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1
Bottazzi, Laura. "Essays on exchange rate targets and interest rates." Thesis, Massachusetts Institute of Technology, 1992. http://hdl.handle.net/1721.1/12879.
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Al-Zoubi, Haitham. "New Evidence on Interest Rate and Foreign Exchange Rate Modeling." ScholarWorks@UNO, 2003. http://scholarworks.uno.edu/td/467.
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This dissertation empirically and theoretically investigates three interrelated issues of market anomalies in interest rates derivatives and foreign exchange rates. The first essay models the spot exchange rate as a decomposition of permanent and transitory components. Unlike extant analysis, the transitory component could be stationary or explosive. The second essay examines the market efficiency hypothesis in the foreign exchange markets and relates the rejection of forward rate unbiasedness hypothesis to the existence of risk premium not to the failure of rational expectation. The third essay examines the behavior of short-term riskless rate and models the risk free rate as a nonlinear trend stationary process. While addressing these issues, these essays account for: (1) finite sample bias; (2) Unit root and other nonstationary behaviors; (3) the role of nonlinear trend; and (4) the interrelations between different behaviors. Several new results have been gleaned from our analysis; we find that: (1) the spot exchange rates display a very slow mean aversion behavior, which implies the failure of the purchasing power parity; (2) there are positive autocorrelations across the long horizons overlapping returns increases overtime and then begin to decline at a very long horizon period; (3) the short-term riskless rate displays a nonlinear trend stationary process which is closer to driftless random walk behavior; (4) modifying the mean reverting shortterm interest rates models to a nonlinear trend stationary shows an extreme improvement and outperforms all suggested models; (5) the traditional tests for rational expectations and market efficiency in the foreign exchange markets are subject to size distortions; (6) we relate the rejection of market efficiency in the foreign exchange markets documented across most currencies to the existence of risk premium not to the rejection of rational expectation hypothesis.
3
Nikolaou, Kleopatra. "Essays on exchange rate and interest rate fluctuations." Thesis, University of Warwick, 2007. http://wrap.warwick.ac.uk/61950/.
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The aim of this thesis is to further investigate new empirical methods, results and implications on major topics relating to foreign exchange and interest rate markets. To this end, this thesis is organised in three chapters. The first chapter focuses on nominal exchange rates. It extends the literature of foreign exchange unbiasedness by including information from different derivatives markets. For the purpose of this thesis, it also implicitly provides a lead on the behaviour of interest rate differentials. The second chapter uses innovative econometric methodologies to add new insights in the behaviour of real exchange rates. Finally, Chapter Three explicitly models the international linkages between the interest rate differentials across countries with clear monetary policy implications. More specifically, a large empirical literature has tested the unbiasedness hypothesis in the foreign exchange market using forward exchange rates. In the first chapter we amend the conventional testing framework to exploit the information in currency options, using a newly constructed data set for three major dollar exchange rates. The main results are that: (i) tests based on stationary regressions suggest that options provide biased predictions of the future spot exchange rate; (ii) cointegration-based tests that are robust to several statistical problems afflicting stationary regressions and allow for endogeneity issues arising from a potential omitted risk premium term are supportive of unbiasedness. In the second chapter we test for mean reversion in real exchange rates using a recently developed unit root test for non-normal processes based on quantile autoregression inference in semi-parametric and non-parametric settings. The quantile regression approach allows us to directly capture the impact of different magnitudes of shocks that hit the real exchange rate, conditional on its past history, and can detect asymmetric, dynamic adjustment of the real exchange rate towards its long run equilibrium. Our results suggest that large shocks tend to induce strong mean reverting tendencies in the exchange rate, with half lives less than one year in the extreme quantiles. Mean reversion is faster when large shocks originate at points of large real exchange rate deviations from the long run equilibrium. However, in the absence of shocks no mean reversion is observed. Finally, we report asymmetries in the dynamic adjustment of the RER. Finally, in the third chapter we employ dynamic factor modelling and maximum likelihood estimation to investigate the existence, the patterns and the implications of common fluctuations in the money market rate differentials of a group of countries visa-vis the US or Germany. To the extent that money market rates reflect monetary policy decisions we argue that the resulting global factor represents the common part of monetary policy deviations across countries. We find that a significant part of such policy deviations is shared across countries and in fact is mainly driven by the policy interactions of the EU and the US. In particular, the US interest rate seems to emerge as a potential global interest rate. The implication is that policy makers should pay closer attention to foreign policies when setting domestic ones.
4
Chui, Hiu-fai Sam. "Evaluation of measures taken by financial institutes under the interest rate swing caused by the currency attack /." Hong Kong : University of Hong Kong, 1998. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19882117.
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Can, Mutan Oya. "Real Exchange Rates And Real Interest Rate Differentials: An Empirical Investigation." Master's thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/2/12606669/index.pdf.
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This study investigates the validity of the real exchange rate-real interest rate differential (RERI) relationship for a sample of twenty-three developing and developed countries. The results based on the Johansen cointegration analysis suggest the validity of the long-run RERI relationship only for a small number of countries including Canada, Italy, Switzerland, Belgium, Chile, Israel and Norway. Real interest rate differentials are found to be positively associated with real exchange rates in the long-run for every country except Israel. The results of the weak exogeneity tests suggest that real exchange rates are the adjusting variables for Italy, Switzerland, Belgium and Israel. Consistent with an endogenous response of domestic interest rates to a real exchange rate shock policy rule, real interest rate differentials are found to be endogenous for the parameters of the cointegration vector for Canada, Chile and Norway.
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Galindo-Paliza, Luis Miguel Alejandro. "The demand for money, interest rates and the exchange rate in Mexico." Thesis, University of Newcastle Upon Tyne, 1994. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.241548.
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Olugbode, Mojisola. "The exchange rate and interest rate exposure of UK non-financial firms and industries." Thesis, University of Plymouth, 2010. http://hdl.handle.net/10026.1/380.
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Exchange rate and interest rate risk have been documented as the most managed financial risks by most UK non-financial firms and industries. This is probably because of the severe adverse effects that contrary movements in these financial risks can have on the value of the firm or industry. Nevertheless, empirical studies on these risks have been very few and predominantly limited in scope. Therefore, using a sample of 402 UK non-financial firms from 31 industries, over the period January 1990 to December 2006, this study examines the relevance of these financial risks on the stock returns of firms and industries. Following the weaknesses of the Ordinary Least Square (OLS) methodology, the AR(I)EGARCH-M model was subsequently used for the estimation. The results indicated that the stock returns of UK firms and industries were more affected by long-term interest rate risk than exchange rate risk (Trade weighted index, US$/£ JP¥/£, ECU/£ and Euro/£) or even short-term interest rate risk. Furthermore, the introduction of the euro reduced the exchange rate exposure and interest rate exposure of only a few UK firms and industries. Additionally, by means of the Herfindahl index as a measure of industry concentration, competitive industries were found to exhibit a higher degree of exposure to movements in exchange rates and interest rates, and also higher volatility in returns than industries that were classified as concentrated. Then using firm specific accounting variables, the results indicated that the determinants of exchange rate exposure were different to that of interest rate exposure. Finally, it was also found that for most UK firms and industries: increased risk did not necessarily lead to an increase in returns; severe adverse movements in exchange rates and interest rates can potentially make returns more volatile; volatility of returns has time varying properties; persistence of volatility is much higher in some firms and industries than others; and the volatility of returns increased in the period after the introduction of the euro.
