A Study of the Macroeconomic Factors Influencing Foreign Exchange Rates Markets：Evidences for Fragile Five Countries

• Main Authors: Pei-Chun Tsai, 蔡佩均
• Other Authors: Kai-Li Wang
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/89934708408400214998

碩士 === 東海大學 === 財務金融學系碩士在職專班 === 102 === This paper is to investigate the five indexes of real aspect and currency aspect among “Fragile Five” of Brazil, India, Indonesia, Turkey and South Africa: the consumer price index, export-import ratio, industrial production index, domestic and international rate ratio and the impact of stock price index of each country against exchange rate of each country. Furthermore, the impact level of exchange rate against the full time period from January, 2000 to December, 2013 and five indexes of late QE time are observed. Besides, ADF unit root test, Johansen cointegration test, Granger causality test and multiple linear regression analysis are applied to investigate if the obvious impact relationship exists between the index of real aspect and currency aspect and the exchange rate of “Fragile Five”. The analysis result shows that the export-import ratio, consumer price index, stock price index during the full time period and late QE time create obvious impact towards the foreign exchange market. Moreover, the change of consumer price index of late QE time even plays a more leading role, which can explain the consumer price index is one important impact factor towards the foreign exchange market of “Fragile Five” during late QE time.