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Twahirwa, Eunice Ishimwe Mariella. "Internal Versus External Reasons for the Rand-Dollar Exchange Rate Volatility." University of the Western Cape, 2016. http://hdl.handle.net/11394/5738.
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Magister Commercii - MCom (Economics)Increased exchange rate volatility is an impediment to the health of the economy of a country. Following the 1995 policy shift made by the South African Reserve Bank, from a fixed exchange rate regime to a free floating exchange rate regime; the rand/dollar exchange rate became volatile. The aim of the study was to investigate the forces that lead the exchange rate volatility. In more details, the study looked at the relationship between the rand/dollar exchange rate and its determinants. In terms of the methodology, a Structural Vector Autoregressive (SVAR) model was used to analyse the relationship between the rand/dollar exchange rate and its determinants. In the short run, the impulse response function results showed that there were no strong bidirectional relationships between the rand/dollar and its determinants between 1995 and 2014. The only significant relationship, in the short run, was found to be between the exchange rate and nominal variables. Another significant impact was that of the exchange rate on the 10-year bond spread. The long-run test results suggested that there is a unilateral relationship between the rand/dollar exchange rate and the 10-year bond spread. The long-run tests results indicated that the rand/dollar exchange rate is indeed an �equity� currency, and is mostly driven by changes in the financial variables.
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Ghisellini, Fabrizio. "The lira/US dollar exchange rate : a theoretical and empirical analysis." Thesis, Queen Mary, University of London, 1988. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.284503.
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BevilÃqua, Giovanni Silva. "Forecast of real-dollar exchange under a framework of asset pricing." Universidade Federal do CearÃ, 2011. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=8421.
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Given the wide range of macroeconomic, financial and econometric frameworks commonly used to accommodate uncomfortable empirical evidence associated with the Forex market, this article aims to model and predict the monthly variation in American Dollar-Brazilian Real exchange rate, from January 2000 to December 2009, based on asset pricing theory. Wang (2008) and Engel and West (2005) are closer to ours, in terms of fundamentals of finance, while methodologically, we are close to Chong, Chung and Ahmad (2002) and da Costa et al. (2010). Our work is relevant to the empirical literature, since the prediction results are better than the random walk approach ones. The prediction error is about 5% and 14% for the exchange rate variation and in level, respectively. In 57.5% of the changes, our
model predicts the correct change direction. The main contribution based on this framework, already used to understand the Forward Premium Puzzle for advancedeconomies, consists in the derivation and the implications of a system of linear relationships characterized by a Bivariate Generalized Autoregressive Conditional Heteroskedasticity-in-Mean (GARCH-M), useful empirically, once we have extracted a time series for a Stochastic Discount Factor (SDF) able to price the covered and the uncovered trading with U.S. Government bonds. The results suggest to the
theoretical literature that, at least for monthly frequency, one should not omit the temporal variation of conditional moments of the second order. The hypothesis about the lognormal distribution of discounted returns and a parsimonious specification for conditional Heteroskedastic models can influence the predictive power of SDF, as well as the effects of the inclusion of risk premium.Diante da vasta gama de arcabouÃos macroeconÃmicos, economÃtricos e financeiros que visam acomodar evidÃncias empÃricas desconfortÃveis associadas ao mercado cambial, este artigo visa modelar e prever a variaÃÃo mensal entre as moedas real brasileiro e dÃlar americano, de janeiro de 2000 a dezembro de 2009, baseado na teoria de apreÃamento de ativos. Este estudo agrega-se à literatura empÃrica, ao obter resultados preditivos superiores a um modelo de passeio aleatÃrio, com erros de previsÃo da ordem de grandeza de 5% e 14% para depreciaÃÃo e para o cÃmbio em nÃvel, respectivamente, e um acerto em 57,5% das vezes com relaÃÃo à direÃÃo da variaÃÃo cambial. Alinhado em fundamentos a Wang (2008) e Engel e West (2005) e metodologicamente a Chong, Chung e Ahmad (2002) e da Costa et al. (2010), a principal contribuiÃÃo no uso deste arcabouÃo, jà utilizado no entendimento do Forward Premium Puzzle para economias avanÃadas, consiste na derivaÃÃo e nas implicaÃÃes de um sistema de relaÃÃes lineares caracterizado por um Generalized Autoregressive Conditional Heteroskedasticity-in- Mean (GARCH-M) bivariado, o qual pode ser testÃvel, a partir da extraÃÃo via componentes principais da sÃrie temporal para um Fator EstocÃstico de Desconto capaz de apreÃar operaÃÃes coberta e descoberta de aquisiÃÃo de tÃtulos do governo americano. Os resultados sugerem, ainda, à literatura teÃrica que, ao menos para frequÃncia mensal, nÃo se deve desprezar a variaÃÃo temporal dos momentos condicionais de segunda ordem. A hipÃtese sobre a distribuiÃÃo lognormal dos retornos descontados e uma especificaÃÃo parcimoniosa para modelos de heterocedasticidade condicional podem prejudicar a capacidade preditiva associada do Fator EstocÃstico de Desconto, assim como os efeitos da incorporaÃÃo do prÃmio de risco.
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Newhouse, Herbert Steven. "The emergence of commodity money as a medium of exchange /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2004. http://wwwlib.umi.com/cr/ucsd/fullcit?p3144310.
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Forrester, David Edward Economics Australian School of Business UNSW. "Market probability density functions and investor risk aversion for the australia-us dollar exchange rate." Awarded by:University of New South Wales. School of Economics, 2006. http://handle.unsw.edu.au/1959.4/27199.
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This thesis models the Australian-US Dollar (AUD/USD) exchange rate with particular attention being paid to investor risk aversion. Accounting for investor risk aversion in AUD/USD exchange rate modelling is novel, so too is the method used to measure risk aversion in this thesis. Investor risk aversion is measured using a technique developed in Bliss and Panigirtzoglou (2004), which makes use of Probability Density Functions (PDFs) extracted from option markets. More conventional approaches use forward-market pricing or Uncovered Interest Parity. Several methods of estimating PDFs from option and spot markets are examined, with the estimations from currency spot-markets representing an original application of an arbitrage technique developed in Stutzer (1996) to the AUD/USD exchange rate. The option and spot-market PDFs are compared using their first four moments and if estimated judiciously, the spot-market PDFs are found to have similar shapes to the option-market PDFs. So in the absence of an AUD/USD exchange rate options market, spot-market PDFs can act as a reasonable substitute for option-market PDFs for the purpose of examining market sentiment. The Relative Risk Aversion (RRA) attached to the AUD/USD, the US Dollar-Japanese Yen, the US Dollar-Swiss Franc and the US-Canadian Dollar exchange rates is measured using the Bliss and Panigirtzoglou (2004) technique. Amongst these exchange rates, only the AUD/USD exchange rate demonstrates a significant level of investor RRA and only over a weekly forecast horizon. The Bliss and Panigirtzoglou (2004) technique is also used to approximate a time-varying risk premium for the AUD/USD exchange rate. This risk premium is added to the cointegrating vectors of fixed-price and asset monetary models of the AUD/USD exchange rate. An index of Australia???s export commodity prices is also added. The out-of-sample forecasting ability of these cointegrating vectors is tested relative to a random walk using an error-correction framework. While adding the time-varying risk premium improves this forecasting ability, adding export commodity prices does so by more. Further, including both the time-varying risk premium and export commodity prices in the cointegrating vectors reduces their forecasting ability. So the time-varying risk premium is important for AUD/USD exchange rate modelling, but not as important as export commodity prices.
