| Summary: | 碩士 === 國立中正大學 === 國際經濟研究所 === 91 === Abstract
At first the study is based on the monetary approach to exchange rates to review the relevant literatures. Then we exercise the theoretical inferences of the static and dynamic monetary approaches to exchange rates. We also introduce the econometric methods, which include unit root tests, Johansen’s cointegration test, and the vector error correction model.
In empirical investigation, using the quarterly data, the empirical results of the study support the hypotheses of cointegration between NT dollar-US dollar rates and market fundamentals implied according to the static and dynamic monetary approaches.
For forecasting performance of exchange rates, the vector error correction model of the static monetary approach is superior to the random walk with drift model for the forecasting periods of 1 and 2 quarters ahead. When the forecasting period is 4 quarters ahead, the random walk with drift model outperforms the vector error correction model for forecasting performance of exchange rates.
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