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    ASIA unversity > 管理學院 > 財務金融學系 > 會議論文 >  Item 310904400/63677


    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/63677


    Title: Is the current account present value model incorporated world interest rate valid? Evidence from Taiwan based on shocks perspective
    Authors: 郭貞吟
    Contributors: 東方技術學院行銷與流通管理
    Keywords: World interest rate, Current account, Structure vector autoregression (SVAR), Global shock, Country-specific shock
    Date: 2010
    Issue Date: 2013-08-07 09:25:14 (UTC+8)
    Publisher: 東方技術學院行銷與流通管理
    Abstract: We propose an empirical SVAR framework from shocks perspective to examine the validity of
    present value model of current account incorporated world interest rate (second PVMCA). This
    approach is more useful than previous studies using VAR cross equation test because of its
    identifying shocks in variables with Blanchard and Quah’s (1989) method which can help to
    verify variables’ capability to explain current account in short and long run. Through
    considering shocks characters in data unlike Kano (2008), three sets of Taiwan’s data are used.
    We find that in support of the predictions of intertemporal current account approach, country
    transitory shock has significant effect on current account while the effects of global and country
    permanent shocks are insignificant. In particular, country transitory shock with significant effect
    on current account is secondary source of output variation, which provides solution for Kano
    (2008)’s puzzle. We verify that world interest rate and output can explain Taiwan’s current
    account variation, which provides evidence for the validity of second PVMCA.
    Relation: 2010中部學術財金研討會 論文發表
    Appears in Collections:[財務金融學系] 會議論文

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