A Study on the Co-movements of NTD and East Asian Currencies.

• Main Authors: Chun-Feng - Wu, 吳春鳳
• Other Authors: Guang-Di Chang
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/00905549552501534797

碩士 === 國立臺灣科技大學 === 財務金融研究所 === 105 === The main purpose of this study is to analyze the co-movements of NTD and East Asian currencies, which including JPY, KRW, CNY, and CNH by applying Granger Causality Test and VAR Model. The sample period runs from January 3, 2011 to June 30, 2016, yielding 1,408 observations. The empirical results are as follows: 1. There is a cointegrating vector between NTD and CNY, which means there is a long-run equilibrium relationship between these two variables by using Johansen Cointegration Test. Furthermore, through the VECM model, it is found that there is no significant adjustment when NTD and CNY are out of the long-term equilibrium. 2. According to Granger Causality Test, the movement of NTD is Granger-causes the movements of JPY, KRW, CNY, and CNH. There is a feedback system between the movement of JPY and the movement of KRW. 3. The result of Impulse Response Analysis shows that all the research variables have the greatest impact on their own shocks in the short-term period, then quickly convergence to zero. 4. The result of Forecast Error Variance Decomposition shows that NTD, JPY and CNH can be mostly explained by itself than other variables, implying these three variables are not affected by exogenous factors easily.