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Unger, Julian. "A small open economy’s view on interest rate differential’s relation to the nominal exchange rate." Thesis, Linnéuniversitetet, Institutionen för nationalekonomi och statistik (NS), 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-65487.
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The characteristics of interest rate differentials’ relationships with the change in nominal exchange rates are here investigated from the small open economy Sweden’s pointof view. We assume rational expectations and risk neutrality. However, these are solelysufficient but not necessary conditions. The only necessary condition is that the deviationsfrom rational expectations and risk neutrality are uncorrelated with the interestrate differential (Chinn and Meredith 2004, p. 412). We find no evidence for the interestrate differentials to be unbiased predictors of the percentage change in nominalexchange rates. With 3- and 6-month maturity interest rates, the signs are positivealthough not statistically different from zero.
9
Wang, Zhiyuan. "Study the relationship between real exchange rate and interest rate differential – United States and Sweden." Thesis, University of Skövde, School of Technology and Society, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:his:diva-83.
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This paper uses co-integration method and error-correction model to re-examine the relationship between real exchange rate and expected interest rate differentials, including cumulated current account balance, over floating exchange rate periods. As indicated by the dynamic model, I find that there is a long run relationship among the variables using Johansen co-integration method. Final conclusion is that the empirical evidence is provided to show that our error-correction model leads to a good real exchange rate forecast.
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Ryou, Hyunjoo. "Exchane Rate Dynamics under Financial Market Frictions- Exchange rate regime, capital market openness and monetary policy -Electoral cycle of exchange rate in Korea : The Trilemma in Korea." Phd thesis, Université de Cergy Pontoise, 2012. http://tel.archives-ouvertes.fr/tel-00838836.
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-Exchange Rate Dynamics under Financial Market FrictionsThis paper extends Dornbusch's overshooting model by proposing "generalized interest parity condition", which assumes sluggish adjustment on the asset market. The exchange rate model under the generalized interest parity condition is able to reproduce the delayed overshooting of nominal exchange rates and the hump-shaped response to monetary shocks of both nominal and real exchange rates.-Electoral Cycle of Exchange Rate in KoreaThis paper empirically investigates the real exchange rate behavior around elections in Korea. We find that the real exchange rate depreciates more before the elections but there is no clear pattern found after the elections. Interestingly, this result is the opposite of the electoral cycle found in Latin American countries. To explain this results we should consider the difference between economic backgrounds of Korea and Latin American countries.-Exchange Rate Regime, Capital Market Openness and Monetary Policy; The Trilemma in KoreaThis paper tests the trilemma proposition by performing an empirical study of Korea. Korea has distinct periods of all combinations of exchange rate regime and capital market openness in trilemma: pegged exchange rate regime under capital controls, pegged exchange rate regime under free capital mobility, and floating exchange rate regime under free capital mobility. We check whether monetary autonomy exists in each of the three different combinations. We find that monetary autonomy existed over the periods with capital controls and the periods with floating exchange rate regime. For the periods with the pegged exchange rate regime and free capital mobility, monetary autonomy was limited. In addition, we identify that just before the financial crisis the government pursued autonomic monetary policy under pegged exchange rate regime and free capital mobility, thereby defying the trilemma.
11
Rowland, Nils Peter. "Fixed exchange rate systems : monetary characteristics and policy analysis." Thesis, London Business School (University of London), 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.267040.
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Sikdar, Suman. "Rupee-Dollar exchange rate volatility and uncovered interest rate parity doctrine- A time -series econometric study with beveridge Nelson decomposition." Thesis, University of North Bengal, 2017. http://ir.nbu.ac.in/handle/123456789/2803.
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Harlacher, Markus. "International bond investment An analysis with respect to interest rate differentials and long-term exchange rate expectations /." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03603792002/$FILE/03603792002.pdf.
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Onyejiuwa, Daniel Chibueze [Verfasser]. "Exchange Rate Fluctuations, Interest Rate Instability and Manufacturing Sector Output in Nigeria (1986 – 2017) / Daniel Chibueze Onyejiuwa." München : GRIN Verlag, 2020. http://d-nb.info/1218365773/34.
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Chan, Kam Po. "Empirical relationships among stock prices, interest rate differentials and exchange rates : evidence from Hong Kong, Japan and the U.S." HKBU Institutional Repository, 2009. https://repository.hkbu.edu.hk/etd_ra/1052.
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Slinko, Irina. "Essays in option pricing and interest rate models." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögskolan i Stockholm] (EFI), 2006. http://www2.hhs.se/EFI/summary/706.htm.
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Alenezi, Marim. "The impact of exchange rate, interest rate and oil price fluctuations on stock returns of GCC listed companies." Thesis, University of Plymouth, 2015. http://hdl.handle.net/10026.1/3658.
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Exchange rate risk, interest rate risk and oil price fluctuations are the most demonstrated risks in the GCC (Gulf Cooperation Council) countries (Arouri and Nguyen, 2010). Research, however, in this area is still underdeveloped. The importance of this study is to contribute to this research gap. This research aims to show how these three risks affect firms' market values by examining 473 listed firms in Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and United Arab Emirates for the period January 2007 to June 2012. The research further examines the determinants of these risks. The study uses the AR (1) EGARCH-M model. The results indicate that stock returns in GCC countries are influenced by the exchange rate risk, interest rate risk and oil price risk. However, the exposure was highest for exchange rate risk and lowest for interest rate risk. While the effects of these risks were mixed, overall, exchange rate risk and oil price risk showed more positive significance as compared to the interest rate risk that showed more negatively significant effect on firm values. The level of the effect of these risk also differed from country to country. However, firms in United Arab Emirates revealed the highest exposure to all the three risks while those in Saudi Arabia showed the least exposed to the three risks. Oman firms also showed high exposure to exchange rate and interest rate risks. The segregated results overall showed lower exposure of financial firms as compared to non-financial firms. However, the non-financial firms in Bahrain were more exposed to the risks than the financial firms. In Saudi Arabia, the financial firms revealed the least exposure to the risk suggesting effective risk management practices. In addition, foreign operations and firm size had a significant influence on the extent of the firms’ exposure to all the three risks. Leverage also influenced the level of exposure to interest rate risk. Profitability, growth and liquidity did not reveal a significant influence on the level of exposure. Further, increasing the risk does not lead to increased returns in most of the GCC countries. The risk-return parameters were largely negative. However, positive news increases return volatility more than negative news in most countries. Also, the current volatility of most GCC firms’ returns are time varying, are a function or past innovation and past volatility. The volatility of stock returns, which is affected by changes in the risk factors, could demonstrate the non-prioritisation of risk management by firms.
