本篇論文檢驗聯準會模型在六個亞洲市場：中國大陸、印度、馬來西亞、新加坡、台灣和泰國是否成立。我們首先檢驗共整合檢定來觀察變數之間長期的關係；另外，針對線性的指標模型，我們則檢測其是否具有非線性的門檻自回歸情形。實證結果顯示，於共整合檢定下，六個國家的股票價格、股票報酬和十年期債券殖利率具有長期共整合關係；而在非線性的TAR模型配適下，其解釋能力優於線性的AR模型。 / This paper studies the Fed Model in six Asia countries, China, India, Malaysia, Singapore, Taiwan, and Thailand. We examine the cointegraiton test for the long-run relationship and build a nonlinear threshold autoregressive model (TAR) between the long -term government bond yield, the stock index and the earning s index. Our empirical results show that such a long-run relationship indeed exists for those countries. In addition, the explanatory power of TAR model is better than linear AR model.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0099351008 |
| Creators | 潘彥君 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 英文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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