Regime-switching analysis for the impacts of exchange rate volatility on corporate values: a Taiwanese case

Chien-Chung Nieh, Jeng-Bau Lin and Yu-Shan Wang

Applied Economics, 2008, vol. 40, issue 4, 491-504

Abstract: A second-moment, regime-switching model with not only a switching intercept and a switching slope, but also a switching error variance, is applied to examine the impacts of exchange rate volatility (ERV) on corporate values (CV) for the 10 industries investigated in Taiwan. Two different regimes categorized as strong-impact and weak-impact are identified. The dominant power varies from one industry to another. The Wald statistics for the null of equality are ambiguous, which show that if the Markov-switching (MS) model is plausible, then the ERV might not be one major factor, but another factor that could switch the CV of Taiwan's industries. For the model's volatility influence, the data of 8 out of 10 industries are shown to fit a two-state model when the volatility is stimulated. A two-state, first-order MS model is appropriate for the 'goodness of fit' analysis at the 10% significant level.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/00036840600690066 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:40:y:2008:i:4:p:491-504

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036840600690066

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().