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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

匯率轉嫁之時間變動特性-台灣實證研究 / Time-varying nature of exchange rate pass-through for Taiwan

沈睿宸, Shen, Juei Chen Unknown Date (has links)
過去實證研究顯示,匯率轉嫁程度並非一成不變,而是具有隨時間變動的特性。因此,有別於過去文獻大多採用滾動相關係數,本文則是使用Engle(2002)提出的動態條件相關係數模型,估計台灣於1982年至2014年間匯率變動與進口價格變動間的動態條件相關係數;並以其做為匯率轉嫁的代理變數,進而探討台灣匯率轉嫁的時間變動趨勢。我們的實證結果顯示,不論是用滾動相關係數還是動態條件相關係數,台灣的匯率轉嫁都明顯具有隨時間變動的特性。雖然5年期與10年期的滾動相關係數均在1997年前後分別呈現上升與下降的趨勢,動態條件相關係數則無類似的現象。然而,由於滾動相關係數容易受到滾動視窗樣本大小或滾動視窗有無包含極端值的影響,使得此方法較無法看出匯率轉嫁變動的準確時間點,而動態條件相關係數模型則可避免此問題。此外,本文實證發現,通膨環境與匯率波動是造成台灣匯率轉嫁隨時間變動的主要因子,對匯率轉嫁皆有顯著的正向影響。在排除1986年匯率轉嫁與進口滲透率呈現短暫負向關係的資料後,進口滲透率與匯率轉嫁的正向關係變為顯著,而進口滲透率也成為影響匯率轉嫁的原因之一。 / According to past empirical studies, it is believed that exchange rate pass -through (ERPT) has the time-varying nature. In this paper, we apply the Dynamic Conditional Correlation (DCC) model of Engle (2002), rather than the rolling correlation coefficient prevalently used by other studies, to analyze the time trend of ERPT for Taiwan. We estimate the dynamic condition correlation between the changes of exchange rate and the changes of import price using monthly data from 1982 to 2014 and use this correlation as a proxy for the degree of ERPT. Our empirical results show that ERPT for Taiwan, whether measured by the DCC or the rolling correlation coefficient, has a significant time- varying nature. In addition, both 5-year and 10-year window rolling correlation coefficient increase before 1997 and decline after 1997, which does not show in the DCC. However, the rolling correlation coefficient does not provide precise timings in the changes in ERPT, because of the dependence on the size of windows and whether or not outliers exist in the window. In contrast, the DCC does not have this kind of problem. Another important empirical result of this paper is that the inflation environment and the exchange rate volatility are main factors which explain the time-varying ERPT, and both of them have positive relation with ERPT. Moreover, the import penetration becomes positively significant after excluding data which shows temporary negative impact of the import penetration on ERPT in 1986.
2

Tři eseje o měnových trzích ve střední Evropě / Three Essays on Central European Foreign Exchange Markets

Moravcová, Michala January 2019 (has links)
This dissertation thesis consists of three essays on new EU foreign exchange markets (FX), i.e. the Czech koruna, Polish zloty and Hungarian forint. In the first two essays, the impact of foreign macroeconomic news announcements and central banks' monetary policy settings on the value and volatility of examined exchange rates is analyzed. In the third chapter, the conditional comovements and volatility spillovers on new EU FX markets is examined. The aim of this thesis is to contribute to the existing empirical literature by providing new evidence of the examined currencies during periods, which have not been examined yet (after the Global financial crisis (GFC), during the EU debt crisis and during currency interventions in the Czech Republic). The first essay (Chapter 2) examines the impact of Eurozone/Germany and US macroeconomic news announcements and monetary policy settings of the ECB and the Fed on the value of new EU member states' currencies. It is a complex analysis of 1-minute intraday dataset performed by event study methodology (ESM). We observe different reactions of exchange rates in pair with the US dollar on the US macroeconomic announcements and Euro-expressed FX rates on Germany macro news during the EU debt crisis and after it. We also provide evidence of leaking news, showing...

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