Bounds Testing Approach to the Ezchange Rate Overshooting in Taiwan
We employ the newly developed ARDL-ECM-MAIC bounds test(Pesa-ran ,Shin and Smith ,2001 )testing for the exchange rate overshooting phenomenon in Tai-wan over 1986:01～2003:04. The ARDL approach is appropriate to test for the dynamicmodeling irrespective of whether the variables are I(0) or I(1). We find the evidencethat there do not exist a short- run overshooting phenomenon, which implies that no abnormal fluctuation of exchange rate in the presence of speculative bubble occurs duringthe sample period considered in Taiwan. The empirical finding also provides the evidence for no existence of a long - run relationship between exchange rate and macroeco-nomic variables( money supply, industrial production, interest rate, and inflation rate),which objects the Dornbusch”s (1976) stick price model of monetary approach to exchange rate determination.
ARDL bound test overshooting Ezchange Rate
Yu-Shan Wang Chien-Chung Nieh
Department of Internatianal Trade, Msing Wu College of Technology;Ph.D.Candidate,Departmant of Banki Depantment of Banking and Finance,Tamkang University
国内会议
武汉
英文
455-476
2004-06-28（万方平台首次上网日期，不代表论文的发表时间）