| Summary: | 碩士 === 國立中山大學 === 經濟學研究所 === 103 === In this study, we use the time series models to explore the relationships between the exchange rate and other macroeconomic variables (interest rates, prices, export, and imports) in Taiwan. Our sample span from January 1990 to December 2013. The data is divided into three periods, pre-Asian financial crisis era, post-Asian financial crisis to pre-global financial crisis in 2008, and post-2008 global financial era. The results show that first, every macroeconomic indicator that is under investigation is I(1) sequence after first differencing. Second, the structure changes due to Asian financial crisis and 2008 global financial turmoil do occur. Third, Co-integration relationship exists among all the inspected macroeconomic variables. Fourth, In the context of error correction model , when using exchange rate as the dependent variable, the positive impact from E(-1) and the negative impact from R(-1). Fifth, In the context of impulse response function (IRF), when using exchange rate as the dependent variable, the positive impact from E and the negative impact from M. Sixth, In the context of Variance decomposition of forecast errors, the variables can be explained, the largest is exchange rate.
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