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Mäsiarová, Jana. "Exchange Rate Modelling - Parities and Czech Crown." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-17469.
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The paper analyses validity of main exchange rate theories in case of the Czech crown. Investigated relationships comprise purchasing power parity, interest rate parity and real interest monetary model. Technical part of the analysis involves cointegration, namely Johansen's method based on vector autoregressive models. Two currency pairs are in the focus: CZK/EUR and CZK/USD. Empirical calculations did not prove the absolute validity of the theories but pointed out to other factors of exchange rate, such as convergence process, impacts on inflation targeting decisions, non-monetarist determinants and the recent financial crisis.
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Moon, Hongsung. "Alternative monetary policy rules in an open economy : effects on inflation, output, the interest rate and the exchange rate /." free to MU campus, to others for purchase, 1997. http://wwwlib.umi.com/cr/mo/fullcit?p9841323.
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Petersson, Annsofie. "Identifying the Determinants of Exchange Rate Movements : Evaluating the Real Interest Differential Model." Thesis, Jönköping University, JIBS, Economics, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-246.
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Lee, YingChang, and 李英菖. "The disquisition on exchange rate and interest rate spread." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/50915660461173526166.
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碩士淡江大學
財務金融學系
89
The foreign exchange market is undoubtedly the world’s largest financial market. It is the market where one country’s currency is traded for another’s. Most of the trading takes place in a few currencies: the U.S. dollar, British pound sterling, Japanese yen and German deutschemark. The many different types of participants in the foreign exchange market include the following: importers, exporters, portfolio, foreign exchange brokers, and traders. Exchange-rate volatility is the natural consequence of international operations in a world where foreign currency values more up and down. In order to understand exchange-rate change, this paper examines the impact of interest rate differential on exchange-rate trend in U.S., Japan, U.K., and Taiwan. In the model the risk premiums should be determined by interest differentials and by the gap between current and long-run exchange rate, which examine risk premiums at the 3-, 6-, and 12-month horizons for three currencies relative to the U.S. dollar: the U.K. pound, Japanese yen, and the New Taiwan. The monthly data cover January, 1992 through February, 2000. The risk premiums are calculated as the actual exchange-rate change (log difference) minus the maturity-adjusted, continuous-time interest rate differential. To ensure that the samples were non-overlapping, we use only January, April, July, and October data for the 3-month regressions. For the six-month regressions we use only January and July data. For the annual regressions we use only January data. The conclusions are as follows: The forward exchange rate should be an unbiased predictor of future spot exchange rate. Interest differentials are significantly and negatively related to risk premiums in using OLS and SUR. We turn to simple purchasing power parity to develop a measure of the gap between current and long-run equilibrium exchange rate. With this estimation technique we find that 5 of the 8 exchange-rate gap coefficients are statistically significant. This paper presents a theoretical exchange rate model. Risk premiums are determined, in particular, by interest differentials and by the gap between current and long-run equilibrium exchange rates. If speculators have an alternative to exchange-rate speculation, then there is no presumption that uncovered interest parity holds even approximately in long-run equilibrium. The expected utility of being a trader becomes arbitrarily small when there is sufficient speculative activity in the market. Since speculators can always shift to other financial markets, in the long run there will be a finite equilibrium number of foreign-exchange speculators.
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Huang, Kuocheng, and 黃國政. "The Relationship among Inflation Rate, Interest Rate, Unemployment Rate, Trade Balance and Exchange Rate." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/40428034920036124804.
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Hung, Jui-Lien, and 洪瑞蓮. "The Behavior of Stock Price, Exchange Rate and Interest Rate." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/36802596935668689211.
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碩士朝陽科技大學
財務金融系碩士班
92
The purpose of this paper is to explore the behavior of stock prices, exchange rate and interest rate across three different frequencies and to analyze the dynamics of the stock price, exchange rate and interest rate in Taiwan. The empirical results show that, the daily, weekly and monthly returns of stock price and exchange rate are positively autocorrelated over short horizons and negatively autocorrelated over longer horizons, but those of interest rate are negatively autocorrelated both in the short-run and long-run. Besides, transitory components have influences on the returns of stock price, exchange rate and interest rate across all different frequencies. The investors actually overreact for information after occurring major events, and the market tend to have higher degree of mean reversion. Finally, the stock prices, exchange rate and interest rate don’t exist long-run equilibrium relations, but they exist short-run dynamic Granger causality. The stock prices and interest rate Granger cause exchange rate by daily data. There are feedback causality between stock prices and interest rate by weekly data and monthly data, which mean they influence each other. The interest rate Granger causes exchange rate by weekly data, but exchange rate Granger causes interest rate by monthly data.
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Al-Zoubi, Haitham Akram. "New evidence on interest rate and foreign exchange rate modeling." 2003. http://louisdl.louislibraries.org/u?/NOD,421.
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Thesis (Ph. D.)--University of New Orleans, 2003.Title from electronic submission form. "A dissertation ... in partial fulfillment of the requirements for the degree of Doctor of Philosophy in the Department of FinancialEconomics."--Dissertation t.p. Vita. Includes bibliographical references.
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Hsu, Shih-Cheng, and 許仕承. "The Effects of Interest Rate and Exchange Rate Risks on Unemployment." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/39031374174807651660.
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碩士中原大學
國際貿易研究所
90
When the rate of return on an individual’s savings is risky, the access to a labor market to work for a riskless wage provides a means of hedging this capital income risk by working more. In a non-expected utility maximizing framework using Selden’s OCE preference we investigate the effects of a change in the rate of return risk or the exchange rate of return risk on such precautionary labor supply decision. It is shown that an increase in the rate of return risk or the exchange rate of return risk leads to an increase (a decrease) in the optimal labor supply only when the elasticity of intertemporal substitution for consumption falls short of (exceeds) unity. An OLS regression of unemployment rate on interest rate and exchange rate risks is clearly problematic because of omitted-variables’ bias due to the exclusion of important macroeconomic variables influencing aggregate unemployment rate. So we use the fixed Layard-Nickell model. An empirical analysis, using a GARCH model to estimate the interest rate risk; using the two stage least square approach to estimate the fixed Layard-Nickell model, reveals that in the Taiwan, unemployment rate has responded positively to an decrease in time-varying real interest rate risk.
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Wu, Leo, and 吳崇正. "The Strategy Analysis among Interest Rate, Exchange Rates and Foreign Institutional Investment." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/85817043881841837860.
