المؤلفون: 王佳淇, Wang, Chia-Chi

المساهمون: 保險金融管理系, 徐保鵬, Hsu,Pao-Peng

مصطلحات موضوعية: 美元指數, 美國總體經濟, 單根檢定, 向量自我迴歸模型, Granger因果關係檢定, US dollar index, US macroeconomy, unit root test, vector autoregressive model, Granger causality test

وصف الملف: 670458 bytes; application/pdf

Relation: 112CYUT0218006; http://ir.lib.cyut.edu.tw:8080/handle/310901800/43691

الاتاحة: http://ir.lib.cyut.edu.tw:8080/handle/310901800/43691
http://ir.lib.cyut.edu.tw:8080/bitstream/310901800/43691/1/112CYUT0218006-002.pdf

المؤلفون: 林聖竺, Lin, Shengzhu

المساهمون: 張興華, Chang, Hsing-Hua

مصطلحات موضوعية: 台灣, 香港, 股市, 匯市, 聯動效應, 向量自我回歸模型, Granger因果關係檢定, Taiwan, Hongkong, Stock market, Foreign exchange market, Linkage effect, VAR model

وصف الملف: 1478960 bytes; application/pdf

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Understanding International Stock Market Comovements: A Comparison of Developed and Emerging Markets [J]. International Review of Economics & Finance, 56: 451 - 464.\nCheol S. Eun, Sangdal Shim. (1989). International Transmission of Stock Market Movements. Journal of Financial and Quantitative Analysis, vol. 24, issue 2, 241-256.\nDas D., Bhowmik P. & Jana R. K. (2018). A Multiscale Analysis of Stock Return Co-movements and Spillovers: Evidence from Pacific Developed Markets [ J]. Physical A: Statistical Mechanics and its Applications, 502: 379 - 393.\nDidier T., Love I., Martinez Peria M.S. (2012). What explains comovement in stock market returns during the 2007-2008 crisis?[J]. International Journal of Finance and Economics, 17(2): 182-202.\nEhrmann, Michael, Fratzscher, Marcel & Rigobon, Robert. (2005). 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Journal of International Money and Finance, 19(2): 207-233.\nHwahsin Cheng, John L. Glascock. (2005). Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan. Review of Quantitative Finance and Accounting volume 24, pages343–357.\nInci A.C., Li H.C., Mc. Carthy J. (2011). Financial contagion: a local correlation analysis[J]. Research in International Business and Finance, 25(1): 11-25.\nJeff Fleming, Chris Kirby, Barbara Ostdiek. (1998). Information and volatility linkages in the stock, bond, and money markets[J]. Journal of Financial Economics, 49, 111-137.\nJohansson A. C., Ljungwall C. (2009). Spillover effects among the Greater China stock markets[J]. World Development, 37(4): 839-851.\nJuan Reboredo, Miguel A. Rivera-Castro, Andrea Ugolini. (2016). Downside and upside risk spillovers between exchange rates and stock prices. Journal of Banking & Finance, 2016, vol. 62, issue C, 76-96.\nKasa, K. (1992). Common Stochastic Trends in International Stock Markets. Journal of Monetary Economics, 29, 95124.\nKing M. A., Wadhwani S. (1990). Transmission of volatility between stock markets[J]. The Review of Financial Studies, 3(1): 5-33.\nKizys R, Pierdzioch C. (2009). Changes in the international comovement of stock returns and asymmetric macroeconomic shocks[J]. The Joumal of International Financial Markets, Institutions and Moncy, 19(2):289-305.\nKristin Forbes, Roberto Rigobon. (2002, 5 October). No Contagion, Only Interdependence: Measuring Stock Market Co-movements. Journal of Finance, 2002, v57, 2223-2261.\nKuntara Pukthuanthong, Richard Roll. (2009). Global market integration: An alternative measure and its application. Journal of Financial Economics, vol. 94, issue 2, 214-232.\nNing C. (2010). Dependence Structure between the Equity Market and the Foreign Exchange Market—A Copula Approach[J]. Journal of International Money and Finance, (29), 743-759.\nRichard A. Ajayi, Mbodja Mougoue. (1998, 12 August). On the Dynamic Relation Between Stock Prices And Exchange Rates. Journal of Financial Research, 1996, vol. 19, issue 2, 193-207.\nRobert-Paul Berben, W. Jos Jansen. (2005). Comovement in international equity markets: A sectoral view. Journal of International Money and Finance, vol. 24, issue 5, 832-857.\nRoberto Rigobon, Brian Sack. (2003, April). Spillovers Across U.S. Financial Markets[R]. NBER Working Paper 9640.\nRobin Brooks, Marco Del Negro. (2006). Firm-Level Evidence on International Stock Market Comovement. Review of Finance, Volume 10, Issue 1, Pages 69–98.\nTamir Agmon (1972). The Relations Among Equity Markets: A Study of Share Price Co-Movements in the United States, United Kingdom, Germany and Japan. Journal of Finance, vol. 27, issue 4, 839-55.\nVictor Fang, Edward J Y Lin, V. Lee. (2007). Volatility linkages and spillovers in stock and bond markets: some international evidence[J]. Journal of International Finance and Economics, 7, (1).\nWarren G. Dean, Robert W. Faff & Geoffrey F. (2010). Loudon. Asymmetry in Return and Volatility Spillover Between Equity and Bond Markets in Australia[J]. Pacific-Basin Finance Journal, (18).\nY. Angela Liu & Ming-Shiun Pan. (1997, March). "Mean and Volatility Spillover Effects in the U.S. and Pacific–Basin Stock Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 1(1), pages 47-62.\nYang J, Kolari J W, Min I. (2003). Stock market integration and financial crises: the case of Asia[J]. Applied Financial Economics, 13(7): 477-486.\n財團法人台北外匯市場發展基金會（2016年1月）。台灣的匯率制度與外匯管理自由化。財團法人台北外匯市場發展基金會。\n陳旭昇（2013年3月25日）。時間序列分析：總體經濟與財務金融之應用（二版）。東華書局。\n李岸（2017）。“中心—外围”结构下中国股市国际联动性研究〔未出版之博士論文〕。湖南大学。\n张兵，范致镇，李心丹（2010）。中美股市的联动性研究[J]。经济研究，45(11):141-151。; G0109352032; https://nccur.lib.nccu.edu.tw//handle/140.119/145852; https://nccur.lib.nccu.edu.tw/bitstream/140.119/145852/1/203201.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/145852
https://nccur.lib.nccu.edu.tw/bitstream/140.119/145852/1/203201.pdf

