A Study of the Spread on Forward Exchange Rate vs. Spot Exchange Rate: An Empirical Application of Lucas Consumption Model and Markov Regime Switcing Model

• Main Authors: Wei-Lin Liou, 劉韋麟
• Other Authors: Chau-Jung Kuo
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/7rp36v

碩士 === 國立中山大學 === 財務管理學系研究所 === 104 === The power of a currency reflect a country''s economic strength. A country in the international community is considered to have high economic strength , its currency belongs to the strong side in foreign exchange market. In this paper, we use (1) HP filter and Markov-Regime Switching Model to divide global economic situation into two parts objectively, (2) using Vector Autoregression model and Vector Error Correction Model to build a consumption model, which measure spread on Forward Exchange Rate and Spot Exchange Rate. (3) Then we discuss the difference between floating exchange rate regime, managed floating exchange rate regime and fixed exchange rate regime. Finally, we recommend Taiwan’s financial authorities should be committed to reform capital market when global economy is stable, and strength control of currency fluctuation to prevent imported inflation