With financial liberalization and economic globalization, international trade and capital transactions result in larger exchange rate fluctuations than in the past. Besides, it can¡¦t be ignored that the change of exchange rate influences the economics and real exchange rate which be regarded as the indicator of external competitiveness becomes more important than before, so my paper aims to know not only whether there is stochastic segmented trend in their fluctuation but also the factors which are closely related to regime switches.
As we all know that it is significant to forecast the volatility of exchange rate in the global society. A number of previous studies discussed the relationship between exchange rate and fundamentals under the monetary models, however many people found that these models are handicapped in out-of sample forecasting. Therefore, I compare the forecasting performance of the real interest differential monetary (RID) model of Frankel (1979) with the models which I built in the paper.
By using the market share of the top ten currencies in 2010 which is published by Bank for International Settlements (BIS) and the fundamentals. The empirical results indicate that fundamentals do not only matter for real exchange rate, but are also related to the switches between the regimes. Besides, the real exchange rates are highly persistent in each regime and the effect of fundamentals is different in different countries. At last, my result suggest that the models which I built in the paper provide better forecast in the yen, pound sterling and New Zealand dollar than the RID model.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0801111-165454 |
| Date | 01 August 2011 |
| Creators | Liang, Ching-ru |
| Contributors | Chou-Wen Wang, Ming-Chi Chen, Jeng-Tsung Huang, Chien-Chiang Lee |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0801111-165454 |
| Rights | user_define, Copyright information available at source archive |
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