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MENEZES, FELIPE DA COSTA MENDES O. DE. "FORWARD EXCHANGE RATE AND SPOT EXCHANGE RATE: ASSESSING THE SIGNIFICANCE OF SOME POSSIBLE EXPLAINING VARIABLES IN BRAZILIAN EXCHANGE MARKET (BRAZILIAN REAL/DOLLAR)." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2017. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=32350@1.
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Teorias internacionais na área de economia e finanças acreditam em uma relação significante entre o mercado cambial futuro e o mercado cambial à vista. Se esta afirmação for verdadeira, isto significa que os valores negociados no mercado futuro seriam bons previsores dos valores que viriam a ser negociados no mercado à vista em uma data futura. No entanto, diversos estudos e dados empíricos revelam que este evento não se mostra fiel no mercado cambial brasileiro (Real/Dólar) bem como em outros mercados cambiais internacionais, em especial nos principais mercados europeus. A justificativa para tal, estaria na presença de prêmios de risco não observáveis. Desta forma, o objetivo deste presente estudo é avaliar o motivo da não ocorrência deste evento, recorrendo a estudos internacionais variados, de modo a testar e avaliar um grupo de variáveis que poderiam auxiliar no entendimento deste descasamento das taxas. As quatro variáveis selecionadas neste estudo são: diferença entre os valores de compra e venda da taxa à vista e a termo; a diferença da taxa a termo e à vista no mesmo período; e a diferença real e em módulo da taxa à vista e a taxa à vista carregada pelo modelo de paridade do poder de compra. Estas são analisadas em dois modelos de horizontes, de um mês e doze meses e a escolha por estas variáveis foi baseada na identificação de suas significâncias em estudos em diferentes mercados como, por exemplo, com a taxa libra/euro, bem como são aproximações dos prêmios de risco de liquidez, temporal e cambial. Os resultados apurados indicam que variáveis como a diferença entre os valores de compra e venda da taxa a termo e a diferença real da taxa à vista e a taxa à vista carregada pelo modelo de paridade do poder de compra, possuem relações significantes quando se busca entender o descasamento das taxas a termo e à vista. No entanto, testes de confiabilidade dos modelos, indicam certa restrição com relação aos resultados gerados. O estudo é finalizado indicando que as variáveis significantes podem auxiliar no entendimento do descasamento das taxas. Porém, a existência de eventos de stress de ordem política, monetária e jurídica entre outros (exemplos de risco país) inviabiliza determinar uma variável que ajude a explicar, com alto nível de significância, este evento. Além disso, caso a identificação de variáveis fosse trivial e com comportamento uniforme haveria a possibilidade de arbitragem no mercado cambial e, portanto, investidores poderiam auferir lucros sem exposição alguma à riscos.International theories in economy and finance areas expects a significant relation between forward and spot exchange markets where negotiations in forward market could predict the future of spot negotiations. However, this event is not noted at Brazilian exchange market (Brazilian real/dollar) as well at others international markets, especially at developed European markets. The reason would be in the presence of unobservable risk premiums. Therefore, the objective of that research is to evaluate the reason of that event does not run, utilizing some international researches, in order to test and to evaluate variables that could explain that rate s gap. The four variables selected for this study are: forward and spot bid-ask; the difference between forward and spot rates; and difference (real and absolute) between spot rate and spot rate built from purchase parity power condition. These variables are studied on one and twelve months horizons ans that selection has considered the presented significance in others international researches, for example libra/euro exchange rate, and because they are proxies of liquidity, time-varying and currency risk premium. The main results indicate that variables are significant despite the fact that some confiability tests show negative results. For instance, forward bid-ask and difference (real and absolute) between spot rate and spot rate built from purchase parity power condition presented a significance. The study is concluded affirming that some variables could help to explain that gap s rate. However, the existence of country risk does not allow the identification of a enough strong variable. Otherwise, it would enable investors to arbitrage and to profit without risk exposure.
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Feng, Qin. "The relationship between oil price and US Dollar/Norwegian Krone nominal exchange rate." Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18454.
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This paper empirically investigates the cointegrated relationship between oil price and nominal exchange rate of US Dollar/ Norwegian Krone (USD/NOK) which is covering a time period from 2001 to 2011. The Augmented Dickey-Fuller test, Engle-Granger test and Error Correction Mechanism are employed for this research. This paper concludes that there is a cointegrated relationship between oil price and nominal exchange rate of USD/NOK in the long term.
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Khalesi, Mojtaba. "The economics of the Iranian rial US dollar exchange rate : a fundamental based approach." Thesis, University of Strathclyde, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.248521.
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Cao, Xiongwei. "The Dollar Hegemony and the U.S.-China Monetary Disputes." Master's thesis, University of Central Florida, 2012. http://digital.library.ucf.edu/cdm/ref/collection/ETD/id/5150.
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This thesis analyzes the current disputes between the United States and China over the exchange rate of the Chinese currency renminbi using an International Political Economy (IPE) analysis. Monetary relations are not mere economic affairs, but bear geopolitical implications. Money is power. Money is politics. The pursuit of monetary power is an important part of great power politics. Based on this assertion, the thesis studies past cases of monetary power struggles between the United States and the Great Britain, the Soviet Union, Japan, and the European Union (EU), respectively. The thesis then investigates the dollar's status as the dominant international reserve currency in the current international monetary system, as well as the power that this unique status can generate and provide. The dollar's monetary hegemony has become the main characteristic of the current international monetary system and an important power source for continued U.S. hegemony. The dollar's hegemony and the asymmetrical interdependency between the dollar and the renminbi are the source and the key basis for the recent U.S.-China monetary disagreements. The U.S.-China monetary disputes reflect not only each country's respective domestic interests and perceived benefits, but also the monetary power struggle between the two biggest global economies. Predictions are also entertained for the future monetary relations between the two countries, as well as the geopolitical implications that this relationship may have for the U.S.-China bilateral relationship in coming decades.ID: 031001327; System requirements: World Wide Web browser and PDF reader.; Mode of access: World Wide Web.; Title from PDF title page (viewed April 8, 2013).; Thesis (M.A.)--University of Central Florida, 2012.; Includes bibliographical references (p. 118-126).
M.A.
Masters
Political Science
Sciences
Political Science; International Studies
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Trygubenko, Volodymyr Oleksiyovych. "Effect of oil prices and other determinants on the United States dollar effective exchange rate." Ann Arbor, Mich. : ProQuest, 2006. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:1430298.
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Thesis (M.A. in Economics)--S.M.U.Title from PDF title page (viewed July 17, 2007). Source: Masters Abstracts International, Volume: 44-03, page: 1190. Adviser: Thomas Osang. Includes bibliographical references.
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Vávrová, Barbora. "The Role of USD in a Globalized Economy." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-18033.
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The main aim of my thesis is to describe the development of the American dollar's position within the historical background, its role in a globalized economy and analyze the current position of the dollar as the world's leading currency. The thesis is divided into three parts. First part is dedicated to the theoretical background concerning exchange rates and currency regimes. The second chapter considers the history of the international monetary system with the relation to the dollar. The third chapter analyzes the current situation and characteristics determining the role of American dollar. This chapter also describes some problems of American economy, analyses exchange rate of dollar against Euro and gives possible forecast of dollar's position for the future.
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Weerapana, Akila. "Testing for speculative bubbles in foreign exchange markets." Oberlin College Honors Theses / OhioLINK, 1993. http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1342201983.
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Michalopoulos, George T. "Macroeconomic consequences of the US dollar exchange rate movements for the EC economy : an empirical analysis." Thesis, University of Reading, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.305066.
