The Effects on Exchange Rate Returns and Volatilities Caused by Major Events
碩士 === 國立臺灣科技大學 === 財務金融研究所 === 105 === The purpose of this paper is to study the effects on exchange rate return and volatility caused by major events happened in the past six years and to analyze the hedging ability of the four subject currencies, Japanese Yen, Swiss Franc, US Dollar and Euro. The...
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/b8583j |
| Summary: | 碩士 === 國立臺灣科技大學 === 財務金融研究所 === 105 === The purpose of this paper is to study the effects on exchange rate return and volatility caused by major events happened in the past six years and to analyze the hedging ability of the four subject currencies, Japanese Yen, Swiss Franc, US Dollar and Euro. The risk is measured with two indicators. One is to use the daily exchange rate “Range” as the risk variable to explore the impact of risk on return through regression model. The other risk indicator is the variance of return that to be applied in GARCH-M model to detect the existence of significant risk premium in exchange rate return when major events happened.
The empirical study shows that “Range” captures the impact of risk on return better than the variance of return. Japanese Yen is significantly more responsive to the risk at the beginning of the incident and hence a suggested short-term hedging selection. Swiss Franc is considered a good tool for long-term hedging as its response to risk premium is more comprehensive. US Dollar does not indicate hedging ability based on the results of the study. The result of Euro is very similar to Swiss Franc but Euro is not recognized as a safe haven currency by foreign exchange rate option indicators.
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