A Study on Spot Rate Volatility and Forecast of USD against NTD before and after Financial Tsunami

碩士 === 國立中興大學 === 應用經濟學系所 === 98 === The sub-prime loan crisis that caused an internationally financial tsunami has shocked the exchange rate in international market as well as spot rate on USD against NTD with wide range of fluctuation. The purpose of the study focuses mainly on spot rate volati...

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Main Authors: Shown-Yun Chen, 陳秀雲
Other Authors: Biing-Wen Huang
Format: Others
Language:zh-TW
Published: 2010
Online Access:http://ndltd.ncl.edu.tw/handle/16596846984130147293
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spelling ndltd-TW-098NCHU54120092016-07-16T04:11:09Z http://ndltd.ncl.edu.tw/handle/16596846984130147293 A Study on Spot Rate Volatility and Forecast of USD against NTD before and after Financial Tsunami 金融海嘯前後美元對新台幣即期匯率波動與預測之研究 Shown-Yun Chen 陳秀雲 碩士 國立中興大學 應用經濟學系所 98 The sub-prime loan crisis that caused an internationally financial tsunami has shocked the exchange rate in international market as well as spot rate on USD against NTD with wide range of fluctuation. The purpose of the study focuses mainly on spot rate volatility and forecast of USD against NTD. By application of GARCH models in time series it builds and compares the tested models between the period before and after the happening of financial tsunami. Period of sample selected are divided into two sections, one is before sub-prime occurring , Aug. 9th,2007, and the other after, to compare the difference of volatility before and after the financial tsunami. In addition, it applys another GM(1,N) prediction model and compares with GARCH model to predict the effect on spot rate of USD against NTD. The tested results indicate that mostly influenced variables of the fluctuation on USD against NTD before and after financial tsunami was KRW. Both short-run shock and long-run persistence volatility after tsunami are bigger than that of before tsunami. It implys that the entrepreneurs as well as the bankers may burden a higher risk in exchange rate. Based on GM(1,N) model, it indicates that GM(1,8) multi-variables model shows a higher prediction probability and the accuracy of appreciation and depreciation. The results of the study may offer the entrepreneurs as well as the bankers with a base on spot rate volatility and forecast of USD against NTD and with reference for swap policy-making. Biing-Wen Huang 黃炳文 2010 學位論文 ; thesis 83 zh-TW
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language zh-TW
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description 碩士 === 國立中興大學 === 應用經濟學系所 === 98 === The sub-prime loan crisis that caused an internationally financial tsunami has shocked the exchange rate in international market as well as spot rate on USD against NTD with wide range of fluctuation. The purpose of the study focuses mainly on spot rate volatility and forecast of USD against NTD. By application of GARCH models in time series it builds and compares the tested models between the period before and after the happening of financial tsunami. Period of sample selected are divided into two sections, one is before sub-prime occurring , Aug. 9th,2007, and the other after, to compare the difference of volatility before and after the financial tsunami. In addition, it applys another GM(1,N) prediction model and compares with GARCH model to predict the effect on spot rate of USD against NTD. The tested results indicate that mostly influenced variables of the fluctuation on USD against NTD before and after financial tsunami was KRW. Both short-run shock and long-run persistence volatility after tsunami are bigger than that of before tsunami. It implys that the entrepreneurs as well as the bankers may burden a higher risk in exchange rate. Based on GM(1,N) model, it indicates that GM(1,8) multi-variables model shows a higher prediction probability and the accuracy of appreciation and depreciation. The results of the study may offer the entrepreneurs as well as the bankers with a base on spot rate volatility and forecast of USD against NTD and with reference for swap policy-making.
author2 Biing-Wen Huang
author_facet Biing-Wen Huang
Shown-Yun Chen
陳秀雲
author Shown-Yun Chen
陳秀雲
spellingShingle Shown-Yun Chen
陳秀雲
A Study on Spot Rate Volatility and Forecast of USD against NTD before and after Financial Tsunami
author_sort Shown-Yun Chen
title A Study on Spot Rate Volatility and Forecast of USD against NTD before and after Financial Tsunami
title_short A Study on Spot Rate Volatility and Forecast of USD against NTD before and after Financial Tsunami
title_full A Study on Spot Rate Volatility and Forecast of USD against NTD before and after Financial Tsunami
title_fullStr A Study on Spot Rate Volatility and Forecast of USD against NTD before and after Financial Tsunami
title_full_unstemmed A Study on Spot Rate Volatility and Forecast of USD against NTD before and after Financial Tsunami
title_sort study on spot rate volatility and forecast of usd against ntd before and after financial tsunami
publishDate 2010
url http://ndltd.ncl.edu.tw/handle/16596846984130147293
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