المؤلفون: 陳彥民, Chen, Yan-Min

المساهمون: 郭維裕, Guo, Wei-Yu

مصطلحات موضوعية: 系統性重要銀行, 銀行系統性風險, 主成分分析法, Granger因果關係檢定

Relation: Adrian, Tobias, and Markus K Brunnermeier, 2011, Covar, (National Bureau of Economic Research).\r\nBartram, Söhnke M, Gregory W Brown, and John E Hund, 2007, Estimating systemic risk in the international financial system, Journal of Financial Economics 86, 835-869.\r\nBCBS, A, 2012, A framework for dealing with domestic systemically important banks, (Bank for International Settlements Basel).\r\nBillio, Monica, Mila Getmansky, Andrew W Lo, and Loriana Pelizzon, 2012, Econometric measures of connectedness and systemic risk in the finance and insurance sectors, Journal of financial economics 104, 535-559.\r\nBisias, Dimitrios, Mark Flood, Andrew W Lo, and Stavros Valavanis, 2012, A survey of systemic risk analytics, Annu. Rev. Financ. Econ. 4, 255-296.\r\nBrunnermeier, Markus K, and Lasse Heje Pedersen, 2009, Market liquidity and funding liquidity, The review of financial studies 22, 2201-2238.\r\nCaballero, Ricardo J, 2010, The\" other\" imbalance and the financial crisis, (National Bureau of Economic Research).\r\nChan-Lau, Jorge A, Marco Espinosa, Kay Giesecke, and Juan A Solé, 2009, Assessing the systemic implications of financial linkages, IMF global financial stability report 2.\r\nChan‐Lau, Jorge A, 2010, Regulatory capital charges for too‐connected‐to‐fail institutions: A practical proposal, Financial Markets, Institutions & Instruments 19, 355-379.\r\nDuffie, Darrell, and Jun Pan, 1997, An overview of value at risk, Journal of derivatives 4, 7-49.\r\nElsinger, Helmut, Alfred Lehar, and Martin Summer, 2006, Systemically important banks: An analysis for the european banking system, International Economics and Economic Policy 3, 73-89.\r\nEuropean Central Bank, 2010, Macro-prudential policy objectives and tools., Financ. Stab. Rev. 129.\r\nGranger, Clive WJ, 1969, Investigating causal relations by econometric models and cross-spectral methods, Econometrica: journal of the Econometric Society 424-438.\r\nGray, Dale, and A Jobst, 2010, Systemic cca-a model approach to systemic risk, Deutsche Bundesbank/Technische Universität Dresden Conference: Beyond the Financial Crisis: Systemic Risk, Spillovers and Regulation, Dresden (Citeseer).\r\nHuang, Xin, Hao Zhou, and Haibin Zhu, 2012, Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis, Journal of Financial Stability 8, 193-205.\r\nInternational Monetary Fund (IMF), 2009, Responding to the financial crisis and measuring systemic risks., Glob. Financ. Stab. Rep. .\r\nKritzman, Mark, Yuanzhen Li, Sebastien Page, and Roberto Rigobon, 2010, Principal components as a measure of systemic risk, Available at SSRN 1582687.\r\nMerton, Robert C, 1973, Theory of rational option pricing, The Bell Journal of economics and management science 141-183.\r\nMishkin, Frederic, 2007, Systemic risk and the international lender of last resort: A speech at the tenth annual international banking conference, federal reserve bank of chicago, chicago, illinois, september 28, 2007, (Board of Governors of the Federal Reserve System (US)).\r\nMoussa, Amal, 2011. Contagion and systemic risk in financial networks (Columbia University).\r\nPearson, Karl, 1901, Liii. On lines and planes of closest fit to systems of points in space, The London, Edinburgh, and Dublin philosophical magazine and journal of science 2, 559-572.\r\nPedersen, Lasse Heje, Viral Acharya, Thomas Philippon, and Matt Richardson, 2010, Measuring systemic risk, NYU Working Paper.\r\nPham, Thach N, Robert Powell, and Deepa Bannigidadmath, 2021, Systemically important banks in asian emerging markets: Evidence from four systemic risk measures, Pacific-Basin Finance Journal 70, 101670.\r\nReinhart, Carmen M, and Kenneth S Rogoff, 2009, This time is different, in This time is different (princeton university press).\r\nRosengren, Eric S, 2010, Asset bubbles and systemic risk.\r\n李君屏, 楊子萱, 王佳眞, 2017, 台灣金融機構的系統風險－∆CoVaR、分量迴歸模型與隨機優勢檢定的應用, 風險管理學報 19, 61-86.\r\n林莉娜, 2016, 台灣金融機構之系統風險—CoVaR方法, 統計學系 國立臺北大學, 新北市.\r\n王曉輝, 2018, 臺灣銀行業考量CoVaR後其競爭性對穩定性之影響, 國際商務系碩士班 國立臺北商業大學, 台北市.\r\n鍾經樊, 2011, 涵蓋信用風險, 銀行間傳染風險, 與流動性風險的台灣金融系統風險量化模型, 中央銀行季刊.; G0110351038; https://nccur.lib.nccu.edu.tw//handle/140.119/145789; https://nccur.lib.nccu.edu.tw/bitstream/140.119/145789/1/index.html

