Prediction and Analysis of Foreign Exchange Markets

• Main Authors: Chen-Yu Li, 李振宇
• Other Authors: Yu-Pin Hu
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/40375540270488491621

博士 === 國立暨南國際大學 === 國際企業學系 === 98 === This dissertation investigates two issues in the international financial market. One is the forecasting of exchange rate movement, the other is the analysis of volatility exchange rate. To forecast the exchange rate movement, adopting dimension reduction to extract useful predictors from a large set of monthly macroeconomic time series is a way to improve forecasting accuracy. Part of studies compares two methods for extracting predictors, including the well-known classical factor model and the Pe~{n}a-Box Model, which is a dynamic factor model. Compared with the classical factor model, the Peña-Box Model is more robust with respect to misidentifying models since it captures the time-effect relationship of original variables. Both simulations and empirical studies on forecasting the JPY/USD exchange rate confirm the advantages of the Peña-Box Model. To analyze the relation trading activities with exchange rate volatility on the intraday behavior of the 15-minute exchange rate bid-ask spreads in the EBS electronic brokerage market. Part of studies investigates the market institutional effects of the determining role of trading activities and exchange rate volatility on the intraday behavior of the 15-minute JPY/USD and EUR/USD exchange rate bid-ask spreads in the EBS electronic brokerage market for the period from January 1, 2003 to December 31, 2005. We find that the exchange rate volatility both significantly and positively affects the bid-ask spreads, while the numbers of deals and quotation changes negatively affect the bid-ask spreads. These results are similar to those of past studies. We also find that a U-shaped pattern exists in the Tokyo trading hours and an inverted U-shaped pattern in the London trading hours, in addition to a round clock inverted U-shaped pattern of spread volatility. This inverted U-shaped pattern may be caused by unexpected news arrivals. The spread behavior of the EBS global electronic broking market is not different from that of other electronic interdealer quotation markets and electronic broking markets.