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Eng, Yong Heng. "Exchange market efficiency, currency substitution and exchange rate determination : issues, implications and evidence for the Asian currency market." Thesis, McGill University, 1987. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=72094.
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This thesis examines the empirical validity of the efficient market hypothesis, currency substitution, purchasing power parity theory, interest rate parity theory and the monetary approach to exchange rate for the foreign exchange markets of Japan, Singapore and Hong Kong. The empirical results give support to the efficient market hypothesis, mixed evidence for the existence of currency substitution, a strong indication for the long run purchasing power parity theory, support for the inclusion of expectations variable in the interest parity theory, and rejection of the monetary approach to the exchange rate.
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Ojebiyi, Ademola, and Wilson David Olugbenga. "Exchange rate volatility : an analysis of the relationship between the Nigerian naira, oil prices, and US dollar." Thesis, Högskolan på Gotland, Institutionen för humaniora och samhällsvetenskap, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hgo:diva-912.
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This study seeks to assess the correlation which exists between exchange rate of Nigerian naira and Unites States dollar and oil price on the basis of monthly data from 1999-2009. The research employ the fundamental variables which were assumed to be the monthly spot crude oil price, monthly exchange rate of Nigeria naira and monthly exchange rate of United States dollar. The empirical result adopted the ordinary least square using regression analysis and also the correlation model which shows that there is a weak/negative relationship between exchange rate and oil price as there are other factors that brings about changes in oil price other than the exchange rate. The activities of cartel pricing policy and oil speculators too have come to greatly affect the price of crude oil, and it will be interesting to examine the impact speculators have on the change in price of crude oil against the normal drivers of crude oil price.
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Poon, Ching-man Betty. "Monetary policy in Hong Kong under the linked exchange rate system." Hong Kong : [University of Hong Kong], 1991. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13005704.
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Koval, Igor Y. "Petroleum and the peso." To access this resource online via ProQuest Dissertations and Theses @ UTEP, 2007. http://0-proquest.umi.com.lib.utep.edu/login?COPT=REJTPTU0YmImSU5UPTAmVkVSPTI=&clientId=2515.
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Tsai, Huo-lien, and 蔡火蓮. "Forecasting Exchange Rate , New Taiwan Dollar." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/83099867420793947016.
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Moldovan, Paula Cristina Ciurean. "Forecasting the euro dollar exchange rate." Master's thesis, 2015. http://hdl.handle.net/10071/11649.
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O objectivo principal desta tese é obter valores futuros fidedignos da taxa de câmbio mensal entre o Euro e o Dolar Americano. Para obter isto utilizamos modelos econometricos lineares e não-lineares, nomeadamente, ARMA (Auto Regressive Moving Average) e STAR (Smooth Transition Auto Regression). Obtemos que para curto e médio prazo os modelos lineares tem uma performance melhor do que os modelos não-lineares. A qualidade de forecast foi avaliada pelo valor do erro quadrático médio (RMSE).O objectivo principal desta tese é obter valores futuros fidedignos da taxa de câmbio mensal entre o Euro e o Dolar Americano. Para obter isto utilizamos modelos econometricos lineares e não-lineares, nomeadamente, ARMA (Auto Regressive Moving Average) e STAR (Smooth Transition Auto Regression). Obtemos que para curto e médio prazo os modelos lineares tem uma performance melhor do que os modelos não-lineares. A qualidade de forecast foi avaliada pelo valor do erro quadrático médio (RMSE).
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Tsai, Hui-Hsin, and 蔡彙鑫. "An Estimating and Forecasting Investigation of US Dollar to NT Dollar Spot Exchange Rate and Forward Exchange Rate." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/69646250621394540703.
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碩士嶺東技術學院
國際企業研究所
93
In this research we apply GARCH and EGARCH model to estimate and forecast US Dollar to NT Dollar spot exchange rate and forward exchange rate from January 1, 2000 to March 31, 2003, and the data types include daily returns every day a time and monthly returns every month a time. We use MAD (Mean Absolute Deviation)、RMSE (Root Mean Square Error) and MAPE (Mean Absolute Percentage Error) to compare the forecast capability of time series model. The empirical results include five conclusions: (1). The spot and forward exchange daily returns volatility and the spot and forward exchange monthly returns volatility have ARCH effect; probability distribution form presents with right bias、high peak and abnormal distribution; both are stationary. (2). Estimating the spot and forward exchange returns volatility with EGARCH show that the daily buying returns have obvious leverage effect, and it means bad news have greater and more obvious effect than good news. The foreign exchange market has asymmetric news. (3). First, the result we apply GARCH and EGARCH model to estimate the value of QMLE and AIC from the spot and forward daily exchange returns volatility obviously shows that the value estimating by EGARCH model is lower than GARCH model; we apply GARCH and EGARCH model to estimate the value of QMLE and AIC from the spot and forward monthly exchange returns volatility obviously shows that the value estimating by EGARCH model is lower than GARCH model. So, the EGARCH model is better. (4). Then, we apply GARCH and EGARCH model to forecast the value of MAD、RMSE、MAPE from the spot and forward daily exchange returns volatility from January 1, 2003 to March 31, 2003 and verify the result obviously shows that the value forecasting by EGARCH model is lower than GARCH model; we apply GARCH and EGARCH model to forecast the value of MAD、RMSE、MAPE from the spot and forward monthly exchange returns volatility obviously shows that the value forecasting by EGARCH model is lower than GARCH model. So, the EGARCH model is better. (5). In conclusion, EGARCH model is better than GARCH model either in forecasting capability or in estimating capability.
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Li, Kuan-Shu, and 李冠樞. "Equilibrium Real Exchange Rates Between NT Dollar and US Dollar and Economic Structural Changes." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/31561940166167468761.
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碩士淡江大學
國際貿易學系碩士在職專班
91
The 1997 Asia financial crisis which was originated in Southeast Asia and spilled over to the whole world had brought about tremendous impact to the state of the division system among East Asian economies, but not so much to Taiwan’s economy during the period between June 1997 and the end of 1998. However, the blow out of domestic financial crisis after 1998 and the instabilities in the world economy as well as the domestic political situations had caused great changes in Taiwan’s economic structure. This article explores the structural change in Taiwan’s economy by examining the factors that determine the bilateral equilibrium real exchange rate between the NT dollar and the US dollar, which is generally considered to reflect both internal and external economic situations in the literature. The empirical studies involves the two-stage estimation of an error correction model introduced by Engle and Granger(1987) using the pre-1997 data set to search for both the long run and the short run determinants of the equilibrium real exchange rate. The estimated results are then acted as the foundation for predictions of the equilibrium real exchange rate after 1998. Finally, the predicted and the actual values of the real exchange rates are compared. Our empirical finding has shown that Taiwan’s economic structure in terms of the real exchange rates has changed dratically.
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Li-HuaYu and 游麗華. "The Relation of US Dollar Index and NT Dollar Exchange Rate During QE Periods." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/z4e4dh.
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碩士國立成功大學
財務金融研究所碩士在職專班
103
Since the 2008 financial crisis outbreak due to the 2007 subprime mortgage crisis, governments around the world have implemented a variety of traditional monetary policies to rescue the economy. However, those policies failed to provide instant resolution on the situation. In 2008, the chairman of the Federal Reserve, Ben Bernanke, announced the implementation of the Quantitative Easing (QE) policy starting in March 2009. Japanese and European Central Banks also implemented the QE policy following the USA. The series of QE competition resulted in hot money cross flow to global stocks, real estate and commodity markets, which resulted in the concern of bubble bursting of the risk assets. Inevitably, Taiwan also suffered from it. In this study, the relation of US dollar Index and NT dollar exchange rate before the QE periods (from March 2001 to October 2006) and during the QE periods(from March 2009 to October 2014) are studied. Vector Auto Regression (VAR) model is used to study the correlation between US dollar index and NT dollar exchange rate fluctuation. The results significantly indicate that the impact of the US dollar index against NT dollar exchange rate was three times higher during QE periods. The results may be helpful for the import and export companies, market investors, and the government’s monetary policy.