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/145789
https://nccur.lib.nccu.edu.tw/bitstream/140.119/145789/1/index.html

المؤلفون: 黃瓊如, Huang, Chiung-Ju, 何艷宏, Ho, Yuan-Hong

المساهمون: 中國大陸研究

مصطلحات موضوعية: 公共治理, 人均GDP, 頻域, Granger因果關係檢定, Public governance, GDP per capita, frequency domain, Granger causality test, eco, scipo

Relation: http://nccur.lib.nccu.edu.tw/bitstream/140.119/123288/1/527.pdf; http://nccur.lib.nccu.edu.tw//handle/140.119/123288

الاتاحة: http://nccur.lib.nccu.edu.tw/bitstream/140.119/123288/1/527.pdf
http://nccur.lib.nccu.edu.tw//handle/140.119/123288

المؤلفون: 袁嘉奇, Yuan, Chia-Chi

المساهمون: 蘇昱璇, Su, Yu-Hsuan

مصطلحات موضوعية: 數位普惠金融, 家庭消費, 商業保險, Granger因果關係檢定, Digital financial inclusion, Household consumption, Commercial insurance, Granger Causality

وصف الملف: 15453951 bytes; application/pdf

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Analysis of Chinese saving behavior. Joural of Finance, 6, 46–80.\nUnited Nations. (2004). UN launches international year of microcredit 2005. United Nations.\nWei, S., & Zhang, X. (2011). The competitive saving motive: Evidence from rising sex ratios and savings rates in China. Journal of Political Economy, 119(3), 511–564.\nYe, J., Li, H., & Wu, B. (2011). Income inequality, consumption, and social-status seeking. Journal of Comparative Economics, 39(2), 191–204.\nYi, X., Wang, J., & Yi, J. (2008). The fluctuation and regional difference of the trength of precautionary saving motive. Economic Research Journal, 2, 119–131.\nYi, X., & Zhou, L. (2018). Does digital financial inclusion significantly influence household consumption? Evidence from Household Survey Data in China. Journal of Financial Research, 11, 47–67.\nZhang, L., & Tu, B. (2017a). An empirical study of the impact of internet financial developments on China’s economic growth. Statistics & Decision, 11, 143–147.\nZhang, L., & Tu, B. (2017b). Impact of the internet finance on the consumption of urban and rural residents in China: From the perspective of consumer financial functions. Finance and Trade Research, 8, 70–83.\nZhao, W. (2019). Does health insurance promote people’s consumption? New evidence from China. China Economic Review, 53, 65–86.\nZhong, F., Xiang, J., & Zhu, J. (2012). Impact of demographic dynamics on food consumption- A case study of energy intake in China. China Economic Review, 23(4), 1011–1019.\nZins, A., & Weill, L. (2016). The determinants of financial inclusion in Africa. Review of Development Finance, 6(1), 46–57.; G0108261025; https://nccur.lib.nccu.edu.tw//handle/140.119/141682; https://nccur.lib.nccu.edu.tw/bitstream/140.119/141682/1/102501.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/141682
https://doi.org/10.6814/NCCU202201406
https://nccur.lib.nccu.edu.tw/bitstream/140.119/141682/1/102501.pdf

