Multiple Structural Breaks in The Real Exchange Rates :An Empirical Research of Asia & Pacific Countries
碩士 === 國立中山大學 === 經濟學研究所 === 95 === In this paper, we use the Bai and Perron (1988, 2003) methodology to test for multiple structural breaks in the real exchange rate for 8 countries within Asia Pacific. We find extensive evidence of structural breaks in the real exchange rates. The Bai and Perron...
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ndltd-TW-095NSYS53890422019-05-15T19:48:10Z http://ndltd.ncl.edu.tw/handle/46t34z Multiple Structural Breaks in The Real Exchange Rates :An Empirical Research of Asia & Pacific Countries 實質匯率之結構改變:亞太地區之實證研究 Yu-Chen Huang 黃于珍 碩士 國立中山大學 經濟學研究所 95 In this paper, we use the Bai and Perron (1988, 2003) methodology to test for multiple structural breaks in the real exchange rate for 8 countries within Asia Pacific. We find extensive evidence of structural breaks in the real exchange rates. The Bai and Perron (1998, 2003) consider the estimation of multiple structural shifts in a linear model estimated by least-squares. They propose some tests for structural changes for the case with no trending regressors and a selection procedure based on a sequence of tests to estimate consistently the number of changes and break date. Also this paper apply Elliott and Müller (2003) method in order to test for stability of the estimated regression parameters with structural breaks. When comparing two test results, we find that the test conclusions is with little difference . Within those 8 countries including Japan, Singapore, Thailand, Indonesia, Korea, Malaysia, Philippines, Taiwan , The processing result with Bai and Perron test with structural breaks, we find that real exchange rates of 4 countries have three structural breaks, 2 countries have two structural breaks, and other two countries has one structural break. Also we apply Elliott and Müller test , the result we got is that has a structural break of real exchange rate exist within 7 countries. Only one country has no structural break. According to the results which we applied those tests, There do exist some structural break under the impacts of some financial crisis and important events which , such as The Second Oil Chsis ( 1979), Plaza Accord (1985), Asia Financial Crisis (1997). Jyh-Lin Wu 吳致寧 2007 學位論文 ; thesis 56 zh-TW |
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碩士 === 國立中山大學 === 經濟學研究所 === 95 === In this paper, we use the Bai and Perron (1988, 2003) methodology to test for multiple structural breaks in the real exchange rate for 8 countries within Asia Pacific. We find extensive evidence of structural breaks in the real exchange rates. The Bai and Perron (1998, 2003) consider the estimation of multiple structural shifts in a linear model estimated by least-squares. They propose some tests for structural changes for the case with no trending regressors and a selection procedure based on a sequence of tests to estimate consistently the number of changes and break date. Also this paper apply Elliott and Müller (2003) method in order to test for stability of the estimated regression parameters with structural breaks. When comparing two test results, we find that the test conclusions is with little difference .
Within those 8 countries including Japan, Singapore, Thailand, Indonesia, Korea, Malaysia, Philippines, Taiwan , The processing result with Bai and Perron test with structural breaks, we find that real exchange rates of 4 countries have three structural breaks, 2 countries have two structural breaks, and other two countries has one structural break. Also we apply Elliott and Müller test , the result we got is that has a structural break of real exchange rate exist within 7 countries. Only one country has no structural break. According to the results which we applied those tests, There do exist some structural break under the impacts of some financial crisis and important events which , such as The Second Oil Chsis ( 1979), Plaza Accord (1985), Asia Financial Crisis (1997).
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Jyh-Lin Wu |
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Jyh-Lin Wu Yu-Chen Huang 黃于珍 |
author |
Yu-Chen Huang 黃于珍 |
spellingShingle |
Yu-Chen Huang 黃于珍 Multiple Structural Breaks in The Real Exchange Rates :An Empirical Research of Asia & Pacific Countries |
author_sort |
Yu-Chen Huang |
title |
Multiple Structural Breaks in The Real Exchange Rates :An Empirical Research of Asia & Pacific Countries |
title_short |
Multiple Structural Breaks in The Real Exchange Rates :An Empirical Research of Asia & Pacific Countries |
title_full |
Multiple Structural Breaks in The Real Exchange Rates :An Empirical Research of Asia & Pacific Countries |
title_fullStr |
Multiple Structural Breaks in The Real Exchange Rates :An Empirical Research of Asia & Pacific Countries |
title_full_unstemmed |
Multiple Structural Breaks in The Real Exchange Rates :An Empirical Research of Asia & Pacific Countries |
title_sort |
multiple structural breaks in the real exchange rates :an empirical research of asia & pacific countries |
publishDate |
2007 |
url |
http://ndltd.ncl.edu.tw/handle/46t34z |
work_keys_str_mv |
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