| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士班 === 95 === In recent years, because of two oil crises and subsequent increases in oil prices, discussions have arisen on the relationship between crude oil prices and exchange rates. This paper attempts to explain the relationships between the exchange rate of the NT dollars to US dollars and oil price changes from 2004/1/1 to 2006/12/31 by using different kinds of time series models. According to Granger causality test of the VAR model, the change of oil price granger causes exchange rate. However, from the results of Impulse Response and the Forecast Error Variance Decomposition, the relationship between the oil price changes and exchange rate is negative, and the reliability of oil price changes to account for variation in exchange rates is not strong. Therefore, this paper uses GARCH models to solve the problem of heteroskedasticity. It applies the Markov model to separate the oil price from high changes and low changes. And it applies the method of Mork (1989) to separate the oil price from increasing status and decreasing status in order to consider how the different status of oil price may offset the relationship between the oil price changes and exchange rates and to reexamine the relation between the oil price changes and exchange rates. The evidence shows that the oil price changes affect exchange rates asymmetrically. Moreover, the status of increasing and decreasing oil price in the high and low changes will offset its relationship with exchange rate. Moreover, the paper finds that the reason the high changes with increasing status of oil price does not affect the exchange rate might relate to the terms of trade.
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