The Impact of Change in Exchange Rate of New Taiwanese Dollar to the R.M.B. Dollar and the U.S. Dollar on Taiwan''s Exports
碩士 === 朝陽科技大學 === 財務金融系碩士班 === 96 === This study investigated the impact of the fluctuation in both ratios of the U.S. dollar and the R.M.B. dollar to New Taiwanese dollar on Taiwan''s export trade. We employed GARCH model, TGARCH model and EGARCH model to estimate the fluctuation in forei...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/93900020983105719290 |
| Summary: | 碩士 === 朝陽科技大學 === 財務金融系碩士班 === 96 === This study investigated the impact of the fluctuation in both ratios of the U.S. dollar and the R.M.B. dollar to New Taiwanese dollar on Taiwan''s export trade. We employed GARCH model, TGARCH model and EGARCH model to estimate the fluctuation in foreign exchange rate and then plug those into the export equation. The possibility of leverage effect would be taken into account. The empirical results show that by employing EGARCH (1,1) as a model of the estimated fluctuations in exchange rate, we could capture the presence of leverage effect. The results also show that the Taiwanese export to the United States and China would increase as fluctuation in exchange rate rises.
|
|---|