المؤلفون: 孫恩卿, Son, Eun-Kyung

المساهمون: 林建秀, Lin, Chien-Hsiu

مصطلحات موضوعية: 單根檢定, 向量自我回歸模型 (VAR), Granger因果關係檢定, 韓元兌台幣匯率, 股價指數, 半導體類指數, Unit root test, VAR, Granger causality test, KRW to TWD exchange rate, Stock price index, Semiconductor sub-index

وصف الملف: 1107428 bytes; application/pdf

Relation: 1. Akaike, H. (1974). A new look at the statistical model identification. IEEE transactions on automatic control, 19(6), 716-723.\n2. Bank of Korea (2016). Foreign Exchange System and Market in Korea. Retrieved from https://www.bok.or.kr/viewer/skin/doc.html?fn=FILE_2018033008183428 31.pdf&rs=/webview/result/P0000609/201601.\n3. Chi, H. J., & Kim, S. W. (2001). Interrelationship among the Foreign Exchange, Stock and Bond Market: Comparative Analysis of Korea and Japan. The Korean Journal of Financial Management, 18(2), 169-191.\n4. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427-431.\n5. Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: journal of the Econometric Society, 251-276.\n6. Hong, Y. J., & Ha, H. Y. (2019). A Study on the Foreign Investment in Financial Assets and Exchange Rate in Korea - A Focus on Bond Yields and Stock Returns -. Journal of Social Science, 26(1), 39-60.\n7. Lee, D. H., & Kim, E. R. (2000). An Analysis on Causality Between Exchange Rate and Stock Price : the Case of Asia Countries Experienced Foreign Exchange Crisis. Korea Trade Review, 25(1), 151-168.\n\n8. Lee, H. H., & Seo, D.W. (1997). An Analysis of the Effect of the Won-Dollar Exchange Rate Volatility Risk on the Korean Export. Korea Trade Review, 22(4), 79-104.\n9. Lee, H. J. (2007). A study on the Effects of Exchange Rates and Interest Rates on the Stock prices (Master’s thesis, Hanyang University, Seoul, Republic of Korea). Retrived from http://hanyang.dcollection.net/common/orgView/200000406754.\n10. Lee, H. J., & Ahn, J. O. (2010). A Study on the Relation between Foreign Exchange Rates and Stock Prices under Global Economic Crisis in Korea. Journal of Industrial Economics and Business, 23(6), 3201-3222.\n11. Sims, C. A. (1980). Macroeconomics and reality. Econometrica: journal of the Econometric Society, 1-48.\n12. 中央銀行(2019)。本行匯率政策相關議題之說明。取自 https://knowledge.cbc.gov.tw/uploads/20211019/3226ebf6-a429-4652-8f60- 767686c32c34.pdf。\n13. 中央銀行(2019)。有關新台幣匯率政策之說明。取自 https://www.cbc.gov.tw/Public/Attachment/9521833971.pdf。\n14. 方文碩、田志遠(2001)。匯率貶值對股票市場的衝擊-雙變量 GARCH-M 模型。台灣金融財務季刊, 2(3)，99-117。\n15. 王齡翎(2015)。臺灣股價指數與匯率之因果關係(碩士論文，中國文化大 學，臺北市，台灣)。取自台灣博碩士論文知識加值系統。\n16. 徐清俊、李孟哲(2006)。匯率變動與台灣股市報酬之研究-雙變量 GARCH 模型。興國學報，(5)，23-34。\n17. 陳旭昇(2013)。時間序列分析:總體經濟與財務金融之應用(二版)。臺 北市:東華。\n\n18. 陳思寬、張銘仁(2006)。 股價、匯率與貨幣政策之互動性:東亞各國的 實證研究。證券市場發展季刊，18(4)，61-101。\n19. 黃威儒(2019)。臺灣股市、匯率及利率的互動關係(1990-2018)(碩士論 文，淡江大學，臺北市，台灣)。取自 airitilibrary.com。\n20. 楊奕農(2017)。時間序列分析:經濟與財務上之應用(三版)。臺北市: 雙葉書廊。; G0109352037; https://nccur.lib.nccu.edu.tw//handle/140.119/141071; https://nccur.lib.nccu.edu.tw/bitstream/140.119/141071/1/203701.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/141071
https://doi.org/10.6814/NCCU202200745
https://nccur.lib.nccu.edu.tw/bitstream/140.119/141071/1/203701.pdf

