Title :
Do the Hong Kong Dollar and New Taiwan Dollar affect each other? An application of the threshold regression model
Author :
Mo, Wan-Shin ; Chang, Chia-Jen ; Silu, Zhang
Author_Institution :
Dept. of Finance, Chung Yuan Christian Univ., Chungli, Taiwan
Abstract :
A Bayesian econometric approach and threshold variables have been employed in this study to investigate the linear and nonlinear relationship between the Hong Kong Dollar and New Taiwan Dollar over the sample period August 1997-July 2006. Evidence indicates that both commodities bring about no positive effects on each other, thus a more conservative policy may be implemented by the Central Bank policymakers of Hong Kong and Taiwan.
Keywords :
Bayes methods; econometrics; regression analysis; Bayesian econometric approach; Central Bank policymakers; Hong Kong dollar; new Taiwan dollar; threshold regression model; threshold variables; Bayesian methods; Econometrics; Equations; Exchange rates; Fluctuations; Mathematical model; Hong Kong Dollar; New Taiwan Dollar; Threshold Regression Model;
Conference_Titel :
Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC), 2011 2nd International Conference on
Conference_Location :
Deng Leng
Print_ISBN :
978-1-4577-0535-9
DOI :
10.1109/AIMSEC.2011.6010999
