Information Contents of Four Effective Exchange Rate Indexes
碩士 === 淡江大學 === 金融研究所 === 81 === This study empirically examines the information indexes contents of the four effective exchange rate compelled and published seperately and independently by the Economic Daily News and the Commerical Time. The approach ado...
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
1993
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| Online Access: | http://ndltd.ncl.edu.tw/handle/98086342047860254138 |
| Summary: | 碩士 === 淡江大學 === 金融研究所 === 81 === This study empirically examines the information indexes
contents of the four effective exchange rate compelled and
published seperately and independently by the Economic Daily
News and the Commerical Time. The approach adopted in this
study is to apply empirical models based on the monetary
approach of exchange rates determination as foundation.By
adding the effective exchange rate index as an explanatory
variable to these models when empircal estimations are executed.
Final results are obtained by looking into the following three
criteria: (1) The explanatory power of the index to the actual
exchange rate movements. (2) The improvements of the index to
the model''s theoretical implications. (3) The lags in the
effects of the changes in effective exchange rate index to the
changes in actual exchange rate movements. Empirical results
are: (1) All four indexes do add explanatory power to the
models specified. (2) Both the export weighted index compelled
by the Economic Daily News and the two indexes compelled by
the Commercial Time can improve the performance of the monetary
approach explaining the movements of actual exchange rate. (3)
The export weighted index compelled by the Eco- nomic Daily
News out performs the other three indexes in respect to
criterion 3 that an one-month lag index is required to explain
the movements of the actual exchange rate.
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