المؤلفون: 郭國誠, 張福清

المساهمون: 國貿系

مصطلحات موضوعية: 國防支出, 經濟成長, 政治變遷, 單根檢定, 共整合檢定, Granger因果關係檢定, Unit-root test, Co-integration test, Granger causality test

وصف الملف: 419 bytes; text/html

Relation: 主計季刊 53:2=337 2012.07[民101.07] 頁24-44; http://ir.lib.pccu.edu.tw//handle/987654321/37334; http://ir.lib.pccu.edu.tw/bitstream/987654321/37334/2/index.html

الاتاحة: http://ir.lib.pccu.edu.tw//handle/987654321/37334
http://ir.lib.pccu.edu.tw/bitstream/987654321/37334/2/index.html

المؤلفون: 郭國誠, 張英智

المساهمون: 國貿系

مصطلحات موضوعية: 國防支出, 經濟成長, 政府支出, 金磚四國, Granger因果關係檢定

وصف الملف: 419 bytes; text/html

Relation: 主計季刊 52:4=335 2011.12[民100.12] 頁1-13; http://ir.lib.pccu.edu.tw//handle/987654321/37335; http://ir.lib.pccu.edu.tw/bitstream/987654321/37335/2/index.html

الاتاحة: http://ir.lib.pccu.edu.tw//handle/987654321/37335
http://ir.lib.pccu.edu.tw/bitstream/987654321/37335/2/index.html

المؤلفون: 郭國誠

المساهمون: 國貿系

مصطلحات موضوعية: 國防支出, 經濟成長, 國防支出佔中央政府支出比率, 單根檢定, 共整合檢定, Granger因果關係檢定, Defense expenditure, Economic growth, Unit root test, Cointegration test, Granger causality test

وصف الملف: 419 bytes; text/html

Relation: 主計季刊 51:1=328 2010.04[民99.04] 頁1-14; http://ir.lib.pccu.edu.tw//handle/987654321/37338; http://ir.lib.pccu.edu.tw/bitstream/987654321/37338/2/index.html

الاتاحة: http://ir.lib.pccu.edu.tw//handle/987654321/37338
http://ir.lib.pccu.edu.tw/bitstream/987654321/37338/2/index.html

المؤلفون: 郭國誠

المساهمون: 國貿系

مصطلحات موضوعية: 國防支出, 經濟成長, 國防支出佔中央政府支出比率, 單根檢定, 共整合檢定, Granger因果關係檢定, Defense expenditure, Economic growth, Unit root test, Cointegration test, Granger causality test

وصف الملف: 419 bytes; text/html

Relation: 主計季刊 51:2=329 2010.07[民99.07] 頁12-24; http://ir.lib.pccu.edu.tw//handle/987654321/37337; http://ir.lib.pccu.edu.tw/bitstream/987654321/37337/2/index.html

الاتاحة: http://ir.lib.pccu.edu.tw//handle/987654321/37337
http://ir.lib.pccu.edu.tw/bitstream/987654321/37337/2/index.html

المؤلفون: 楊智欽, Yang, Chih-Chin

المساهمون: 財務金融研究所碩士在職專班, 林軒竹, Lin, Hsuan-Chu

مصطلحات موضوعية: 金價, 銅價, 道瓊工業平均指數, 工業生產指數, 單根檢定, Granger 因果關係檢定, Johansen 共整合檢定, Gold Price, Copper price, Dow Jones Industrial Average Index, Industrial Production Index, Unit Root Test, Johansen Co-integration test, Granger Causality Test, museo, hisphilso

