The price behavior of stock prices, exchange rates and interest rates in the Asia Pacific emerging markets - Panel cointegration and the VAR models applications
博士 === 國立雲林科技大學 === 管理研究所博士班 === 100 === This study examines the price behavior and their interaction of stock prices, exchange rates and interest rates in the Asia Pacific emerging markets. We employ panel cointegration tests and vector autoregressive model, generalized impulse response function to...
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ndltd-TW-100YUNT51210582018-04-10T17:22:00Z http://ndltd.ncl.edu.tw/handle/vmx4p5 The price behavior of stock prices, exchange rates and interest rates in the Asia Pacific emerging markets - Panel cointegration and the VAR models applications 亞太新興市場股價、匯率與利率之價格行為-Panel共整合與VAR模型之應用 Ta-Li Shih 史大麗 博士 國立雲林科技大學 管理研究所博士班 100 This study examines the price behavior and their interaction of stock prices, exchange rates and interest rates in the Asia Pacific emerging markets. We employ panel cointegration tests and vector autoregressive model, generalized impulse response function to test for pairwise long-run equilibrium relationship between stock prices, exchange rates and interest rates. Furthermore, we compare the price behavior resulting in three variables change and influence from the Asian financial crisis and the U.S. subprime mortgage crisis events. The empirical results of panel cointegration still show that three variables have cointegration relationship. From vector autoregressive model, generalized impulse response functions point out that the stock prices, exchange rates has dual relationship and exchange rates, interest rate has dual relationship, too. On the other hand, stock prices, interest rate just have one-side relationship. The price behavior of the three variables does change after these financial crises, indeed. Ai-Chi, Hsu Jack J.W, Yang 胥愛琦 楊踐為 2012 學位論文 ; thesis 94 zh-TW |
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博士 === 國立雲林科技大學 === 管理研究所博士班 === 100 === This study examines the price behavior and their interaction of stock prices, exchange rates and interest rates in the Asia Pacific emerging markets. We employ panel cointegration tests and vector autoregressive model, generalized impulse response function to test for pairwise long-run equilibrium relationship between stock prices, exchange rates and interest rates. Furthermore, we compare the price behavior resulting in three variables change and influence from the Asian financial crisis and the U.S. subprime mortgage crisis events.
The empirical results of panel cointegration still show that three variables have cointegration relationship. From vector autoregressive model, generalized impulse response functions point out that the stock prices, exchange rates has dual relationship and exchange rates, interest rate has dual relationship, too. On the other hand, stock prices, interest rate just have one-side relationship. The price behavior of the three variables does change after these financial crises, indeed.
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author2 |
Ai-Chi, Hsu |
author_facet |
Ai-Chi, Hsu Ta-Li Shih 史大麗 |
author |
Ta-Li Shih 史大麗 |
spellingShingle |
Ta-Li Shih 史大麗 The price behavior of stock prices, exchange rates and interest rates in the Asia Pacific emerging markets - Panel cointegration and the VAR models applications |
author_sort |
Ta-Li Shih |
title |
The price behavior of stock prices, exchange rates and interest rates in the Asia Pacific emerging markets - Panel cointegration and the VAR models applications |
title_short |
The price behavior of stock prices, exchange rates and interest rates in the Asia Pacific emerging markets - Panel cointegration and the VAR models applications |
title_full |
The price behavior of stock prices, exchange rates and interest rates in the Asia Pacific emerging markets - Panel cointegration and the VAR models applications |
title_fullStr |
The price behavior of stock prices, exchange rates and interest rates in the Asia Pacific emerging markets - Panel cointegration and the VAR models applications |
title_full_unstemmed |
The price behavior of stock prices, exchange rates and interest rates in the Asia Pacific emerging markets - Panel cointegration and the VAR models applications |
title_sort |
price behavior of stock prices, exchange rates and interest rates in the asia pacific emerging markets - panel cointegration and the var models applications |
publishDate |
2012 |
url |
http://ndltd.ncl.edu.tw/handle/vmx4p5 |
work_keys_str_mv |
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