| Summary: | 碩士 === 國立高雄第一科技大學 === 金融研究所 === 99 === The purpose of this study is to investigate the correlations among exchange rates of six asian major currencies include Japan, Korea , Hong Kong , Singapore, China and Taiwan, since 03 January 2005 to 30 September 2010. The report uses co-integration and Vector Error Correction Model (VECM) to find if a long term balanced relationship exists between exchange rates of six asian major countries, how the causality test and the result of impulse response function.
Results appear: First , from unit root test, the result shows variables have the same integration level I(1). From the Johansen co-integration, the result shows variables have the co-integration relationship. From the causality test, we find mutual feedback relations exist between HKD and CNY, SGD and HKD, TWD and HKD, KRD and JPD, TWD and JPD. From the variance decomposition, the result indicates the strongest explanatory power (over 90%) in CNY, HKD, JPD and KRD. Finally, in impulse response function, when face the impact from CNY, HKD, JPD and KRD, except have the impact from itself, other countries have a volatility between positive and negative correlation.
|
|---|