Relation: http://ir.lib.ncku.edu.tw/handle/987654321/205885

الاتاحة: http://ir.lib.ncku.edu.tw/handle/987654321/205885

المؤلفون: 周清宥, Chou, Qing-You

المساهمون: 徐士勛, Hsu, Shih-Hsun

مصطلحات موضوعية: 匯率, 黃金期貨價格, 頻域因果關係檢定, Granger因果關係檢定

وصف الملف: 1467378 bytes; application/pdf

Relation: [1] Breitung, J., and B. Candelon(2006).“Testing for Short and Long Run Causality:A FrequencyDomain Approach. Journal of Econometrics, 132(2),363-378.\n[2] Bhunia, A., and Pakira, S., (2014).“Investing the impact of gold price and exchange rates on sensex:An evidence of India.”European Journal of Accounting,Finance of Business, 2(1), 1-11.\n[3] Dickey, D.A. and W.A. Fuller (1981). “Likelihood ratio statistics for autoregressive time series with a unit root.”Econometrica, 49,1057–1072.\n[4] Geweke, J., (1982). “Measurement of linear dependence and feedback between multiple time series.” Journal of the American Statistical Association, 77, 304–313.\n[5] Granger,C.W.J (1969).“Investigating casual relations by econometric models and cross spectral methods. Econometrica, 37,424–438.\n[6] Hosoya, Y., (1991).“The decomposition and measurement of the interdependency between secondorder\nstationary processes.”Probability Theory Relat Fields, 88, pp. 429-444.\n[7] Hosoya, Y., (2001).“Elimination of third‐series effect and defining partial measures of causality.”Journal of time series analysis, 22(5),537-554.\n[8] Le, T.H., and Chang, Y.,(2013).“Dynamic Relationships between the Price of Oil, Gold and Financial Variables in Japan: A Bounds Testing\nApproach.”Online at http://mpra.ub.unimuenchen.\nde/33030/ MPRA , Paper No. 33030.\n[9] Nelson, C. R., and Plosser, C. R.,(1982). “Trends and random walks in macroeconmic time series: some evidence and implications.”Journal of monetary economics, 10(2), 139-162.\n[10] Schaling,E., Ndlovu,X., and Alagidede,P.,(2014).“Modelling the rand and commodity prices: A Ganger causality and cointegration analysis.” Sajems Ns ,17,No 5:673–690.\n[11] Yao, F., and Hosoya, Y., (2000). “Inference on one way effect and evidence in japanese macroeconomic data.”Journal of Econometrics, 98, 225–255.; G0107258028; https://nccur.lib.nccu.edu.tw//handle/140.119/131183; https://nccur.lib.nccu.edu.tw/bitstream/140.119/131183/1/802801.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/131183
https://doi.org/10.6814/NCCU202000699
https://nccur.lib.nccu.edu.tw/bitstream/140.119/131183/1/802801.pdf

المؤلفون: 王羿婷, Wang, Yi-Ting

المساهمون: 徐士勛, Hsu, Shih-Hsun

مصطلحات موضوعية: 股市報酬, 頻域因果關係, Granger因果關係檢定

وصف الملف: 929686 bytes; application/pdf

Relation: [1] 姜文怡 (2000)，「股票報酬預測產出之不對稱性效果」，碩士論文， 淡江大學，財務金融研究所。\n[2] 董澍琦，楊聲勇與藍淑鳳 (2005)，「股票報酬與經濟成長–亞太新興 國家之實證研究」，東海管理評論，7，285–304。\n[3] Breitung, J. and B. Candelon (2006), “Testing for short- and long- run causality: a frequency-domain approach,”Journal of Economet- rics, 132, 363–378.\n[4] Dickey, D.A. and W.A. Fuller (1981), “Likelihood ratio statistics for autoregressive time series with a unit root,”Econometrica: journal of the Econometric Society, 49,1057–1072.\n[5] Dufour,J.M.andE.Renault(1998),“ShortRunandLongRunCausal- ity in Time Series:Theory,”Econometrica, 66, 1099–1125.\n[6] Fama, E. F.(1990), “Stock returns, expected returns, and real activ- ity,”The Journal of Finance, 45, 1089-1108.\n[7] Geweke, J. (1982), “Measurement of linear dependence and feedback between multiple time series,” Journal of the American Statistical As- sociation, 77, 304–313.\n[8] Granger, C.W.J. (1969), “Investigating causal relations by economet- ric models and cross-spectral methods,”Econometrica: journal of the Econometric Society, 37, 424–438.\n[9] Hosoya, Y. (1991), “The decomposition and measurement of the in- terdependence between second-order stationary process,”Probability Theory and Related Fields, 88, 429–444.\n[10] Hou, H. and S.Y. Cheng (2010), “The roles of stock market in the finance-growth nexus: time series cointegration and causality evi- dence from Taiwan,”Applied Financial Economics, 20, 975-981.\n[11] Huang, B.N. and C.W. Yang (2004), “Industrial Output and Stock Price Revisited: An Application of the Multivariate Indirect Causal- ity Model,”The Manchester School, 72, 347-362.\n[12] Ibrahim, H.M. (1999), “Macroeconomic variables and stock prices in Malaysia: an empirical analysis,”Asian Economic Journal, 13, 219– 231.\n[13] Kaplan, M. (2008), “The impact of stock market on real economic ac- tivity: evidence from Turkey,”Journal of Applied Sciences, 8, 374– 378.\n[14] Pearce, D.K. (1983), “Stock prices and the economy,” Federal reserve bank of Kansas city economic review, 68, 7–22.\n[15] Singh, D. (2010), “Causal relationship between macro-economic vari- ables and stock market: A case study for India,”Pakistan Journal of Social Sciences, 30, 263–274.\n[16] Thach, N.N., L.H. Anh and H.T.N. Phuong (2019), “Frequency Do- main Causality Analysis of Stock Market and Economic Activites in Vietnam,” In: Kreinovich V., Sriboonchitta S. (eds) Structural Changes and their Econometric Modeling. TES 2019. Studies in Com- putational Intelligence, 808. Springer, Cham\n[17] Tiwari, A. K., M. I. Mutascu, C. T. Albulescu and P. Kyophilavong (2015), “Frequency domain causality analysis of stock market and eco- nomic activity in India,”International Review of Economics and Fi- nance, 39, 224 - 238.; G0107258022; https://nccur.lib.nccu.edu.tw//handle/140.119/131181; https://nccur.lib.nccu.edu.tw/bitstream/140.119/131181/1/802201.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/131181
https://doi.org/10.6814/NCCU202000664
https://nccur.lib.nccu.edu.tw/bitstream/140.119/131181/1/802201.pdf