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李姿瑱. "Cross hedging the NT dollar / US dollar exchange pate risk with foreign currency futures." Thesis, 1992. http://ndltd.ncl.edu.tw/handle/02815454385506821779.
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Huang, Shuo-chiao, and 黃鑠喬. "A Study of the Exchange Rates: New Taiwan Dollar and Renminbi vs US Dollar." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/30230495514622327807.
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碩士國立高雄第一科技大學
金融研究所
101
The US dollar has been an international currency, but this trend has been changed lately. Expecting quantitative easing to be on the wane, investors must pay attention to the effect of foreign exchange rate on the portfolio. China’s Renminbi is now one of the foci of the market. As China plays a bigger role in global trade, the world will watch closely China’s Renminbi exchange rate policy. Under the influence of US dollar and Renminbi coupled with the international finance and domestic politics, the policy of the exchange rate of the New Taiwan dollar needs to be revised. This paper explores such issues and the challenges of the international finance to Taiwan. The results show that in general statistical description, the unit root test and the EGARCH test, the China’s Yuan, in comparison with New Taiwan Dollar, has been more closely related to US Dollar. Granger Causality Test results show that the New Taiwan Dollar’s volatility is determined by the volatility of China’s Renminbi. Therefore, China’s Renminbi is more closely related to the US Dollar rather than the New Taiwan Dollar and such, China’s currency is more closely related to the world’s exchange rate.
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Wang, Yongqing. "U.S.-China commodity trade and the yuan/dollar real exchange rate." 2005. http://catalog.hathitrust.org/api/volumes/oclc/76955271.html.
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Lien, Po-Wei, and 連伯瑋. "Macroeconomic News and the Euro/Dollar Exchange Rate." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/51394393572371065626.
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Filippova, Daria. "Effect of foreign exchange interventions on volatility of dollar/yen exchange rate." Master's thesis, 2017. http://www.nusl.cz/ntk/nusl-357617.
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Japanese monetary authorities used to employ various intervention techniques to adjust the level of the dollar/yen exchange rate and reduce its volatility. Application of the GARCH-in- mean model for estimation of the effect of these operations demonstrates that depreciating interventions reduced volatility effectively from 1995 until 2002. Frequent interventions of the small scale had a tendency to increase volatility during period 1991-1995. Foreign exchange interventions conducted by US Fed have increasing, means negative, effect, on the conditional variance. Frequent interventions of the great scale do not affect the volatility; it is determined mostly by the persistent level of the conditional variance from the latter periods. Recent interventions conducted by the Bank of Japan after the financial crisis do not show any considerable effect on both the volatility and the level of the exchange rate.
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Day, Yueh Jen, and 戴月珍. "The Forecast of the Exchange Rate of the US Dollar Against the New Taiwan Dollar." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/44109558429475664219.
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碩士國立高雄應用科技大學
金融資訊研究所
101
Trade (imports and exports) is a very high proportion of Taiwan's GDP, therefore Taiwan's economy is greatly influenced by currency exchange rate fluctuations. Since the worldwide implementation of floating exchange rates, exchange rate volatility has been a concern for governments and the public. This study aims to investigate the exchange rate of the U.S. dollar against the New Taiwan dollar, how this exchange rate is influenced by the international crude oil, the gold prices, the Taiwan Stock Exchange Index, the Dow Jones Industrial Average, the dollar index, the interest rates, and the real exchange rate index, and to develop appropriate econometric models to forecast the exchange rate. This study analyzes samples of daily data from 2001 to 2011 using a back-propagation neural network, multiple regression, stepwise regression and random walk to clarify the interactions among the variables. It then uses the mean square error, root mean square error, mean absolute percentage error and mean absolute error to evaluate the performance of various forecasting models. Hopefully, this model's better explanation and more accurate predictions of exchange rate fluctuations can be used for making real decisions. The results show that the forecasts of the exchange rates of the U.S. dollar against the New Taiwan dollar based on the artificial neural network model performs better than those of other models.
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Gcilitshana, Lungelo. "Forecasting models for the dollar/rand spot rates." Thesis, 1998. https://hdl.handle.net/10539/25100.
Full textAbstract:
A research report submitted to the Faculty of Science, University of the Witwatersrand,
Johannesburg, South Africa, in partial fulfillment of the requirements for the Degree of Masters of Science.Owing to the complexity of hedging against the unfavourable price movements, derivatives came into being to solve this problem if used in an effective and appropriate manner. Movements in share or stock prices, foreign exchange rates, interest rates, etc., make it difficult to anticipate or guess the next price or exchange rate or interest rates. Hence hedging ones'self against these movements becomes a hurdle that is difficult to overcome. Coming to the fore of the derivatives markets made a relief to many traders, but still then, no one could be certain about the move of the market which he is trading in. Forecasting appeared as an educated guess as to which direction and by how much the market will move. This research report focusses on how to forecast the foreign exchange rates using the Dollar/Rand as an example. I have gathered the historical daily data for the DoIIar/Rand spot rates which includes the mayhem period that happened in February 1996. The data was obtained from one of the biggest banks of South Africa; it was drawn from the Reuters historical data giving the open, high, low and close prices of the Dollar/Rand (USD/ZAR) spot rates. The data was then downloaded and copied to the spreadsheet for the calculation of the historical volatilities for different periods. To have a genuine comparison with the implied volatilities, a data of historical implied volatilities tor approximately the same period was gathered from the SAIMB (South African International Money Brokers). The only snag with the data was that it only catered for specific traded periods, like 1 month, 2 months, 3 months, 6 months, 9 months and 12 months only. Most financial institutinns are using these implied volatilities for their pricing and end-of-day or -month or -year revaluation. By the same token the data was downloaded to the spreadsheet for further analysis and arrangement. Chapter 1 gives the purpose and the meaning of'forecasting, together with different methods that this process can be achieved. Views from Makridakis et al., (1983) are used to beautify the world of forecasting and its importance. In Chapter 2 the concept of volatility and its causes, is discussed in detail. Besides the implied and historical volatility discussions, volatility 'smile' concept is discussed and expanded. Volatility slope trading strategies and constraints on the slope of the volatility term structure are discussed in detail. Chapter 3 discusses different models used to calculate both the historical and the implied volatility. This includes models by Kawaller et al., (1994) and Figlewski et al., ( 1990). The Newton-Raphson method is among of the methods that can be used to get a good estimate of the implied volatility. For a lot accurate estimates the Method of Bisection can be used in place of the Newton-Raphson method. Mayhew (1995) even suggest a method, which involves the use of more weighting with higher vegas (Latane and Rendleman 1976) or weighting not by vegas but elasticity (Chiras and Manaster 1978). Chapter 4 dwells on different forecasting models for foreign exchange markets. This includes models by Engle (1993), who is one of the pioneers of the autoregression theory, He discusses the ARCH, GARCH and EGARCH models; Heynen et al., (1994,1995) discusses the models for the term structure of volatility implied by foreign exchange. In the 1995 article he dwells on the specifications of the different autoregressive conditional heteroskedastic models. U.A. Muller et al., (1990,1993) discusses some of the models for the changing time scale for short-term forecasting in financial markets. This includes discussion of some statistical properties of FX rates time-series. Xu and Taylor (1994) also discuss the term structure of volatility as implied, in particular, by FX options. Regression is used in computation of implied volatility Chapter 5 dwells on the empirical evidence and the market practice. This includes the statistical analysis of the data; applying the scaling law; proprietary model which depicts the edge between the historical volatility and implied volatility; empirical tests and the volatility forecast evaluation applied to historical USD/ZAR daily data, using different models. In the statistical analysis, using U.A. Muller et al., (1993) theory, the scaling law, which involves the absolute price changes, which are directly related to the interval At, is discussed. Using my GSD/ZAR data Imanaged to calculate the parameters described by the scaling law, using At as one day since my data is a daily data Icould not calculate the activity model function, which calculates the intra-day and intra-hour trading using tick-by-tick data, because of the nature of my data. Had it not been the case, f would have been able to calculate the intra-day and intra-hour volatilities. These statistics would have been able to depict the daily volatility, more especially on volatile days, like the day when the Rand took its first knock in February 1996. In the second section of the chapter the proprietary model is discussed, where an edge between the actual volatility and implied volatility was identified. There is a positive correlation between the actual and implied volatility although the latter is always higher than the former; hence traders can play with this situation for arbitrage purposes. To get the estimates of historical volatility, I used the Well-known formula of using the log-relatives of the returns of any two consecutive days. Annnalised standard deviation of these log-relatives resulted into the required historical volatility estimates. Moving averages were used to get estimates of different periods, as can be seen in the text. The main theme of the research report is to expose forecasting models that can be used in foreign exchange currencies using DolIar/Rand as an example. Random walk model was used as benchmark to other models like stochastic volatility, ARCH, GARCH( 1,1), and EGARCH (1,1). Due to the complexity of the specifications of these models, I used the SHAZAM 7.0 econometric program to generate the necessary parameters. Complex formulas of these models are given in the Appendices at the end of the report, together with the program itself. The significance of the forecasted volatility estimates was checked using the p-value correlation statistic and the Akaike Information Criterion (AIC). The p-value gives us the significance of the parameters and the AlC gives us an indication of the goodness-of-fit of the model. The formulas used to calculate these statistics are given at the end of the report as part of the Appendices. An account of where and how shese results can be of help in the practical situation is given under the section of market practice. One of the areas worth mentioning is in risk management, where estimates of the historical volatility can be used together with correlation in risk-metrics to calculate VArt (value-at-risk). VAR is defined in simple terms as the 5thpercentile (quantile) of the distribution of value changes. The beau.y of working with the percentile rather than, say the variance of a distribution, is that a percentile corresponds to both a magnitude e.g., dollar amount at risk, and exact probability e.g., the probability that the magnitude will not be exceeded. This roughly the gist of the research report.
Andrew Chakane 2018
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Kuo, Yi-Che, and 邱乙哲. "Structure Time series model Analyses and Application in Taiwan Dollar per U.S. Dollar real Exchange Rate." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/rh5vcp.
Full textAbstract:
碩士銘傳大學
風險管理與統計資訊研究所
92
Using structural time series model studies the NT/US real exchange rate of the unobservable component, the trends, seasonal variables, and cycle variables. The advantage of structural time series is that it can produce the estimator, filter, confidence interval. Furthermore, it also forecasts the time series data and has the good property of the statistics. The studied object of the structural time series is NT/US real exchange rate from the period of Jan in 1995 to Dec in 2003. In the research, we discover that the Taiwan dollar per U.S. dollar real exchange rate is affected by the trend variables, not by the seasonal variables and cycle variables. Furthermore, there is an intervention on the residual plot of the trend variable in April 2000. According to the purchasing power parity and uncovered interest parity, we use two explanatory variables, which are the different of the interest of two countries and the ratio of price index of the two countries, to fit the model. Finally, we can find out the best forecast model that composed of the trend variable, intervention variable, and explain variables that these are the index of the U.S. and the price index of the Taiwan. Finally, we get the conclusion. The first conclusion is that the purchasing power parity and uncovered interest parity don’t well explain the the Taiwan dollar per U.S. dollar real exchange rate perfectly but the price index is still considered the important variable. The second conclusion the structural time series model compared with the random walk model, the random walk model has better the forecasting ability. The third structural time series model has the stable predicted interval. Finally, the trend variable increases 7.87% per year, and the NT/US real exchange rate tend to depreciate on the first half in 2004.
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Tzu-Chien, Li, and 李子建. "Cross Hedging the NT Dollar/US Dollar Exchange Rate Risk with Foreign Currency and Commodity Futures." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/31171647423030219179.
Full text
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Shih, Cehn-Sheng, and 施賑勝. "The Study of Forecasting The Short-Run Exchange Rate of Usd Dollar Against New Taiwan Dollar." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/03684001358346094762.
Full textAbstract:
碩士世新大學
經濟學研究所(含碩專班)
93
This essay is going to have a research on Dollar against New Taiwan dollars（NTD）on short term trend. The samples selected are mainly from two distinguished group, one is for building the exchange rate model from July 1st to Dec 31st, 2003; the other is for forecasting purposes from Jan 2nd to Jun 30, 2004. Four independent variables on this paper are as follows: The close rate of prior day, the difference of Taiwan Stock Weighted Index (TSWI) with prior day, The difference of Dollar against Yen’s close rate with prior day, and the difference of the swap points between Dollar against NTD Non-Delivery Forward (NDF) and Delivery Forward(DF). We adopts Ordinary Least Square (OLS) method to build model I and Model II; at the same time we apply Generalized Autoregressive Condition Heteroscedasticity (GARCH) model to build our model III and Model IV. The MSE and MAPE are implemented as the indicators to forecast our model’s accuracy. After we take the above steps we can find the results as follows: 1.We compare four models and we can find that the GARCH (1,1) in time serial is the most accuracy and better than the regression model. 2.We found GARCH (1,1) with model III perform better than Model IV. 3.The fluctuation of swap points both on NDF and DF can be a useful indicators of expectation. 4.The difference of Dollar against Yen’s close rate with prior day can be a useful indicators while we are forecast the trend of Dollar. 5.TSWI is not a good indicator to forecast the fluctuation of exchange rate. Because it probably exists some correlation between TSWI and other macroeconomic variables.
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Chang, Hung-Hsi, and 張弘錫. "Comparing value at risk with different frequencies of data for the NT dollar-US dollar exchange rate." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/75663050797360464112.
Full textAbstract:
碩士東吳大學
經濟學系
89
Value at Risk( VaR ) provides us a single, summary statistical measurement of most possible portfolio losses. VaR of course can be one of indicators helping us decide when we should hold our assets in foreign currency. By using both the daily and intra-day data of NT/$ exchange rates, we compare VaR estimation accuracy by different data frequency and see whether the high frequency data could provide more extra market information. Our empirical results show two significant phenomena: 1.High frequency data can provide more market information in estimating VaR.2.If both daily data and intra-day data are available, the higher frequency one could be a much better choice. Because more market information within trading day could be sufficiently revealed and included when we compute the VaR with high frequency data.
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Lin, Yu-Hsiu, and 林育秀. "The Impact of Change in Exchange Rate of New Taiwanese Dollar to the R.M.B. Dollar and the U.S. Dollar on Taiwan''s Exports." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/93900020983105719290.
Full textAbstract:
碩士朝陽科技大學
財務金融系碩士班
96
This study investigated the impact of the fluctuation in both ratios of the U.S. dollar and the R.M.B. dollar to New Taiwanese dollar on Taiwan''s export trade. We employed GARCH model, TGARCH model and EGARCH model to estimate the fluctuation in foreign exchange rate and then plug those into the export equation. The possibility of leverage effect would be taken into account. The empirical results show that by employing EGARCH (1,1) as a model of the estimated fluctuations in exchange rate, we could capture the presence of leverage effect. The results also show that the Taiwanese export to the United States and China would increase as fluctuation in exchange rate rises.
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Peng, Jung-Mao, and 彭榮茂. "Efficiency Tests of U.S. Dollar Forward Exchange Market in Taiwan." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/23565863940933973428.
Full textAbstract:
碩士輔仁大學
金融研究所
86
Much evidence indicates the unbiasedness of the forward rates could be rejected. Most literatures state that there are several interpretations of this evidence including risk premium、central bank intervention、 exchange cost and so on. This paper investigates the unbiasedness of N.T./U.S. dollar forward rates since its reopening (from December 1991 to December 1997). As to the interpretations of the biasedness, it is out of the ordinary that we consider not only the forward rate prediction errors at (t-1) period but also other economic information that we have mentioned at the same time. Furthermore, under a systematic research framework, this paper involves non-stationary data problem and considers the heteroskedasticity and autocorrelation consistent covariance matrix estimator to obtain more consistent and efficient results. And the research evidence consists of four parts. Firstly, under the prespecified relation of [1,-1], both 1-month and 3-month horizon do not reject the cointegratin relation between future spot rate and forward rate. Secondly, prediction errors are not orthogonal to economic information available at the time predictions are made, that is the orthogonal condition of forward rate is not satisfied. Thirdly, the results of GARCH-M model are similar with that of orthogonality test, and we demonstrate that forward market does not exist time-varying risk premium. Besides, all of the available economic variables can not explain the condition variance. Fourthly, the performance of prediction model condition on available economic information is not better than other prediction model like random walk or AR(1) model.
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Lee, Yumg-Ming, and 李源明. "NT/Dollar Exchange rate Forecasting at different time-frequency data." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/11032821799372266173.
Full text
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Lai, Hsin-Ting, and 賴信廷. "The Determining Factor of Quantitative Easing Monetary Policy for the Exchange Rate of NT Dollar against U.S. Dollar." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/72364287001959191733.
Full textAbstract:
碩士銘傳大學
財務金融學系碩士在職專班
99
This article discusses the effects of two quantitative easing monetary policies especially after the subprime mortgage crisis in 2008. U.S., in November 2008, began the first monetary policy (Quantitative Easing 1) that provided financial aid US $20 billions dollars in Citigroup and US $300 billions dollars for its non-performing assets. Besides, US government bought Freddie Mac, Fannie Mae and Federal Home Loan Bank issued US $100 billions dollars in bonds and US $500 billions dollars in CDS. In November 2010, the government announced second monetary policy (Quantitative Easing 2) and promised to purchase US $600 billions dollars in long-term government bonds before the end of June 2011. From QE1 to the QE2, U.S. government constantly pushing the large money supply to the world especially in the emerging markets, of course, Taiwan is one of them. The quantitative easing monetary policy is indeed on exchange rate of the NT dollar against the U.S. dollar is causing significant impact. In this article, the variances are quarterly data of the fluctuation rate of the NT dollar against the U.S. dollar spot exchange rate, expected inflation rate, GDP rate interest rate and the M2 fluctuation rate in both Taiwan and U.S, furthermore, the study adds two dummy variables QE1 and QE2. The article adopts time series method (OLS) and the ADF, PP and KPSS test and finally, the author use the error correction model to explore. Conclusively, the results expressed in terms of relative PPP theory and the international Fisher effect of the error correction term and dummy variables were significantly that represents the quantitative easing monetary policy in the U.S. would indeed motivate the U.S. capital flows to emerging markets such as Taiwan and the spot exchange rate impact.
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LU, HUI-FANG, and 盧慧芳. "A Comparative Study of Univariate Forecasting Methods Based on the Exchange Rate between New Taiwan Dollar and U.S Dollar." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/90298265894660341464.
Full textAbstract:
碩士國立臺灣海洋大學
航運管理學系
101
As the liberalization of global trade, international trade is increasing. The floating exchange rate mechanism results in the uncertainty on the exchange rate and produces a huge variable for the international trade and investments. If we have a good grasp of trend variations of the exchange rate and make an apporiate hedge against fluctuations, it can effectively reduce the fluctuation risk of exchange rate. The purpose of this study is to provide a more accurate prediction model on the forecasting based on NT - US exchange rate for monthly data. Five different univariate methods, namely the Classical Decomposition Model, the Regression Model with Seasonal Dummy Variables, the Trigonometric Model, the Grey Forecast, the Hybrid Grey model , have been used. The contribution of this research is to compare the forecasting results of the five univariate methods based on commonly used evaluation criteria, MAE, MAPE and RMSE. We found that, the Regression Model with Seasonal Dummy Variables model is a reliable prediction method for forecasting NT - US exchange rate. The results of this work can be a helpful to reference the forecasting NT - US exchange rate.
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Shu-Hua, Lin, and 林淑華. "A Study of the Correlations Between Macroeconomic Factors and the Exchange Rate Between New Taiwan Dollar and US Dollar." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/17350437726895815684.
Full textAbstract:
碩士樹德科技大學
金融與風險管理系碩士班
98
Due to the following two reasons, foreign trade in Taiwan is facing a even more severe competition. The first reason is the fact of that Taiwan is not one of the members of the Association of South-east Asian Nations. The second reason is due to the increasing inflation that currently occurs in Taiwan. Hence, the importance of studies of the interactive relationships among prices, interest rate, money supply, industrial productive index, oil prices and exchange rate have become increasingly significant. The researcher applied VAR model for analyses; on the other hand, the researcher also used both Granger Causality Test and Impulse Response Function as the tools of understanding the relationships of interactive influences among prices, interest rate, money supply, industrial productive index, oil prices and exchange rate. According to the results of empirical study, prices are influenced positively by industrial productive index; nevertheless, both money supply and exchange rate have significant negative influences on prices. The influence of industrial productive index on interest rate is positive and shows a one-way causal relationship. The influence of prices on money supply is positive and shows a two-way causal relationship; on the other hand, the influence of industrial productive index on money supply is significantly negative. Industrial productive index is influenced positively by prices, interest rate of the prior three quarters, industrial productive index, oil prices and exchange rate of the prior quarter; however, influences brought by interest rate of the prior quarter, money supply and exchange rate of the prior two quarters are significantly negative. Exchange rate is influenced positively by prices; nonetheless, influences made by money supply and industrial productive index are significantly negative and show a two-way causal relationship.
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SHU, SIN-MING, and 徐希銘. "Using the neural network model to predict taiwan dollar exchange rate." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/72410857430096188434.
Full textAbstract:
碩士東吳大學
企業管理學系
91
[摘要] Apart from the original sample test, Messe and Rogoff (1983) once analyzed movement in exchange rate by using structural model and time series in order to compare the accuracy in the exchange rate forecast. In result of that, they have discovered errors in the formula and sample test in this structural currency amylases model and therefore proved structural currency amylases model only valid in theory but not with real market forecast. Thus, performance in random walk model would certainly performed better than most of traditional structural model. In order to find out more advanced exchange rate forecast models and therefore resolve errors created by traditional structural model. We have decide to use Neural Network combined with traditional exchange rate forecast model as well as technical amylases on this experiment. Our aim for this experiment was to search the factors that contribute to the changes in exchange rate and therefore apply these factors as learning particles into the neural model so that we can predict long term TWD exchange rate with the ongoing amylases in the real sample test. Feeding BPN with real time TWD information together with the factors discovered Neural model test in order to forecast the accuracy, we have discovered that test itself was actually better performed than random walk model as well as regression test in forecast TWD movement.
