The co-movements of NTD and Asian currencies:an application of VAR

Autor:	Yi-chien Lin, 林宜蒨
Rok vydání:	2013
Druh dokumentu:	學位論文 ; thesis
Popis:	101 Via the VAR method this research examines the leading/lagging relationships among five currencies, i.e., NTD, JPY, HKD, CNY and KRW Starting from Jan. 2, 1998 until Jun. 29, 2012, daily returns of these five currencies have been employed for unit-root, Granger causality, co-integration, variance decomposition, and impulse response tests. The empirical results Co-integration no long run equilibrium relationship exists JPY, NTD, HKD, KRW. According to the Granger causality, NTD and CNY, HKD exchange rate movements only has one-way relationship there is no causal relationship between the CNY and JPY, HKD exchange rates. NTD and KRW have a two-way feedback relationship between each other. JPY and KRW have a two-way feedback relationship between each other.
Databáze:	Networked Digital Library of Theses & Dissertations
Externí odkaz:	http://ndltd.ncl.edu.tw/handle/75382467850287332167 Zobrazit plný text záznamu