English  |  正體中文  |  简体中文  |  Items with full text/Total items : 2737/2828
Visitors : 276470      Online Users : 19
RC Version 4.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Adv. Search
LoginUploadHelpAboutAdminister

Please use this identifier to cite or link to this item: http://ir.lib.stu.edu.tw:80/ir/handle/310903100/615

Title: 資產組合平衡分析法匯率預測模式之建立與應用
Construction and application of exchange rate forecasting models using the portfolio balance approach
Authors: 梁嘉倫
Chia-Lun Liang
Contributors: 陳麗惠
Li-Hui Chen
經營管理研究所
Keywords: 匯率;資產組合平衡分析法;灰預測GM(1;1);灰馬可夫模式;匯率預測
Exchange Rate;Portfolio Balance Approach;Grey Forecasting GM(1;1);Grey Markov Forecasting Model;Exchange Rate Forecasting
Date: 2003
Issue Date: 2011-05-23 13:44:56 (UTC+8)
Publisher: 高雄市:[樹德科技大學經營管理研究所]
Abstract: 摘 要
台灣地區國際經濟貿易活動頻繁,匯率在國外資產價值評估上扮演著關鍵性角色,匯率水準波動會影響進出口商利潤報酬,進而干擾其產銷決策與營運結構,加入世界貿易組織後,台灣面臨更嚴苛之國際競爭;國際金融體系之變革亦衝擊匯率水準,進而影響企業獲利力,因此如何掌握匯率變動及趨勢則為外匯管理之要務。本文鑒於匯率之不穩定性,在資產組合平衡分析法之理論架構下,運用灰預測GM(1,1)模式與灰馬可夫預測模式分別構建灰預測匯率預測模式與灰馬可夫匯率預測模式,並選擇台灣地區之匯率資料,驗證匯率預測模式之可應用性,獲得以下主要研究結果:
(一)本文所構建之灰預測匯率預測模式與灰馬可夫匯率預測模式,可作為匯率預測方法上之另一選擇。
(二)本文所構建之灰預測匯率預測模式與灰馬可夫匯率預測模式,此二種新的匯率預測模式,選擇台灣地區之匯率資料進行實證研究,得知此二種新的匯率預測模式,能有效預測匯率且具高精確度。
(三)本文以非線性結構之灰預測GM(1,1)模式與灰馬可夫預測模式構建匯率預測模式,實證研究得知在非線性結構中仍能正確建模並能有效作匯率預測。
(四)本文所構建之灰預測匯率預測模式與灰馬可夫匯率預測模式,與以匯率數值估計為基礎之灰預測GM(1,1)模式與馬可夫預測模式之預測精確度作比較,得知以灰馬可夫匯率預測模式之預測能力較佳。
本文之研究結果可作為外匯市場參與者進行匯率預測之參考。
Abstract
Taiwan is heavily involved in international trade. Exchange rate is a key influence on the valuation of foreign assets. Exchange rate fluctuations can influence the returns achieved by trading firms, and thus influence their production-marketing decisions and operation structure. Following World Trade Organization entry, Taiwan faces much more intensified international competition. Notably, innovations in the international financial hierarchy also impact exchange rate stability and business profitability. Consequently, managing exchange rate fluctuations and trends is important for foreign exchange managers. Owing to exchange rate instability, this investigation used the theoretical structure of the Portfolio Balance Approach to apply the Grey Forecasting GM (1,1) and Grey Markov Forecasting models to develop new exchange rate forecasting models. Taiwanese exchange rate data was then selected to demonstrate the application of the new exchange forecasting models. The main analytical result is that the new exchange rate forecasting models can be used to make accurate and efficient exchange rate forecasts than the Markov Forecasting model and Grey forecasting Model that based on exchange rate numerical values. The findings presented here can provide a valuable reference for participants in foreign exchange markets when predicting exchange rate movements.
Appears in Collections:[經營管理研究所] 博碩士論文

Files in This Item:

File Description SizeFormat
資產組合平衡分析法匯率預測模式之建立與應用__臺灣博碩士論文知識加值系統.htm國圖130KbHTML746View/Open


All items in STUAIR are protected by copyright, with all rights reserved.

 


無標題文件

著作權政策宣告:

1.

本網站之數位內容為樹德科技大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
 
2. 本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本校護人員(clairhsu@stu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
 
DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback