The Influences of FOMC meetings on the Exchange Rate Volatilities for Euro, Japanese Yen, and Australian Dollar against US Dollar.
| Autor: | LU,YI-TING, 呂依婷 |
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| Rok vydání: | 2013 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 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. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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