我國與主要貿易對手貨幣關聯性之研究

• Main Authors: Hsin-Hua Hsieh, 謝馨嬅
• Other Authors: Wei-Ming Wu
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/23270782051973063318

碩士 === 國立高雄第一科技大學 === 運籌管理系企業管理碩士班 === 104 === In the trend of corporate globalization and global liberalization, there is more frequent international capital movements, therefore, a currency price must be affected by the ones of other countries’ currencies. The purpose of this study is to identify the currency relationship between Taiwan and its major partners. The result can be a suggestion for governments, global corporations, and the inventors, to track the exchange rate and reduce exchange rate risk. My sample period is from January 2, 2008 to February 24, 2015. I collect the exchange rate data including New Taiwan Dollars (NTD), Chinese Yuan (CNY), Japanese Yuan (JPY), Hong Kong Dollars (HKD), Korean Won (KRW) and the Singapore Dollars (SGD). The published data were provided by Customs Administration, Ministry of Finance and Central Bank of Taiwan. The daily exchange rates are adjusted to weekly exchange rates., I use Granger causality test and vector autoregression model to analyze the relationship between each countries. I find: 1.According to the result of Granger causality test, the exchange rate of New Taiwan Dollars is affected by the one of Korean Won and the reverse is not suggested. 2.According to the result of vector autoregression model, there is bidirectional cause relationship, between New Taiwan Dollars and Korean Won, and the exchange rate of Japanese Yuan leads with the one of New Taiwan Dollars.