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碩士大葉大學
國際企業管理學系碩士班
99
This research employs VAR models, impulse response function. Results of this empirical research show that(1)there is a bidirectionalcausal feedback relationship between net foreign investment dollar and the Exchange Rates, as well as between net foreign investment dollar and U.S.-Taiwan interest rate difference.(2)It is evident from outcomes of the impulse response function net foreign investment dollar and the Exchange Rates receive the greatest level of response from their own shocks.(3)Exchange rates exert a negative influence on both net foreign investment dollars and the Exchange Rates. Moreover, U.S.-Taiwan interest rate difference has a positive influence on net foreign investment dollars.
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"Exchange rate, inflation rate and interest rate: theories and their applications to Hong Kong economy." Chinese University of Hong Kong, 1992. http://library.cuhk.edu.hk/record=b5887131.
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Lam Man Kin, Wong Yim Pan.Thesis (M.B.A.)--Chinese University of Hong Kong, 1992.
Includes bibliographical references.
ACKNOWLEDGEMENTS --- p.ii
ABSTRACT --- p.iii
TABLE OF CONTENTS --- p.iv
LIST OF TABLES --- p.vi
LIST OF FIGURES --- p.vii
Chapter
Chapter I. --- INTRODUCTION --- p.1
Chapter II. --- A BRIEF REVIEW OF THE MODELS FOR FOREIGN EXCHANGE DETERMINATION --- p.6
Purchasing Power Parity --- p.6
Flexible Price Monetary Model --- p.9
Sticky Price Monetary Model -Exchange Rate Dynamics --- p.11
Portfolio Balance Approach --- p.14
Insights --- p.16
Chapter III. --- THE LINKED EXCHANGE RATE SYSTEM --- p.18
A Brief Historical Account --- p.18
The Linked Exchange Rate System and Interest Rate --- p.19
The Linked Exchange Rate System and Inflation Rate --- p.21
The Pattern of Interest Rate Since Oct. 1983 --- p.22
"The Pattern of Inflation Rate Since Oct., 1983" --- p.23
"The Change of Real Exchange Rate Since Oct.,1983" --- p.23
Chapter VI. --- METHODOLOGIES FOR THE EMPIRICAL STUDIES --- p.31
The Data --- p.31
Statistical Techniques --- p.32
Models to be studied --- p.32
Absolute PPP --- p.32
Relative PPP --- p.33
Augmented PPP Model --- p.34
Hong Kong Inflation and US Inflation --- p.35
Hong Kong Interest Rate and US Interest Rate --- p.36
Interest Rate and Inflation Rate of Hong Kong --- p.36
Chapter V. --- EMPIRICAL RESULTS AND DISCUSSIONS --- p.38
PPP Model --- p.38
Absolute PPP --- p.38
Relationship between Exchange Rate and Price Levels --- p.43
Relative PPP --- p.43
Inflations of Hong Kong and the US --- p.45
Percentage change of exchange rate and inflation --- p.46
Augmented PPP Model: Incorporate Interest Rates in PPP Model --- p.47
Absolute PPP --- p.47
Interest Rates and Short Term Fluctuation of Exchange Rate --- p.48
Relative PPP --- p.49
Interest Rates and the Percentage Change of Exchange Rate --- p.51
Hong Kong Inflation and US Inflation --- p.51
The Divergence of Two Inflation Rates --- p.52
Hong Kong Interest Rate and US Interest Rate --- p.53
Hong Kong Inflation and Hong Kong Interest Rates --- p.55
Chapter VI. --- CONCLUSION --- p.57
Limitations --- p.59
APPENDIX
I --- p.61
II --- p.67
BIBLIOGRAPHY --- p.78
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Chieh, Chiu Yun, and 邱惲傑. "The Sensitivity of Financial Institution Stock Returns to Interest Rate and Exchange Rate, and Sensitivity of Financial Institution Stock Returns to Interest Rate and Exchange rate Conditional Variance." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/78545885142374675458.
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碩士國立臺北商業技術學院
財務金融研究所
100
In recent years, the trade of International economic contacts frequently day by day and regional integration tends toward normality. Financial liberalization and internationalization can bring lower cost and higher return in the revival international economic. On the contrary, financial liberalization and internationalization will become catalyst of the dominoes effect and make the regional economy problem expand into the global economic recession when any crisis is happened. According to the descriptions above we know interest rate risks and exchange rate risks are the problems that financial institutions must encounter. Therefore, this thesis will be separate into two themes. First, discuss about market risk, interest rate risk, exchange rate risk of stock price return in financial industries. Second, analyze the sensitivity of interest rate and exchange rate conditional variance of stock price variance of financial institutions. This thesis uses ordinary least squares to test the risk of market, interest rate and exchange rate first. After Lagrange multiplier test is assayed, we find that must use the model of autoregressive conditional heteroskedasticity. Like this, the model will be for being most appropriate. This research uses general autoregressive conditional heteroskedasticity method of daily data to set up the appropriate and rational model, and then we discuss about how the fluctuation of market index, interest rate index, exchange rate index, interest rate conditional variance and exchange rate conditional variance influence return and variance of financial institutions. The three results of study of financial institution return are found. First, the variables of market risk are very positive and statistically significant for all individual financial institution stock. When the stock market in Taiwan goes up, the stock return of listed financial institution will probably increase. Second, there are only a few companies possessing negative factor of the interest rate among all of the financial institutions which possess statistically significant parameter of sensitiveness. Besides, rest of the companies present the positive interest rate sensitiveness factors which are contrary to the theory. Therefore, we know the change of the interest rate of market will affect financial institution's net interest income and the value of other relevant assets of interest sensitiveness, and it causes the value of company's common stock to change. Third, all of the return of financial institutions which possess statistically significant parameter of exchange rate sensitiveness presents the negative factor. As the exchange rate depreciation, the listing stock return of financial institution will drop. When exchange rate appreciates, the listing stock return of financial institution will rise. The two results of study of variance of financial institution returns are found. First, the change of interest rate conditional variance will positively affect the listing stock return variance of most financial institution. When the interest rate strongly fluctuates, it will make the stock return of financial institution fluctuate more violently, too. Second, the change of exchange rate conditional variance will negatively affect the listing stock return variance of most financial institution. When the exchange rate fluctuates strongly, it will make the stock return of financial institution fluctuate more faintly. If we can master the future fluctuation of interest rate and exchange rate and effectively manage assets and debt, we will inhibit most of the risks of financial institution. Finally, we could reach the principle of profitability and security.
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Shiau, Jeng-Shyng, and 蕭政行. "The Causality in Cointegrated Processes: Evidences on Exchange Rate and Interest Rate." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/45440990407432645230.
