| Summary: | 碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 97 === The advent of the global village has lead the foreign exchange market towards internationalization and globalization, and therefore, there exists a high degree of interaction and integration among international financial markets. Single currency can no longer be completely isolated from other countries or exchange-rate fluctuation. This study, by using E-Veiw tool, analyzes the correlation between New Taiwanese Dollar and exchange-rate fluctuation of Asian currencies, to provide currency risk-aversion reference for multi-national corporations and investors.
This study takes daily closing price for the exchange rates of New Taiwanese Dollar (NTD), Japanese Yen, RMB and Korean Won against U.S. Dollar as samples. There are a total of 1,190 pieces of samples in a sampling period from 2004/1/1 to 2008/12/31. This study uses daily data on the exchange-rate of these four currencies against U.S. Dollar, to discuss questions such as followings: whether there exist causal relationships between exchange-rate fluctuations? If so, what kind of causal relationship exists? What relationship demonstrates stronger self-explanation under mutual impacts? Or which currency demonstrates higher degree of explanation by fluctuation in other currency exchange-rate?
Results found through empirical research are as follows:
1. Granger causal relationship test of NTD and major Asian currencies rates of exchange rate movements only has one-way relationship and relationship with Japanese Yen currency exchange-rate; there are two-way causal relationship between NTD-Won currency exchange-rate and Yen-Won currency exchange-rate; there does not exist any relationship between Yen-RMB currency exchange-rate or RMB-Won currency exchange-rate.
2. Foreign exchange market’s impact response analysis on NTD and major Asian currencies
Three factors of Japanese Yen, RMB and NTD currency exchange-rates all demonstrates effectiveness and all show highest level of response on the day of data reception, gradually turn into zero and still demonstrate more profound self-impact than other factors. In the aspect of the fluctuation rate in Korean Won currency exchange rate also demonstrates highest response, but does not gradually become zero, which does not represent full-effectiveness. In long-term accumulated effects, impact response of NTD demonstrates positive accumulated response towards itself, Japanese Yen and RMB. Impact response of Japanese Yen demonstrates positive accumulated response towards itself, NTD and RMB. Impact response of RMB demonstrates positive accumulated result towards itself and NTD. Impact response of Korean Won, besides demonstrating positive accumulated results, also demonstrates negative accumulated results towards other currency impacts.
3. The decomposition of predicted variables among New Taiwan Dollar and major Asian
currencies.For New Taiwan Dollar, Japanese Yen and RMB, the self-explained level for these three currencies are exceptionally high (all above 96%). This shows that the erogeneity of these three currencies is tremendously strong. As for the correlation and connection among variables, the explained percentage of the currency fluctuation in New Taiwan Dollar to South Korean Won reaches 23.61%. Therefore, it illustrates that New Taiwan Dollar has single direction effect to South Korean Won.
Key words: Panel Unit Root Test、Granger Causality Test、Vector Autoregression Model、
Impulse Response、Error Variance Decompositions
|
|---|
