The Effect of Interest Differential and Stock Index on the Exchange Rate – A Quantile Approach

• Main Authors: Ya-Fan Hong, 洪亞凡
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/23985477935954259309

碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 99 === This paper study the effect of movements of interest differential and stock index on the exchange rate. The empirical period is from 2001 to 2010 and divided by the financial crisis in 2007. Granger causality test shows that movement of stock index does granger cause movement of exchange rate except US dollar and Euro. The movement of interest differential has significant impact on movement of exchange rate before financial crisis, but the effect is insignificant after the crisis In addition, By using the Quantile regression analysis we found：(1) high yielding currencies are more sensitive than other currencies to the changes of interest rates differential and movements of stock prices.(2) the impact of interest rate differential to exchange rate is only significant in the higher quantile, indicating that investors increased the degree of risk aversion and only trade at high exchange rate.(3)During the crisis, the correlation with stock prices and exchange rates become higher as the depreciation of exchange rate, showing that when the depreciation of exchange rate has exceeded the acceptable range of investors, they will cover yen to prevent the extended losses even though they would not to unwind.