IDEAS home Printed from
   My bibliography  Save this article

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


  • Chien-Chung Nieh
  • Jeng-Bau Lin
  • Yu-Shan Wang


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.

Suggested Citation

  • Chien-Chung Nieh & Jeng-Bau Lin & Yu-Shan Wang, 2008. "Regime-switching analysis for the impacts of exchange rate volatility on corporate values: a Taiwanese case," Applied Economics, Taylor & Francis Journals, vol. 40(4), pages 491-504.
  • Handle: RePEc:taf:applec:v:40:y:2008:i:4:p:491-504
    DOI: 10.1080/00036840600690066

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:40:y:2008:i:4:p:491-504. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.