Spillover Effects on Global Foreign Exchange Markets
Date Issued
2016
Date
2016
Author(s)
Tseng, Hung-Wei
Abstract
Previous empirical studies regarding spillover effects of exchange rate markets mostly focus on the perspective of geography; most of them start with currency-oriented aspect. This dissertation seeks to classify the world’s actively traded currencies into groups. Based upon the economic implication of the classification, this dissertation uses these currency groups as proxy for large cash flows, estimates VAR model, and conducts analysis of impulse response functions accordingly. The empirical results show that Japanese Yen (JPY) and commodity currencies are negatively correlated, and JPY takes stake in the variation of market risk appetite.In the long-term, the exchange rate of developed economies in East Asia generally reacts closer to bull market or towards the end of bear market. It is suggested that the trend of commodity currency can be used for forecast. Besides, by monitoring the different level of commodity currencies’ strength among developed or developing economies, future trend can be deduced and sufficient reaction time may at disposal.Although Taiwan does not make it to rank as the world’s top 20 trading currencies, its high correlation with developed economies in East Asia, especially South Korean Won (KRW), makes the aforementioned method handy in signaling early warnings.
Subjects
exchange rate
exchange rate returns
Granger Causality Test
VAR
impulse- response function
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-105-R01723010-1.pdf
Size
23.32 KB
Format
Adobe PDF
Checksum
(MD5):1af99d26784cb964ddc788eda8ef2c32