| Summary: | 碩士 === 清雲科技大學 === 企業管理系暨經營管理研究所 === 97 === Abstract
After Taiwan and China gave up the exchange rate system fixed to US dollars,both countries’ economy performances affect the currency get the pressure ofappreciation. The economic backgrounds of both countries appear to be very similarin many ways, but one difference is that Taiwan’s economic dependence on foreigntrade and mainland China’s domestic market is much larger.
In this article, we use Granger’s Causality test to find economic factors whichmay explain the rise in the New Taiwan dollar and in the Renminbi value relative to
the US dollar, then examine the forecasting performance of using Bayesian vectorautoregressive (BVAR) forecasts to compare with autoregressive (AR) and vectorautoregressive (VAR) models by using six criterions.
The result shows, there are two candidates (stock price index and interest rate)for the NT dollar exchange rate and three candidates (leading economic index,consumer price index and interest rate) for the Renminbi exchange rate were found tobe informative. And the BVAR model can out-forecast the VAR and AR models withrelated economic indicators which can provide useful information for exchange
markets. By the end of the estimated period, 2009/03, we can boldly forecast that theRenminbi exchange rate with the US dollar will be 6.23895:1.
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