Information Contents of Four Effective Exchange Rate Indexes

• Main Authors: Chao-Yang Chin, 秦肇陽
• Other Authors: Dr.Chao-Nan Chia
• Format: Others
• Language: zh-TW
• Published: 1993
• Online Access: http://ndltd.ncl.edu.tw/handle/98086342047860254138

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.