An Empirical Study of Exchange Rate

• Main Authors: HSIAO CHIUFENG, 蕭秋鳳
• Other Authors: Dr.Mei-Se,Chien
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/12894209055051553878

碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 96 === ABSTRACT The aim of this study is to investigate the relationship between exchange rate and macroeconomic variables in U.S., Eurpean Union and Taiwan. Cointegration analysis is adopted to test the long-run relationships among economic variables. Empirical findings show that the expansion of industrial output brings about a decrease in exchange rate, while a growing domestic money supply causes exchange rate to increase, and the impact of interest rate on exchange rate is uncertain. To employ VECM, the empirical evidence illustrates that causalities between exchange rate and macroeconomic variables are different across different economic systems. Key word: Exchange Rate, Unit Root Test, Cointegration, Error Correction Model