Testing the Co-movement between New Taiwan Dollar and Macroeconomic Factors and Asian Foreign Exchange Markets

• Main Authors: LIN,JYUN-HONG, 林俊宏
• Other Authors: 簡明哲
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/64506097811891526943

碩士 === 國立臺北大學 === 經濟學系 === 104 === Factors influencing foreign exchange market had been heavily studied by researchers. The major objective of this study is to test the co-movement between New Taiwan Dollar (NTD) and some macroeconomic factors such as stock prices, interest rate, and oil prices and those foreign exchange markets of major trading partners of Taiwan in Asia. Other than traditional co-integration test which can only analyze the existence of long run equilibrium relationships, this study utilizes the equal variance test proposed by Yang et al. (2014) to analyze the co-movement relationships between NTD and some macroeconomic factors and Asian foreign exchange markets. Results show that there exist no long run equilibrium relationships between NTD and stock prices, interest rate, and oil prices. Different sample periods exhibit different co-movement relationships between NTD and stock prices, interest rate and oil prices. Among these, periods after Asian financial crisis, the co-movement relationships between NTD and stock and oil prices are found to be stronger than that of interest rate. It implies that NTD is more closely affected by the international financial market after Asian financial crisis. Long run equilibrium relationships are found existed between NTD and Singapore, Korean, Malaysia, Thailand, and Hong Kung currencies. Among these, Thailand and Malaysia are found to have stronger co-movement relationships with NTD during Asian financial crisis. Co-movement relationships between NTD and Singapore and Australia currencies become stronger after the second financial crisis.