Empirical research of the exchange rate overshooting model on foreign exchange market of Taiwan

• Main Authors: SHIH,CHIH-CHANG, 施志昌
• Other Authors: WANG,CHUAN-CHIN
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/85509729082954739798

碩士 === 國立臺北大學 === 合作經濟學系 === 94 === Under globalization and liberalization trend, it impact on exchange rate that the capital flow change has already been far greater than the trade flow, explain the volatility of exchange rate in the short term, must consider that the capital movement variables, this research mainly to confer connection between the capital movement variables and the volatility of exchange rate, and whether foreign exchange market of Taiwan has situation of the exchange rate overshooting or not. This research adopts the Frenkel and Rodriguez(1982) that the model of imperfect capital mobility, and adopting MacDonald(1995) that the balance of international payments analytic, be the theories model of this research, taking small open economy (Taiwan) as a research object, not only consider of capital movement variables, but also add expectation factor to the empirical analysis. According to the empirical evidence explains the relationship between capital movement variables and the volatility of exchange rate. The research approach uses Johansen cointegration test to test if exchange rate and variables exit long-run equilibrium relation, and use error correction model to discuss short-run dynamic adjust processes of these variables, to look for the real causes of the exchange rate overshooting on the foreign exchange market, also analyzed the influence of central bank's intervention policies in the short term. Empirical results are found that First, capital movement variables have obvious influence on the volatility of exchange rate in the short term, and there are two cointegrated relationships in these five variables. Second, a situation of the exchange rate overshooting on foreign exchange market of Taiwan has not obvious in the long term. Third, as the financial deregulation the function that central bank has more and more obvious to stabilize the foreign exchange market, in other words appear the characteristic of the managed floating exchange rate system.