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Lin, Chia-Ying, and 林佳穎. "The effectiveness of Turkish intervention in the lira/dollar exchange market." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/57650612686820095004.
Full textAbstract:
碩士淡江大學
經濟學系碩士班
100
A nonlinear heterogeneous agent model is applied to the lira/dollar exchange rate market to discuss the channels of an effective central bank intervention. The existence of two hypothetical channels proposed by Hung (1997) and Reitz and Taylor (2008) are tested and confirmed. Evidence shows heterogeneous agents are active in the lira/dollar market where the stabilizing force from the fundamentalists declines in large misalignments. Central bank can achieve the aim of the intervention through the noise trading channel and coordination channel. Central bank intervention is effective in arousing the trend-reversing sentiment among chartists to prevent market from explosion. The intervention is also effective in strengthening fundamentalists’ confidence that the market will move toward its theoretical equilibrium.
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LU, YI-TING, and 呂依婷. "The Influences of FOMC meetings on the Exchange Rate Volatilities for Euro, Japanese Yen, and Australian Dollar against US Dollar." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/04830808827548127968.
Full textAbstract:
碩士輔仁大學
金融與國際企業學系金融碩士班
101
The study adopted American Federal Reserve Board with decisive influences on global financial market as the research subject to discuss the variation of foreign exchange market during its meeting period. However, there are many uncertainties to the effects of monetary policies to exchange rate, therefore the study does not focus on the variation of exchange rate of US dollar to related currencies (AUD, EURO, JPY), but pays attention to increasing fluctuation of foreign exchange market due to uncertainties caused by the orientation of Fed new policies from time to time. The study adopted exchange rates of USD to AUD, EURO and JPY via GARCH model to discuss whether there is greater fluctuation before, after or on the Fed meeting day. The results show that it has significant influence on exchange rate fluctuation before, after and during the Fed meeting period no matter it is USD to AUD, EURO or JPY such different currencies. In addition, different variables are also incorporated and applied to GARCH model, such as interest rate increase or decrease in Australia, Europe bond crisis message and interference of Japanese Central Bank. They all evidence that the market information would affect the return of exchange rates, which happens to coincide with the market efficiency theory stressed by many literatures in the past.
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Wang, Yu-Hua, and 王渝樺. "A study on the impact of trade surplus on the movement of exchange rate of U.S. Dollar against NT Dollar." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/44240179108611465317.
Full textAbstract:
碩士國立中興大學
高階經理人碩士在職專班
97
Abstract This paper aims to research the impact of Taiwan’s trade surplus on the movement of the NT dollar against the US dollar. The trade surplus has become a key factor that affects the movement of the NT dollar against the US dollar. In addition, this paper associates macroeconomic and other financial variables with fluctuations in the NT / US exchange rate. Hopefully, this research may function as a reference tool for investors and organizers in Taiwan when allotting assets to decrease losses and risks caused by fluctuations in the exchange rate. Besides the trade surplus, this empirical study also takes six other variables into consideration: monetary supply, the exchange rate of the US dollar against the Japanese Yen, the exchange rate of the US dollar against the KRW (Korean Won), the change in the rate of foreign exchange reserves, ratio of changes of Taiwan OBU deposit, and TaiEX index, respectively. The research data was collected from 216 points of data per month in January 1991 to December 2008, and was examined initially by Variance Inflation Factor (VIF), followed by simple and multiple regression analyses to explain the relationship between the NT / US dollar exchange rate and variables. This paper finds: 1. Taiwan’s trade surplus manifests a significant influence on the movement of the exchange rate of the NT/US dollar, as derived from both simple regression and multiple regression analyses. However, the explanatory evidence is shaky as shown in the regression model. The resulting positive variable coefficient symbol is not consistent with the negative direction expected as per the balance theory of international payment. 2. The result derived from the multiple regression analysis proves that variables are strongly related to the appreciation of the NT dollar against the US dollar. All variables in this research, except the change in the rate of foreign exchange reserves, are at the significance level - 0.05 - that influence the exchange rate of the NT dollar against the US dollar. 3. In this empirical study, all six variables (except for monetary supply which indicates a negative relationship with that expected in monetary school theory), show a positive relationship as expected. 4. With the reform in Finance and Foreign Exchange policy in Taiwan and the characteristics of industry relocation and trading business nature, Taiwan’s enterprises adjust and transfer their business operations, financial management, fund inflow and outflow into accounts of OBU. Namely, the OBU funding balance could also be regarded as an extension of Taiwan’s trade surplus. A significant relationship exists within the association of ratio of changes of Taiwan’s OBU deposit with the volatility of exchange rates, and its negative variable coefficient symbol shows consistency with that expected in balance theory of international payment. To conclude, this paper proposes that the trade surplus has a tremendous impact on the appreciation in the exchange rate of the NT dollar against the US dollar. This paper hopes to provide a simple and effective method to better evaluate the trends behind the exchange rate of the NT dollar against the US dollar using widely available information. Keyword: Exchange Rate, Trade Surplus, multiple regression analyses, Taiwan OBU deposit, Dollar against Yen, Variance Inflation Factor.
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Yang, WAN-CHU, and 楊琬竹. "A Research of the Interactive Relationship of Taiwan Stock Market Index ,Dollar Exchange Price and Dollar Prices of Dubai Oil." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/36807942060463260505.
Full textAbstract:
碩士國立高雄應用科技大學
財富與稅務管理系碩士在職專班
104
The main intention of this research was to inquire into the Taiwan Weighted Index, explore the dollar and oil prices of Dubai related research. Empirical research are:: descriptive statistics, Pearson correlation coefficient, a single test, the optimal lag periods, Johansen co-integration relationship test, vector error correction model, Granger causality test. Data sampling time of day information 2 January 2001 to 31 December 2015 date, a total of 15 during the data, a total of 3,650 strokes date information. The results of this research are as follows that Taiwan's Weighted Price Index, the dollar and Dubai oil prices stabilize all the variables are the long-run equilibrium relationship. Taiwan Weighted Stock Price Index and the US dollar and Dubai oil prices influence each other, in which the US dollar directly affect Taiwan's Weighted Price Index is more obvious, and Dubai oil prices will significantly affect the Taiwan Weighted Index also reflects oil prices and stock prices are closely related.
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Hopkins, S. "The applicability of the portfolio balance model of exchange rate determination to the Australian dollar." Thesis, 1992. https://eprints.utas.edu.au/20294/7/whole_HopkinsSandra1994.pdf.
Full textAbstract:
Two issues represent a substantial and continuing challenge to the central bank of a
small open economy. The first relates to the correct identification of the 'mix of
domestic and external influences on the exchange rate. Correct identification is a
first step toward the formulation of a coherent domestic commercial policy: one
which provides desired domestic and external policy outcomes. The second requires
a clear understanding of the mechanisms of control; the channels of influence open
to the central bank if they are able to meet policy targets.
In order to address these two issues, the analysis develops a portfolio balance model
of exchange rate determination incorporating the role of central bank foreign
exchange market intervention behavior. The portfolio balance model is a short term
one, restricted to periods of less than one year where the exchange rate is viewed as
an asset price influenced by changes in the demand and supply of domestic money,
domestic and foreign currency denominated financial assets. Incorporation of central
bank behaviour into the model expands a private sector driven view of exchange rate
determination into one where there is a role for both private and public sector foreign
exchange market behaviour.
