The Cointegration Among Tokyo, London, New York Yen/Dollar currency Market

• Main Authors: Chih-Shan Hsu, 許志山
• Other Authors: Hai-Chin Yu
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/96112390347511344308

碩士 === 中原大學 === 國際貿易研究所 === 100 === The main purposes of research are the co-integration of return of the yen - dollar exchange rate among Tokyo, London, New York FX market. The research period from Jan. 4, 1994 to Apr. 27, 2011, using the empirical analysis of Vector Autoregressions Model, Impulse Response function analysis, Forecast Error Variance Decomposition, Johansen co-integration test for three events of the Asian financial crisis, Japanese deregulation and Subprime mortgage crisis. The research background is structure three events, and separate events into nine patterns. We investigate to exist price transmissions, information asymmetry, leading and lagging message, Granger causality and co-integration relationship between pre-event and post-event in Tokyo, London, New York FX market. The empirical analysis found that the results are as follows: 1. Before the financial crisis, the market’s sensitivity was relatively low. After the financial crisis, the market became more sensitive. After the implementation of monetary policy or increase the money supply, it was recovered the original level. 2. After Asian Financial Crisis, investors or traders or hedgers passed information very quickly. However, after four to five times-periods, the speed of information transmission was slow down. 3. The Tokyo FX market was affected by London FX market could be explained more clearly than Tokyo FX market was affected by the New York FX market. 4. After Asian Financial Crisis, the co-integration between London and New York FX market be-came higher. After Japan’s deregulation, it happened at the same time during the Asian Financial Crisis, the co-integration of London and New York FX market was not significant. During Sub-prime Mortgage Crisis, the weak co-integration between London and New York FX market was relatively lower. It still returns to the long-term balance level. It means that higher co-integration relations. 5. We found that the New York FX market was more strong and more efficient than the other. The New York FX market is not affected by leading or lagging information. The Tokyo FX market was affected by leading or lagging information more than London FX market. Summarized the conclusion of the research, New York FX market is strong, London FX market is semi-strong, and Tokyo FX market is weak. The summary of this paper, when financial crisis happened, the return of yen-dollar in Tokyo FX market would be easily effected by leading or lagging information. The New York FX market was efficient, and it would not be affected by leading or lagging information easily. Also, the co-integration of New York and London FX markets is relatively higher.