المؤلفون: 胡芳瑜, Hu, Fang-Yu

المساهمون: 陳聖賢

مصطلحات موضوعية: 總體經濟指標, 美國十年公債殖利率, 向量自我回歸模型, Granger因果關係檢定, 衝擊反應函數, macroeconomic determinants, ten-year US government bond yields, vector autoregressions model, granger causality test, impulse response function

وصف الملف: 2350317 bytes; application/pdf

Relation: Afonso, António, Michael G. Arghyrou, and Alexandros Kontonikas 2015, The determinants of sovereign bond yield spreads in the EMU, ECB Working Paper No. 1781\nAhmad, Norliza, Joriah Muhammad and Tajul Ariffin Masron, 2009, Factor Influencing yield spreads of the Malaysians Bonds, Asian Academy of Management Journal Vol 14 (2), 95–114\nAkaike, H., 1974, A new look at the statistical model identification, Automatic Control IEEE Transations on Vol 19 (6), 716–723\nAkram, Tanweer and Anupam Das, 2014, Understanding the low yields of the long-term Japanese sovereign, Journal of Economic Issues Vol 48 (2), 331–340\nAng, Andrew and Monika Piazzesi, 2003, A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables, Journal of Monetary Economics Vol 50 (4), 745–787\nBaek, In-Mee, Arindam Bandopadhyaya, and Chan Du 2005, Determinants of market-assessed sovereign risk: Economic fundamentals or market risk appetite ?, Journal of International Money and Finance Vol 24, 533–548\nBollerslev, Tim, Jun Cai, and Frank M. Song, 2000, Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market, Journal of Empirical Financial Vol 7, 37–55.\nChee, Soh Wei and Cheng Fan Fah, 2013, Macro-economic Determinants of UK Treasury Bonds Spread, International Journal of Arts and Commerce Vol 2 (1), 163-172\nDiebold, Francis X., Glenn D. Rudebusch, and S. Boragan Aruoba, 2004, The macroeconomy and yield curve: A dynamic latent factor approach, Journal of Econometrics Vol 131 (7), 309-338\nEngle, Robert F. and C. W. J. Granger, 1987, Co-integration and error correction: representation, estimation, and testing, Econometric: Journal of the Econometric Society 251–276\nEvans, Charles L. and David Marshall, 2001, Economic determinants of the nominal Treasury Yield Curve, Journal of Monetary Economics Vol 54 (7), 1986-2003\nGagnon, Joseph E., 2005, Currency crashes and bond yields in Industrial Countries, Board of Governors of the Federal Reserve System, International Finance Discussion Paper No.837\nGoldberg, Linda and Deborah Leonard, 2003, What moves sovereign bond markets? The effects of economic news on U.S. and German yields, Current Issues in Economics and Finance,Federal Reserve Bank of New York Vol 9 (9), 1–7\nGoldberg, Linda S. and Deborah Leonard, 2005, What moves sovereign bond market ? The effects of economic news on U.S. and German yields, Current Issues in Economics and Finance Vol.9, No.9\nHilscher, Jens and Yves Nosbusch, 2010, Determinants of sovereign risk- macroeconomic fundamentals and the pricing of sovereign debt, Review of Finance Vol 14 (2), 235–262\nJohansen, S., 1988, Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control Vol 12 (2–3), 231–254\nLuo, Frank and Srikant Dash, 2011, VIX futures and the hedging of bond portfolios, S&P Indices Index Research and Design\nPoghosyan, Tigran, 2012, Long-run and short-run determinants of sovereign bond yields in advanced economies, International Monetary Fund (IMF)\nSaid, Said E. and David A. Dickey, 1984, Testing for unit roots in autoregressive-moving average models of unknown order, Biometrika, Vol 71 (3), 599–607\nSaid, Said E. and David A. Dickey, 1984, Testing for unit roots in autoregressive-moving average models of unknown order, Biometrika Vol 71 (3) 599–607\nSchwarz, Gideon, 1978, Estimating the dimension of a model, The annuals of statistics Vol 6 (2), 461–464\nSims, Christopher A., 1980, Macroeconomics and reality, Econometrica Vol 48 (1) 1–48; G0107357002; https://nccur.lib.nccu.edu.tw//handle/140.119/130965; https://nccur.lib.nccu.edu.tw/bitstream/140.119/130965/1/700201.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/130965
https://doi.org/10.6814/NCCU202000711
https://nccur.lib.nccu.edu.tw/bitstream/140.119/130965/1/700201.pdf

