by So Wai-man, Raymond. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1991. / Bibliography: leaves 294-302. / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.vi / LIST OF FIGURES --- p.xii / LIST OF APPENDICES --- p.xvi / ACKNOWLEDGEMENT --- p.xvii / CHAPTER / Chapter I. --- INTRODUCTION --- p.1 / Importance of Real Exchange Rate Movement --- p.1 / Concepts and Hypotheses --- p.2 / The Purchasing Power Parity (PPP) Doctrine --- p.2 / Real Exchange Rate --- p.6 / Long Run Economic Series --- p.9 / Conclusion --- p.10 / Chapter II. --- LITERATURE REVIEW --- p.11 / Introduction --- p.11 / Literatures In Purchasing Power Parity --- p.12 / Literatures In Real Exchange Rates --- p.18 / Conclusions --- p.23 / Chapter III. --- METHODOLOGY --- p.25 / Introduction --- p.25 / Construction of Real Exchange Rate --- p.25 / Economic Time Series & Stationarity --- p.29 / Box-Jenkins Models --- p.32 / Autoregressive (AR) Models --- p.33 / Moving Average (MA) Models --- p.34 / Autoregressive Moving Average (ARMA) Models --- p.35 / Autoregressive Integrated Moving Average (ARIMA) Models --- p.35 / Random Walk Hypothesis --- p.36 / Unit Root Tests --- p.37 / The Dickey-Fuller Test --- p.38 / The Augmented Dickey-Fuller Test --- p.39 / The Sims Test --- p.40 / Hypothesis --- p.42 / The Dickey-Fuller Test --- p.42 / The Augmented Dickey-Fuller Test --- p.42 / The Sims Test --- p.43 / Conclusions --- p.44 / Chapter IV. --- EMPIRICAL RESULTS --- p.45 / Description of Data and Movement of Real Exchange Rates --- p.45 / Tentative AR(1) Models for Real Exchange Rates --- p.48 / Original Series: Whole Period --- p.49 / Original Series: Fixed Rate Period --- p.49 / Original Series: Floating Rate Period --- p.50 / Logarithmic Series: Whole Period --- p.50 / Logarithmic Series: Fixed Rate Period --- p.51 / Logarithmic Series: Floating Rate Period --- p.51 / The Dickey-Fuller Test Statistics --- p.52 / The Augmented Dickey-Fuller Test Statistics --- p.56 / The Sims Test Statistics --- p.59 / Summary of Empirical Results --- p.62 / Chapter V. --- SUMMARY AND CONCLUSIONS --- p.64 / Highlights of the Findings of this Study --- p.64 / Policy Implications --- p.65 / Conclusions --- p.66 / Limitations --- p.67 / APPENDICES --- p.68 / BIBLIOGRAPHY --- p.294
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_318797 |
| Date | January 1991 |
| Contributors | So, Wai-man., Chinese University of Hong Kong Graduate School. Division of Business Administration. |
| Publisher | Chinese University of Hong Kong |
| Source Sets | The Chinese University of Hong Kong |
| Language | English |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, xvii, 302 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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