| Summary: | 碩士 === 嶺東科技大學 === 國際企業系碩士班 === 103 === This study investigates the factors influencing foreign exchange rate and interest rate between Taiwan and the United States. The exchange rate data used are from the Central Bank of the Republic China (Taiwan) and the Federal Reserve Bank of the United States from 1960 to 2014, the discount rate of both countries from 1988 to 2014, but the US date from 1996 to 2014. The methods used include the ADF test, PP unit root test, and Grange causality test for examining the dynamic relationship between discount rate, exchange rate and overnight interest rate in both countries. The main empirical results find that all the variables exist unit foot, and turned into stable time series after first-order difference. Moreover, results from Granger causality test showed that the discount rate in U.S. led the exchange rate; the overnight interest rate in Taiwan led the discount rate in Taiwan; the discount rate in U.S. led the overnight interest rate in Taiwan.
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