The Short Dynamic Relationship and Long Run Relationship of the Foreign Exchange Rate in United Kingdom and Japan.

• Main Authors: Yen-Ju Wu, 吳彥儒
• Other Authors: Chien-Chung Nieh
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/46757167977521606542

碩士 === 淡江大學 === 財務金融學系碩士班 === 97 === Recent research has increasingly suggested that exchange rates may be characterized by non-linear behaviors. This study investigates the asymmetric causal relationships between the spot exchange rate and the forward exchange rate in United Kingdom Sterling and Japan Yen using the daily data running from 2001 to 2008. The results from Granger-Causality tests based on corresponding threshold error-correction model clearly point out the following: In Japan, a unidirectional causality from the forward exchange rate market to the spot exchange rate market in the short run and a bidirectional causality running from the forward exchange rate market to the spot exchange rate market in the long run. In United Kingdom, there is not a short dynamic relationship between the spot exchange rate and the forward exchange rate market but there is a bidirectional causality running from the spot exchange rate market to the forward exchange rate market in the long run. These findings ought to be made readily available to individual investors and financial institutions holding investment portfolios in foreign exchange rate markets.