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碩士淡江大學
財務金融學系
91
We always neglect cointegrated effect in Granger causality. If cointegration exist in time series and we don’t consider it, using differential series do the Granger causality straightforwardly, or even consider it but using ECM does, it maybe have some problems. This studies using another method to do the Granger causality developed by Toda and Yamamoto (1995). According to Toda and Yamamoto, needn’t under unit root and cointegration test, Wald test statistics still asymptotic distribution. According to Hatemi-J and Irandoust (2000), exchange rate and interest rate will be feedback causality if a country’s international capital is mobile. In our study, the situation really happens in Toda and Yamamoto’s causality test. But if we neglect cointegrated effect in Granger causality, it is just exchange rate causes interest rate. So, considering and non-considering cointegration may lead to different conclusions. This study use rolling method to forecast 2002:12 exchange rate wanting to arbitrage. Although considering and non-considering cointegration ways forecasting exchange rate do not succeed in arbitraging, considering cointegration way has smaller deviation standard error than non-considering’s. So considering cointegration method is a better way to arbitrage than non-considering.
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CHANG, MING-PIN, and 張銘彬. "The Relationship between Interest Rate, Exchange Rate Fluctuation and Overseas Capital Investment." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/scg2v7.
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碩士國立中正大學
企業管理學系碩士在職專班
105
This study mainly discusses the relationship between interest rate and exchange rate to overseas investment. Because the United States rate hike, began to have a lot of large enterprises to invest in the United States. The quantitative easing of Europe and the United States leads to drastic fluctuations in the exchange rate of developing countries. So many factors in Taiwan enterprises, how to do? This paper uses qualitative research on the depth of the interview. For the Listing and OTC companies of Taiwan, according to different industry categories of enterprises to conduct interviews, analyze the relationship between interest rate and exchange rate for the operation of the overseas investment business strategy and capital investment. Interview as the main information, supplemented by secondary information, to explore the results are summarized as follows: 1. The strategic objectives of overseas investment enterprises to market size or the needs of manufacturers based. 2. The enterprise overseas investment market entry model, the investment model tend to sole proprietorship. 3. The mode of operation of overseas investment funds is mostly the way of using OBU, and the other is the direct investment. 4. The volatility of the exchange rate will affect the decision of the overseas investment. 5. Enterprises overseas investment, in order to avoid exchange losses, through the exchange rate tools to avoid hedging. 6. Interest rates will not be reflected in the revenue, the interest rate is related to the enterprise debt, in the political and economic environment is unstable, the national enterprises will not borrow borrowing. 7. Business interest rate strategy, when Taiwan's interest rate is relatively low will choose to borrow in Taiwan, but a small number of enterprises to avoid the burden of the parent company is too large, will choose to borrow from the subsidiary. Taiwan is a country dependent on exports, many micro-enterprises or small businesses are owners of concurrently chief financial officer, very few owners have the relevant financial knowledge, so in the expansion of the plant due to lack of knowledge and hindered . This study explores the impact of interest rates and exchange rates on overseas investment from corporate investment strategies, The readers can more quickly grasp the overseas investment needs to pay attention to matters.
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Lien, Ching-wen, and 連清文. "THE Sensitivity of Bank Stock Returns to Interest rate and Exchange rate." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/18030190176737037750.
Full textAbstract:
碩士銘傳大學
管理科學研究所
87
The objective of this paper is to employ the autoregressive conditionally heteroskedastic (ARCH) model to investigate the effect of interest rate and exchange rate. The ARCH model discards the assumptions of linearity and constant conditional variance in modeling bank stock returns. Additionally, this paper will explore if the bank stock returns will be affected after the establishment of new commercial banks. The empirical results are as follows: 1. Interest rate has a negative and significant impact on the mid-small business bank stock return, but it has no impact on the commercial bank stock return. Interest rate volatility has a negative impact on the stock return volatility of mid-small business banks and commercial banks. In addition, bank stock return volatility has a positive impact on the mid-small business bank stock risk premium, it has no impact on commercial bank stock risk premium. 2. Exchange rate has no impact on the stock return of commercial bank and mid-small business bank. Exchange rate volatility has a negative impact on the stock return volatility of commercial banks and mid-small business banks. 3. The stock return and stock return volatility of mid-small business bank dropped after the establishment of new commercial banks. It has no impact on the stock return and stock return volatility of commercial banks.
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Chuang, Tzu-wei, and 莊子緯. "Empirical Testing of Exchange Rate and Interest Rate Transmission Channel in China." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/34192786465663082666.
Full textAbstract:
碩士靜宜大學
財務金融研究所
98
The exchange rate and interest rate volatility transmission channels at China are examined in this paper. At the exchange rate channel, exchange rate and Shanghai composite index return pass-through to import and export are also studied. However, at the interest rate channel, we test the deposit rate, lending rate, and Shanghai composite index return pass-through to Producer Price Index (PPI). Monthly data from January 2000 to September 2009 (except for exchange rate, where the sample starts from July 2005 to September 2009), obtained from Taiwan Economics Journal data bank are considered for examination. In order to detect the exchange and interest rate presence of volatility transmission channels in China, we apply the Granger causality, Johansen cointegration, vector autoregression model, and multivariate GARCH-BEKK model. Empirical results taken from the exchange rate channel favor the exchange rate and Shanghai composite index return volatility pass-through in import and export; those taken from the interest rate channel favor the deposit and lending rates and Shanghai composite index return volatility pass-through in PPI. Overall, our empirical evidence supports the presence of exchange rate and interest rate transmission channels in China.
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Hsu, Cherng-shun, and 許澄舜. "The relationship among oil price, interest rate, exchange rate and gold price." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/45490768615685164513.
Full textAbstract:
碩士國立高雄第一科技大學
金融研究所
102
This paper analyzes the relationship among gold price, oil price, U.S. dollar index, interest rates and money supply from January, 2001 to September, 2013. Unit root test, vector auto regression, Granger causality test, forecast error variance decomposition, and impulse response function are used for the analysis. The results show that treasury bill rates have the greatest impact on gold price. In addition, treasury bill rates and oil prices have a negative effect on gold price, while the U.S. dollar index and money supply have a positive impact. The paper can provide investors as reference to predict gold price trend with U.S. treasury bill rates.
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Uyen, Nguyen Le Nhu, and 阮梨如鴛. "Dynamic Linkages between Exchange Rate, Interest Rate and Stock Price in Vietnam." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/86415000425602997528.
