Under the Different Financial Crisis, the Relationship Among Exchange Rate, Interest Rate and Foreign Trading in Taiwan(2008-2012)

• Main Authors: Hung, Tzu-Yao, 洪梓堯
• Other Authors: Chen, Wen-Den
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/23180167851897893844

碩士 === 東海大學 === 經濟系 === 101 === Capital movement and national commerce has a widely impact on finance market due to globalization and liberalization, particularly at exchange and capital markets. Connecting to global economic system, Taiwan’s stock market is deeply affected by world’s change, including the financial tsunami during the euro zone’s debt crisis (2008/1~2012/11). This article attempts to examine the relationships among exchange rate, interest rate, and foreign flow. It adopts Hatemi-J and Irandoust’s (2000) model to measure the causal relation between exchange and interest rates, treating foreign trading as an explanatory variable. Applying the ADF unit root test to detect the non-stationarity, we use error correction model and Granger causality to evaluate their relationship. Moreover, impulse response and variance decomposition analysis are used to evaluate the influence pattern. The results present that foreign capital flow has a strong effect on exchange rate and interest rate during the global financial crisis in the short run. The exchange rate has a strong effect on interest rate during the global financial crisis and euro zone’s debt crisis in the long run, implying capital’s mobility is sticky and foreign capital flow into the stock market may be affected.