A further issue, which builds on the first mentioned above, is the impact of public
sector behaviour on private sector participants in the exchange rate determination
process. The relationship between the two sets of participants in the foreign exchange
market - public and private - is reflected in the effects of central bank intervention
on the decisions made by private sector investors. The risk premium required by for example, foreign investors holding a domestically denominated asset may alter with
central bank action in the foreign exchange market The influence of intervention
activity is not confined to the relationship between central bank intervention and the
foreign exchange risk premium but also to the more fundamental issue of whether
there is a risk premium or not.
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Cann, Benjamin. "Choosing a data frequency to forecast the quarterly yen-dollar exchange rate." Thesis, 2016. http://hdl.handle.net/1828/7587.
Full textAbstract:
Potentially valuable information about the underlying data generating process of a dependent variable is often lost when an independent variable is transformed to fit into the same sampling frequency as a dependent variable. With the mixed data sampling (MIDAS) technique and increasingly available data at high frequencies, the issue of choosing an optimal sampling frequency becomes apparent. We use financial data and the MIDAS technique to estimate thousands of regressions and forecasts in the quarterly, monthly, weekly, and daily sampling frequencies. Model fit and forecast performance measurements are calculated from each estimation and used to generate summary statistics for each sampling frequency so that comparisons can be made between frequencies. Our regression models contain an autoregressive component and five additional independent variables and are estimated with varying lag length specifications that incrementally increase up to five years of lags. Each regression is used to forecast a rolling, one and two-step ahead, static forecast of the quarterly Yen and U.S Dollar spot exchange rate. Our results suggest that it may be favourable to include high frequency variables for closer modeling of the underlying data generating process but not necessarily for increased forecasting performance.Graduate
0501
0508
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benjamincann@gmail.com
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施柔榆. "The Spillover Between US/NT Dollar Exchange Rate and Taiwan Stock Index." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/01894097594012158297.
Full textAbstract:
碩士國立彰化師範大學
企業管理學系國際企業經營管理
101
The objective of this study is to investigate the existence of volatility spillover effect between US dollar exchange rate and Taiwan Stock Exchange (TSE) stock index over the period from Jan. 4, 2000 to Nov. 30, 2011. A GJR-GARCH model is utilized to perform the empirical analysis. The empirical finding suggests the existence of volatility spillover effect between the US Dollar Exchange Rate and TSE stock index in Taiwan equity market.
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SONG, YAN-SHENG, and 宋彥陞. "Investment Decision System of Dollar-Cost Averaging：The Case of Exchange Traded Fund." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/rrn532.
Full textAbstract:
碩士國立高雄第一科技大學
資訊管理系碩士班
106
This paper focuses on the optimal periods and internal rate of return of the 36-period investment on the basis of Dollar-Cost Averaging investment in different ETFs. We analyze of the adjustment period and the rate of return for the Optimal Period Investment in Fixed Income Investment. Then compared the traditional Dollar-Cost Averaging investment with the 36-period investment and the Optimal Period Investment in Fixed Income Investment, to observe which investment will be better than the traditional Dollar-Cost Averaging investment in the performance part. The results of the study found that the performance of the 36-period investment will be much better than the traditional Dollar-Cost Averaging investment. However, this study also finds that the selection of investment targets is very important. In the analysis results of this study, there are ETFs with negative returns. This study finds their common feature is that their stock price trends are all downward. To choose upward trend investment targets and to invest in the Optimal Period Investment in Fixed Income Investment will get better investment performance.
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Tsai, Hung-Hui, and 蔡宏輝. "The Effect Research of Dollar Exchange Rate Fluctuations upon Taiwan Stock Market." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/68kmkf.
Full textAbstract:
碩士樹德科技大學
金融系碩士班
106
This study uses the return rate of the Taiwan stock market as a research object to discuss the effects of the exchange rate of the US dollar against the New Taiwan dollar and the exchange rate of the RMB against the New Taiwan dollar on the return rate of the Taiwan stock market. Through the Taiwan Economic Journal (TEJ), information on the three indicators of the US dollar exchange rate, the exchange rate of the RMB against the New Taiwan dollar, and Taiwan Capitalization Weighted Stock Index (TAIEX ) between 2000 and 2016 was collected and divided into the pre-Financial Crisis periods (2000-2008), the post-Financial Crisis period (2009-2016), and the period of the overall data (2000-2016) and other three periods of empirical analysis, and the use of regression analysis to detect the correlation between each other to understand the exchange rate and the effect of the changes on the return rate of the Taiwan stock market. The study found that the exchange rate of the US dollar against the New Taiwan dollar had a significant impact on the return rate of the Taiwan stock market both in the pre-Financial Crisis periods (2000-2008) and in the post-Financial Crisis period (2009-2016). The exchange rate of the RMB against the New Taiwan dollar was changed no matter before the pre-Financial Crisis periods or post-Financial Crisis period. The period has no significant effect on the return rate of the Taiwan stock market.
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Rodrigues, Pedro Themido Pereira. "Does funding liquidity help predict U.S Dollar returns?" Master's thesis, 2019. http://hdl.handle.net/10400.14/29042.
Full textAbstract:
Predicting the future value of an exchange rate has been a long-standing challenge in economics. There is still no evidence of any model or technique that has consistently been proven to beat the random walk model. The current objective of this thesis is to check if there is a liquidity channel tied to banking funding that allows us to explain some part of the performance of currency returns. The present analysis focuses on the paper “Risk Appetite and Exchange Rates” by Adrian et al. (2015) where it is claimed that there is a statistically significant relationship between banks’ funding capacities and changes in exchange rates. This relation seems to be more prominent for currencies of more developed countries. In my analysis, the liquidity aggregates (Commercial Paper and Repo) also display some explanatory power, though less than in Adrian et al. Importantly, however, I show that using linear time de-trending as the authors do presents stationarity problems for both liquidity aggregates, especially for Repo volume. The statistical inference of the OLS results is therefore limited. Moreover, in the fitted models, adding a dummy variable and a dummy variable with interactions with the two liquidity aggregates, as in Adrian et al. (2015), reduces the individual significance of the coefficients’ estimates for the liquidity variables. Overall, my analysis casts doubt on the results obtained in Adrian et al. (2015).A previsão do valor futuro de uma taxa de câmbio é um desafio de há muito tempo no campo da economia. Ainda não há provas concretas de nenhum método que seja capaz de bater o random walk model, na previsão das taxas de câmbio futuras. O objectivo desta tese é analisar se existe algum liquidity channel relacionado com o mecanismo de financiamento dos bancos que ajude a explicar alguma parte da performance do retorno das moedas. A análise desta tese debruça-se sobre o paper “Risk Appetite and Exchange Rates” por Adrian et al. (2015), onde se afirma que existe uma relação estatisticamente significativa e positiva entre a capacidade de financiamento dos bancos e os retornos da moeda em que é denominado esse financiamento. Esta relação parece mais forte entre moedas de países desenvolvidos. Na minha análise, os agregados de liquidez (Papel Comercial e Repo) também revelam algum poder explicativo, ainda que este seja menor que aquele apresentado em Adrian et al. (2015). Digno de nota é que o método de de-trending (linear time de-trend), usado pelos autores, produz séries com problemas de estacionariedade, especialmente para o valor do Repo. A inferência estatística é portanto limitada. Além disso, nos modelos ajustados, usar uma dummy variable e uma dummy variable com interacções com os agregados de liquidez, como em Adrian et al. (2015), reduz a significância individual para as estimativas dos coeficientes das variáveis de liquidez. Em suma, o meu estudo levanta dúvidas sobre os resultados encontrados em Adrian et al. (2015).