Full textAbstract:
碩士樹德科技大學
金融與風險管理系碩士班
99
A procedure is analyzing the dynamic linkages between exchange rate, interest rate and stock price in Vietnam by an empirical approach using daily data from July 2005 to December 2010 with Multi-variable Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) model. The results reveal that the prior stock return positively impact on stock return in the future, conversely, the prior interest return negatively influence the later one. Furthermore, in the variance-covariance equations, the significance of coefficients of stock and interest return for own innovations proved the presence of ARCH effects and the importance of coefficients for volatility spillovers to the individual returns produced an evidence of GARCH effects. This paper could not be achieved if I have not had valuable comments, advices and sizable supports from many professors and my family. For this opportunity, I would like to appreciate to all of them. First of all, I would like to express my profound gratitude to Dr. WU, JUPING, my supervisor, for her noticeable supports, commitment guidance, her spare time to read and comment in my draft throughout each stage of this dissertation. Her significant helps and incessantly efforts became the most particular motivation for me to accomplish this study in time. I am also grateful to all professors who gave me lots of interesting suggestions and meaningful advices to go the right way to have such valuable paper. In addition, I gratefully acknowledge Shute University and Foreign Trade University for organizing this useful MBA program. Finally, I would like to thank my beloved family for the huge physical and mental supports, without their encouragement I could not complete this program. Any enquiries, suggestions or comments for this paper is always welcome.
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Chen, Huiju, and 陳慧儒. "Using VAR To Investigate Association Among Stock Prices, Exchange Rate And Interest Rate Before And After The Interest Rate Cut." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/76956662336955805181.
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碩士義守大學
財務金融學系
100
This study focus on the stock price, exchange rate of NTD and interest rate in the macroeconomics as the variables. First, using the Johansen's cointegration analysis to examine whether there are cointegrating relationships and using the Granger causal to verify and clarify the interaction between the three variables before and after the interest rate cut. In addition, applying the impulse responses of one variable to the others in order to find out the interaction between stock price, exchange rate and interest rate. Hoped that the empirical results can provide the investors a important reference for financial management in the future. Due to the sample period cover the subprime crisis, the study makes two parts to discuss. First part: the interest rate hikes: 2004/09/27-2008/09/15; second part: the interest rate cuts: 2008/09/22-2010/06/28. First, the result of Johansen cointegration analysis on stock prices, exchange rates of NTD and interest rates showed that no matter before and after interest cuts, these three variables have long-term equilibrium. Second, the result of Granger casual relationship examination on these three variables showed that exchange rate lead to stock price but stock price lead to interest rate during the interest rate hikes; but during the interest rate cuts, there are the relationship between exchange rates and stock prices. Finally, as the impulse response analysis, there have a negative relationship between stock prices and exchange rates. Therefore, we know that the financial system of Taiwan and the international financial market have the certain degree of correlation, so any financial crisis is possible to make the stock and currency markets by the severe impact.
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Chung, Jui-shiung, and 鍾瑞雄. "Interest Rate and Bank Foreign Exchange Risk-taking." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/68509236274222042622.
Full textAbstract:
碩士國立臺灣科技大學
財務金融研究所
102
After financial crisis, whole world enter a low interest-rate environment. And the spread between depositing rate and lending rate which is on behalf of bank profit decreases. This paper tries to know that how do banks react in Taiwan under this situation. Will they take more foreign exchange risk to pursue profit? Based on above motivation, this paper uses approximately 200 quarterly observations on 27 banks in Taiwan over the period 2007.09-2013.06 and attempts to provide empirical research on the relation between interest rate and foreign exchange risk. We use value at risk of foreign exchange as a proxy for foreign exchange risk and experiment with various interest rates to robust our results, including a short-term rate, a long-term rate, the central-bank rate, a bank-level lending rate, and a bank-level spread. And further, trying to examine the interaction effect between interest rate and bank size, holdings, and financial crisis. The empirical results are unlike Delis and Kouretas (2011) research: there is a strong negative relation between interest rate and bank’s risk-taking Instead, these results present strong empirical evidence that low-interest rate indeed decrease bank foreign exchange risk-taking. There is a positive relation between them. In addition, there is interaction effect between interest rate and bank size. The relation between interest rate and foreign exchange risk differs depend on the size of bank. With bigger size of bank, the relation between interest rate and foreign exchange risk is more positive. And with smaller size of bank, the relation between interest rate and foreign exchange risk is more negative. And before financial crisis, bank’s foreign exchange risk is significant higher than the period after financial crisis. But the interaction effect between in interest rate and holding, financial crisis is not significant.
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Hung, Li-Chuan, and 洪麗娟. "The Variation of Interest rate, Exchange rate for the Efficiency Evaluation of Banks." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/28836129190982871323.
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碩士國立中興大學
高階經理人碩士在職專班
105
Volatility Risks of interest rate and exchange rate have greatly affected the business performance of the banks since the global financial crisis in 2008. In this study, we estimate the volatility risks of the interest rate and ex-change rate with the GARCH model, then analyze how volatility risk influence the performance of the banks with the multi factor line regression method. By doing this, we expect to clarify what degrees the banks are able to suffer from the volatility. Realizing the dominants and disadvantages of ourselves, we may be able to avoid risks. Analyzing from the descriptive statistics of bank’s performance, we can find that private banks have better business performance than state-owned banks, but also sustain greater uncertainties. Research shows that Mega Bank performs the best, which is almost not affected by the volatility risk within the top five big banks when facing the waves of interest and exchange rates and state-owned banks win the second place.
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Wang-Hang, Bi-Won, and 王洪必文. "The Study of Interest Rate and Exchange Rate toward Foreign Currency Insurance Policies." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/52103753081549574773.
Full textAbstract:
碩士國立高雄第一科技大學
金融研究所
102
With mutual influences of the global economy, the finance and insurance industries meet severe challenges from the market competitions. Therefore, most of the domestic insurance industries constantly develop a variety of new products to satisfy customer needs and to sustain from the market competitions. However, consumers find the traditional insurance policies, which turn to be more and more expensive with the era of the low interest rates of Taiwan dollar unacceptable. By comparison, higher interest rates and cheaper charges of foreign currency policies become the key factors for customers to own. Foreign currency policies become the eyeball of the publics following the sales allow from the government. With the finance liberalization and global development, investors possess foreign currencies due to demands such as returns evaluation, hedge motivation and asset allocation. It is more and more important for insurance and banking industries to observe whether investors’ return rates, hedge motivation and assets allocations on possession of foreign currency products are significant. This paper introduces the domestic foreign currency financial products, and discusses how to improve return rates on assets by foreign currency allocation. The investors should regularly review investment performances and demands on the asset allocation. When the financial situation changes, the investors should adjust the financial goal, relocate the asset placement, to ensure the financial goal reached.
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Wei-Ting, Hsu, and 許瑋庭. "Volatility spillovers in precious metals, exchange rate and interest rate: Multivariate GARHC models." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/9zwcyg.
