| Summary: | 碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 98 === This paper investigates the relationship among the NT dollar exchange rate and relevant variables in a model with foreign exchange intervention. Employing the unit root tests, cointegration tests of Johensen (1988) and VECM, the purpose of empirical evidence is to examine the long run equilibrium relationship and causality between these variables. Besides, forecast error variance decomposition is adopted to understand the responses of each variable’s impulse. Finally, the impulse responses belong to long term or short term and influences are positive or negative. The empirical results are summarized as follows: First, the unit root test results show that all variables are I (1). Secondly, the result of Johansen cointegration test shows that NT dollar exchange rate and the other variables resist a cointegration relationship. The depreciation of Japanese Yen and Korea Won will make the depreciation of NT dollar, and the rising of price level, leading indicator of the economy and interest rate differential also cause the same results. .Third, the results of forecast error variance decomposition demonstate that the most exgenous variable is inflation, because it can be explained by endogenous variables about 12%. Besides, relative price in Japan and Taiwan is the most exogenous variables because of its self-explained variance extent around 23%.
|
|---|