المؤلفون: 駱俊頴, Lo, Chun-Ying

المساهمون: 張眾卓 教授, 管理學院:兩岸高階主管經營管理境外碩士在職學位學程

مصطلحات موضوعية: 新冠肺炎, 股票績效, Granger因果關係檢定, 變異數分解, COVID-19, Stock Performance, Granger Causality Test, Variance Decomposition

وصف الملف: 130 bytes; text/html

Relation: http://ir.ncnu.edu.tw:8080/handle/310010000/15452; http://ir.ncnu.edu.tw:8080/bitstream/310010000/15452/1/index.html

الاتاحة: http://ir.ncnu.edu.tw:8080/handle/310010000/15452
http://ir.ncnu.edu.tw:8080/bitstream/310010000/15452/1/index.html

المؤلفون: 李易勳, Li, Yi-Hsun

المساهمون: 賴慧文, Lai , Whuei - Wen

مصطلحات موضوعية: 市場報酬率, 基金流量, 向量自我迴歸模型, Granger因果關係檢定, 衝擊反應函數分析, market return, equity fund flow, VAR model, Granger causality test, impulse-response function, eco, scipo

Relation: http://rportal.lib.ntnu.edu.tw:80/handle/20.500.12235/94612

الاتاحة: http://rportal.lib.ntnu.edu.tw:80/handle/20.500.12235/94612
https://hdl.handle.net/20.500.12235/94612

المؤلفون: 陳科全, Chen, Ke-Chuan

المساهمون: 徐士勛, Shiu, Shr-Shiun

مصطلحات موضوعية: 股市報酬, 公債利差, 因果拆解法, 經驗模態分解法, Granger 因果關係檢定法

وصف الملف: 3293864 bytes; application/pdf

Relation: G1062580372; http://nccur.lib.nccu.edu.tw//handle/140.119/124215; http://nccur.lib.nccu.edu.tw/bitstream/140.119/124215/1/037201.pdf

الاتاحة: http://nccur.lib.nccu.edu.tw//handle/140.119/124215
https://doi.org/10.6814/NCCU201900048
http://nccur.lib.nccu.edu.tw/bitstream/140.119/124215/1/037201.pdf

المؤلفون: 洪詩婷, Hung, Shih-Ting

المساهمون: 鄭宇庭, Cheng, Yu-Ting

مصطلحات موضوعية: 比特幣, 單根檢定, 共整合檢定, Granger因果關係檢定, Bitcoin, Unit test, Co-integration test, Granger causality test, eco, manag

Relation: http://nccur.lib.nccu.edu.tw/bitstream/140.119/118315/1/308001.pdf; http://nccur.lib.nccu.edu.tw//handle/140.119/118315

الاتاحة: http://nccur.lib.nccu.edu.tw/bitstream/140.119/118315/1/308001.pdf
http://nccur.lib.nccu.edu.tw//handle/140.119/118315

المؤلفون: 陳昀君, Chen, Yun-Chun

المساهمون: 洪福聲, Hung, Fu-Sheng

مصطلحات موضوعية: ADF單根檢定, 共整合檢定, Granger因果關係檢定, ADF unit root test, Cointegration test, Granger causality test, eco, envir

Relation: http://nccur.lib.nccu.edu.tw//handle/140.119/119100

الاتاحة: http://nccur.lib.nccu.edu.tw//handle/140.119/119100

المؤلفون: 林嘉華, Lin, Chia-Hua

المساهمون: 林祖嘉

مصطلحات موضوعية: 國際油價, 股價, 線性 VAR 模型, 線性 VAR Granger 因果關係檢定, 衝擊反應函數分析, 預測誤差變異數分解, 非線性 TAR 模型

Relation: G1052580293; http://nccur.lib.nccu.edu.tw//handle/140.119/119596

الاتاحة: http://nccur.lib.nccu.edu.tw//handle/140.119/119596