Full textAbstract:
碩士國立臺北商業大學
財務金融研究所
104
This study use two multivariate GARCH models to examine the volatility transmissions and volatility spillovers for four precious metals (gold, silver, platinum and palladium), while accounting for 2008 financial crisis within a multivariate system. Furthermore, these results become more pervasive when the U.S. dollar/Euro exchange rate and U.S. T-bond interest rate are included. The AR-GARCH model result shows that GARCH effect dominating the ARCH effect, implying that conditional volatility is predictable from past data, and all precious metals are sensitive to their own past shock and volatility dependency. But the cross-shock effects among all the four metals are limited and the cross volatility impacts are, however, small relative to its own impact. Additionally, since we include the interest rate as exogenous variables and 2008 financial crisis dummy, the results show that interest rate affects negatively only gold returns. When accounting for the exchange rate as an endogenous variable in the system, the strong volatility spillovers from the exchange rate to the precious metals are higher than the spillover effects among all the four metals. Finally, the impact of the 2008 financial crisis on metal returns is significant except platinum, but the impact on metal volatility spillovers is not significant.
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Chen, Lin-Chen, and 陳玲珍. "The Study of Relationship among Taiwan 50 Index,Interest Rate and Exchange Rate." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/m2qy4c.
Full textAbstract:
碩士國立高雄應用科技大學
國際企業系碩士在職專班
105
This study explores the relationship among FTSE TWSE Taiwan 50 Index (Taiwan 50 Index), Interest Rate and Exchange Rate. The empirical approach to the results of this study was analyzed by using Unit Root Test, Johansen Co-Integration Test, Vector Error Correction Model, Granger Causality Test, Impulse Response Analysis and Variance Decomposition, with all results as the following: Firstly, Unit Root Test of ADF and PP found that the three variables of the original data were non-stationary, all data belong to stationary state after difference of first-order. Secondly, Johansen Co-Integration Test found one co-integration for three variables; it means that a stable equilibrium is inside themselves in the long term. In the long-term relationship of the result of VECM, the exchange rate had a significant negative relationship with the previous period of Taiwan 50 Index. Thirdly, Granger Causality Test proved that there was a two-way feedback relationship between Taiwan 50 Index and the Exchange Rate. Fourthly, Impression Response Analysis of the empirical study found that the three variables for the impact of each source, Taiwan 50 Index and the other two variables were kept negative relationship. Finally, in the empirical analysis of Variance Composition which pointed Exchange Rate and Interest Rate variables were highly spontaneous and they were not easily affected by other variables, the Taiwan 50 Index will be affected by Exchange Rate; that is, the Taiwan stock market is in more favorable circumstances, such as the dividend yield of Taiwan Stock is higher than that of other bank’s Interest Rates. It attracts foreign investment into the Stock Market for purchasing, causing the fluctuation of Exchange Rate.
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BA, CHIA-CHUN, and 巴家駿. "Effect of Exchange Rate Fluctuations on the Stock Market Returns and Interest Rate." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/35462890288020495291.
Full textAbstract:
碩士東吳大學
財務工程與精算數學系
104
Given the changes in the current U.S. monetary policy from the interest rate cut cycle that started in 2008 to the current rate hike cycle, interest rates are now an indicator of monetary policy and a factor affecting the rate of economic growth, as well as a measure that is highly correlated with the rates of return in the stock markets. Based on monthly data collected between January 2000 and January 2016, this study investigated the effects of exchange rate fluctuations on stock market returns and interest rates. Empirical work has been carried out on the relevant variables. At the same time we explored whether the equilibrium relationship was changed during the period of monetary policy change and whether there is a common tendency to move. Relevant variables on which data was collected include the U.S. prime rate, 10-year U.S. T-note yields, USD-TWD exchange rate and TAIEX. The study by Johansen (1990) on cointegration test and error correction model was used to investigate whether a long-term cointegration relationship exists. The empirical results indicate that changes in 10-year U.S. T-note yields have significant effects on stock market returns and exchange rate changes with a long-run equilibrium relationship. It also shows that in order to have a positive stock market returns, it is necessary to pay continued and long-term attention to the changes and movements of 10-year U.S. T-note yields. Keywords：10-year U.S. T-note yields、cointegration test、error correction model
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吳盈賢. "The Price Level, Stock Price and Interest Rate to the Exchange Rate Fluctuation." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/50339572594463505419.
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YUNIARSA, SHERLINDA OCTA, and 夏琳達. "Exploring the Relationships among Interest Rate, Exchange Rate and Stock Price in Indonesia." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/05101749724545031690.
Full textAbstract:
碩士國立嘉義大學
全英文授課觀光暨管理碩士學位學程
102
The purpose of this research is to explore the relationships among interest rate, exchange rate, and stock price in Indonesia. This study used data from the Central Bank of Indonesia to empirically test a proposed model of interest rate, exchange rate, and stock price. The findings confirmed that there are positive volatility spillovers from exchange rate and negative volatility spillovers from interest rate. The relationships among interest rate, exchange rate, and stock market volatility a little bit strengthen during economic crises, a study that allows for structural breaks, to account for the effects of sudden macroeconomic shocks, recessions, and financial crises, would be an important to empirical literature on Indonesia.
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Chen, Po-Fang, and 陳柏芳. "Return and Volatility Relationships between Gold,Stock,Exchange Rate,Interest Rate,Oil Price." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/81020227394306133748.
Full textAbstract:
碩士輔仁大學
金融與國際企業學系金融碩士班
100
This study is to adopt GARCH model to look into the relationship between the return rate and volatility of gold, stock index, currency exchange rate, interest rate, petroleum, and establish the best GARCH prediction model. The data duration is 2000/01/03~2011/12/23.The empirical result indicates that there is inverse relationship between the current return rate of gold and the return rate of t-6 period spot gold return rate, the return rate of previous period US dollar index, the return rate of previous period US 10-year bond yield. There is positive relationship between the return rate of current gold and the return rate of previous period stock index. In terms of volatility, the previous period volatility of US 10-year bond yield has inverse influence on the volatility of current period spot gold. In another words, spot gold not only can avoid stock index risk, but also can avoid interest risk. The volatility of previous period West Texas Intermediate future and previous period gold has positive influence on that of spot gold, which indicates the higher volatility risk of previous period West Texas Intermediate future and previous period gold, the higher volatility risk of spot gold. We adopt simple regression analysis in terms of prediction ability. The prediction period is 2011/1/3~2011/12/23, and prediction result is not obvious. If we shorten the prediction period to six months (prediction period 2011/1/3~2011/6/30), the p value is obvious. The most suitable model is AR(1,6)-GARCH(1,1), the prediction result is ordinary. Therefore when the market is unstable, this can serve as reference for investors in terms of investment or hedge.
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Ho, Kevin, and 何奇峰. "A Study of the Relationship Between Money Supply, Foreign Exchange Reserves, Interest Rate and Foreign Exchange Rate." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/65572742117603661749.
