後,除了新加坡和馬來西亞之外,大多亞洲國家呈現幣值相對低估的現象。而加入新變數(國外直接投資)的模型,在衡量相對匯率表現的效果,也較原先只納入國內生產毛額當作解釋變數的模型來得良好。
英文摘要 In this paper, we use the panel regression model to measure the relative performance on Asian currency. We measure the relationship between real exchange rate, gross domestic product relative to U.S. and growth in foreign direct investment. By observing the intercept term for every country, we can determine if the currency is relative undervalued or overvalued. In addition, we reassess the relative performance of exchange rate for each country during the Asian finance crisis in 1997.

The results of our study suggest that almost Asian currency is relative undervalued since 1990s’, except for Malaysia and Singapore. Also, the model with a new independent variable foreign direct investment (FDI) can actually capture a better measurement in currency valuation compared with the model we only taking GDP into consideration.
論文目次 摘要 I
Abstract II
誌謝 III
Contents IV
Lists of Tables VI
List of Figures VII
Chapter 1 Introduction 1
1.1 Background 1
1.2 Motivation and purpose 2
1.3 Research Framework 3
Chapter 2 Literature Review 4
2.1 Is PPP hold? 4
2.2 Relevant literature on the factors which can affect real exchange rate 5
Chapter 3 Methodology 8
3.1 The Panel models 8
3.2 Datasets 13
3.2.1 Real exchange rate 13
3.2.2 Gross domestic product 13
3.2.3 Foreign direct investment 14
Chapter 4 Empirical Results 15
4.1 Time-series regression for individual country 15
4.2 Panel regression: GDP as independent variable 16
4.2.1 Brief summary 17
4.3 Periodical history assessment 18
4.4 Panel regression: GDP and FDI as independent variables 18
Chapter 5 Conclusion 21
References 38
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