Examining Taiwan's exchange rate exposure prior and after the Asian Financial Crisis by applying an asymmetric model
Date Issued
2004
Date
2004
Author(s)
Li, Tien-Jen
DOI
zh-TW
Abstract
The economic growth of Taiwan was highly related to the booming of the international trade. After the removal of exchange rate restrictions, the variance of exchange rates is likely to cause an important risk to all the industries in Taiwan.
In the study, the sample periods are divided into two periods by the Asian Financial Crisis. The first period is from 1992/01 to 1997/06 and the second period is from 1997/07 to 2003/12. Using an asymmetric model, we can analyze the asymmetric currency exposure of Taiwan’s industries. And we use various exchange rate indices, including the spot exchange rate (monthly and weekly), real effective exchange rate index and 10days/30days forward foreign exchange, to estimate the different currency exposure.
The empirical results show that the exchange rate risks of Taiwan’s industries are different between two periods, and only a few industries have significant exposure in both periods. And most significant exposure results are asymmetric exposures. Other industries, which have a lot of import and export, will have unstable risks in different periods. And the operating hedge effects are a little.
Different exchange rate indices cause different results. The results of weekly data have more significant exposures and Garch effects, and the result of real exchange rate fits the importing and exporting characters of industries. Forward foreign exchange has less influence on Taiwan’s industries, while only the banking and insurance industry has significant exposure. The result tells us that in the sample period most industries didn’t use forward foreign exchange to hedge.
Subjects
不對稱模型
Garch
匯率風險暴露
亞洲金融風暴
Asian Financial Crisis
asymmetric model
exchange rate exposure
SDGs
Type
thesis
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