匯率預測之探討-外溢效果理論之應用
Date Issued
2005
Date
2005
Author(s)
劉俊育
DOI
zh-TW
Abstract
With the fast development of the international financial system, the international activities such as foreign exchange SWAP have a strong influence on a country’s economy and its company’s operation. The uncertain factors have increased in the variable financial environment. From this point of view, controlling those uncertain elements and avoiding risk have been dependant on predicting ability of a firm.
The biggest challenge of operating an international firm is “dealing with exchange rate volatility”. However, there are many factors that have been affected the “exchange rate “, especially after the broken-down of the Bretton Woods Agreement. Most western countries have implemented floating exchange rate system. It makes the effects of exchange rate fluctuation more complicated. It also makes it difficult to predict the exchange rate. There were many researches based on Time series forecasting models. The objectives of these models are to predict the exchange rate fluctuation more exactly and correctly.
Taiwan is an island country. Taiwan belongs to a type of economic model which is called “qian-die model”. It means lots of individual investors play a vital role in the market. Lacking natural resources, Taiwan depends on trading business. The risks that associated with trading business have a close relationship with exchange rate fluctuation. Furthermore, the stock market in Taiwan is deeply affected by international political and economic activities. Therefore, many researches have devoted time and resources to figure a way out through forecasting the trends of exchange rate since assessing the floating exchange rate policies. However, they have not found any ways yet to forecast the exchange rate more exactly. This dissertation will attempt to create a new thinking which will draw on and utilize European and Asian currencies to forecast the exchange rate trends of the New Taiwanese dollars. Finally, this research also tries to develop a new definition of NT exchange rate theory.
Subjects
匯率預測
GARCH
EGARCH
The forecasting of international exchange rate
Type
thesis
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