Full textAbstract:
碩士國立臺北大學
國際財務金融碩士在職專班
93
This study explored the relations between foreign exchange rate, interest rate, money supply, and foreign exchange reserve utilizing Granger causality test and auto regression. Data series are from January 1981 to December 2004 total 96 quarterly data points. The conclusions are summarized below. Granger Causality Test 1.The inclusion of foreign exchange rate enhances the prediction of foreign exchange reserve and interest rate. 2.The inclusion of money supply enhances the prediction of foreign exchange rate. 3.The inclusion of foreign exchange reserve enhances the prediction of foreign exchange rate and money supply. 4.The inclusion of interest rate enhances the prediction of money supply and foreign exchange reserve Vector Autoregression Based on the most appropriate lagging of 4 periods, the following conclusions are reached. 1.Foreign exchange rate and foreign exchange reserve are mutually influential. 2.Money supply and interest rate are mutually influential. 3.Money supply influences foreign exchange rate. 4.Foreign exchange rate influences interest rate. 5.Foreign exchange reserve and money supply are mutually influential. Impulse Response Analysis In the short term, the following observations are noticed. 1.The change in foreign exchange rate by one standard deviation has the largest impact on foreign exchange rate itself, and has relatively little impact on other variables. 2.The change in foreign exchange reserve by one standard deviation begins to have increasing impact on foreign exchange rate in the second period, indicating greater short term correlation with foreign exchange rate. 3.The change in money supply and interest rate by one standard deviation only begin to impact foreign exchange rate in the 4th period, indicating their lack of correlation with foreign exchange rate With the lagging of 10 quarters, the change of one standard deviation in foreign exchange rate has more obvious impact on foreign exchange reserve. The changes in money supply, foreign exchange reserve and interest rate by one standard deviation produce long term impact on foreign exchange rate in the order of 0.0191, 0.0633, and –0.0897. In the longer term, interest rate has more impact on foreign exchange rate. Variance Decomposition Based on variance decomposition, foreign exchange rate has the highest self-explanatory power, with 10-quarter explanatory power of 83.81%. Money supply, foreign exchange reserve, and interest rate have 70.69%, 70.34%, and 53.99%, respectively. From the results we could conclude that foreign exchange rate has the highest degree of self-determination, is less likely to be influenced by other factors. Other factors with explanatory power on foreign exchange rate in declining order of influence are foreign exchange reserve, money supply and interest rate.
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Hsu, I.-Wan, and 許意婉. "The Interactive Relation of Stock Price of Financial HoldingCompany,Interest Rate, and Exchange Rate." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/93955662839909725572.
Full textAbstract:
碩士淡江大學
財務金融學系碩士班
93
As the Financial Holding Company Law has been published in Taiwan, every banking institution in order to respond with the change of financial environment, they turn into large-sized, global by invest or merger & cquisition. And the law is also advantageous to banking and insurance companies and securities firms. Owing to Financial Holding Company have huge firm structure and diversifying managemen, so in this study we use Granger causality test and Johansen testing for cointegration, to reconsider the interactive relation of Stock price of Financial Holding Company, Interest Rate, and Exchange Rate in Taiwan. In the long-term, thestock price fluctuation usually will leader the real-activity .As to the performance of Financial Holding Company will effect Stock price of Financial Holding Company.We hope this study will help investments make good invest strage.
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CHUN-TSUNG, LIN, and 林君宗. "The Relationship Between Real Exchange Rate and Real Interest Rate Differential -Taiwan Emperical Research." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/51144716746508600784.
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Yow, Chyng Liao, and 廖宥晴. "Linkage among Stock Price Index, Gold Price,Interest Rate and Exchange Rate in Taiwan." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/f9ty78.
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Hsu, Chia-Tsai, and 許家財. "The Empirical Study of Relationships among TAIEX, Interest Rate, Exchange Rate and Macroeconomic Variables." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/22nda5.
Full textAbstract:
碩士國立高雄應用科技大學
金融資訊研究所
102
In this paper, we focus on the study of relationships among TAIEX, interest rate exchange rate and macroeconomic variables－Consumer Price Index (CPI), M1B End of Month (money supply), Export Order Index and Industrial Production Index, etc. Moreover, the data were selected for 166 months in the period from Jan. 2000 to October 2013. In this study, unit root test is adopted, and Vector Auto-Regression Model (Impulse Response Function and Variance Decomposition) is used to test how a variable will affect other variable when it meets external impact or change, and to test the exogenous strength. Furthermore, Johansen co-integration method is used to test long term balancing relationship, vector error correction model is used to test short term dynamic relationship, and Granger causality relationship is used to test the leading and lagging relationship among variables; in other words, all the above mentioned methods are used together to investigate the correlation among TAIEX, interest rate, exchange rate and macro-economic variables. From the empirical result, it can be found that TAIEX can be mainly explained by the exchange rate, money supply and Industrial Production Index. When there is change on variables such as price index, money supply, exchange rate, export order index and industrial production index, TAIEX usually has a reaction of positive relationship to them, however, when there is change in the interest rate, TAIEX usually has a reaction of negative relationship to it. It can be seen that long term balanced co-integration relationship exists between TAIEX and macro-economic variables. From the vector error correction model, it is clear that under short term dynamic equilibrium, the variation of the current term of TAIEX is affected by its own previous term result. From Granger causality relationship test result, it is found that cause-and-effect relationship of mutual feedback characteristic exists between TAIEX and interest rate and money supply.
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Wang, Chau-Kuang, and 王朝廣. "The Relationship between Interest Rate and Exchange Rate – Comparing PID Control and Autoregressive model." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/4ddj4g.
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碩士中原大學
企業管理研究所
105
There are various investment instruments and investment targets in the global financial markets, in which the monetary policies of the Central Banks of various countries should affect the capital inflows and outflows. So the investors and corporate managers must evaluate the exchange rate risk and adopt the related configurations. The emphasis of the portfolio and its exchange rate risk will be very important for investment. This study combines the interest rate theory with engineering application of the PID control system to forecast the exchange rate from December 31, 2015 to Dec, 7, 2016 and to compare the prediction result with the AR model and GARCH model. The sample data includes the TEJ monthly data of the exchange rates of the United States, European Union and Japan, as well as the ten-year bond yields (from December 1995 to December 2016) and the daily data (December 31, 2015 to December 7, 2016). The RMSE and the MAE are used to analyze the forecasting power of various exchange rate models through the out-of-sample prediction errors. The empirical results are summarized below: 1.Regarding the US dollar index exchange rate forecasting, this study finds that the RMSE and MAE of the GARCH model outperform those of the PID model and AR model. 2.The GARCH model is also the best one on forecasting Euro. The AR model is better than the PID control model in daily data forecasting. 3.The GARCH model still performs the best in forecasting Japanese Yen, and the AR model is the second best one and the PID model performs the worst. Additionally, this investigation finds that the forecasting result of daily date is more accurate than that of the monthly data.