The General Approach to Measuring Exchange Market Pressure

• Main Authors: HSU,YUN-TING, 許芸婷
• Other Authors: WANG,KAI-LI
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/55231312384825585494

碩士 === 東海大學 === 財務金融學系 === 105 === This study analyses a whole evaluation of exchange market pressure (EMP) for emerging markets in the countries targeting at three regional market economies: including Northeast Asia (China, Korea and Taiwan), Southeast Asia (India, Indonesia and Philippines) and Latin America (Brazil, Chile and Colombia). We adopts the most suitable methods to evaluate and undertake research into the influence of macroeconomic variables on EMP. First, we utilise different compositions of interest rate in order to find out the most reasonable evaluation method for EMP: (1) Interest Rate Level (2) Interest SpreadsA comparing to US dollar (3) Interest SpreadsB comparing to the early and post stages; and different weight functions: (1) Fixed-levels Model (2) Moving Average Method (3) Weighted Moving Average Method (4) CISS Weight (5) GARCH Model (6) DCC-GARCH Model. This research also analyses the different measures undertaken by countries when they face such pressure in order to observe if the constructional change occurs. After that, we utilise the suitable EMP and macroeconomic variables to conduct the linear regression. In this way, we can understand which economic variables influence the volatility of EMP. The empirical result demonstrates that 1.5 times of standard deviation can be seen as the decision thresholds of global crisis and country-specific crisis. We adopt variation of EMP composition to evaluate if it corresponds to the criteria that occurs crisis. Interest SpreadsB comparing to the early and post stages in most of the countries are consistent with the actual crisis. In different weight functions, we discover that DCC-GARCH Model is more responsive to the crisis. Therefore, it concludes that DCC-GARCH Model of Interest SpreadsB is the most appropriate way to evaluate EMP. By observing every regional market economies, we find out that there is a negative correlation occurring between stock price and each regional EMP due to various economic systems. In Northeast Asia, Taiwan Current Account and EMP show a negative correlation as well; thus, it is difficult to conduct research into regional characteristics due to a great gap between macroeconomic variables and EMP. On the other hand, countries in Latin American show a negative correlation between CPI and EMP. To conclude, this study demonstrates that EMP cannot be influenced by government debts for countries in every regions.