EXCHANGE RATE DETERMINATION RELATIONSHIP BETWEEN EXCHANGE RATE , INTEREST RATE AND TRADE DEFICIT (Evidences from Sri Lanka)
- 발행기관 아주대학교
- 발행년도 2009
- 제출일 2009-4-24
- 학위수여년월 2009. 8
- 학위명 석사
- 학과 국제대학원 국제통상학과
- 실제URI http://www.dcollection.net/handler/ajou/000000009999
- 본문언어 영어
- 저작권 아주대학교 논문은 저작권에 의해 보호받습니다.
목차
Contents
I. Introduction ?????.???????..1 - 2
II. Critical review of previous research ????????????...3 - 7
III. Methodology ????????????...8 -10
3.1 Stationary tests ..????????????.10- 11
3.2 Unit root test ????????????...11 -12
3.2.1 ADF test ?????????..???.12- 13
3.2.2 Phillips-Perron test ????????..????.13- 14
3.2.3The Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) ..14- 15
3.3 Lag selection ????..????????.15
3.3.1Akaike information criterion ??????..????.16? 17
3.3.2 Bayesian information criterion(BIC) ???????...17
3.3.3 Akaike's Final Prediction Error (FPE)???????..18
3.3.4 Hannan-Quinn information criterion (HQC) ????18-19
3.4 Cointegration test ??..???.???????.19
3.5 Granger causality test ?????????????20-21
3.6 Vector Error Correction Model (VECM) ????..????..22-23
VI. Empirical Results ?????????????23
4.1 Empirical results of Unit root test ??.??????????.24- 25
4.2 Empirical Results of Cointegration test ..????..?????26
4.3 Empirical Study of Vector Error Correction model ??.???..27
4.4 Empirical Study of Granger causality test ?????..??. ..27-30
V. Conclusion ?????????????.31
Bibliography