碩士 / 國立臺北大學 / 企業管理學系 / 98 / This study aims to study the issue of USD/NTD spot exchange rates. In the research, we use US Dollar Index, 30 days USD/ NTD NDF Swap Point, LIBOR rate, and CP2 rate as independent variables, and we use VAR and Granger Causality Test to examine the relationship between independent variables. By doing so, we explore the effects of the Financial Crisis on USD/NTD exchange rate and provide the information to related enterprises and investors. In the research, we come to the following conclusions:
1. Before the Financial Crisis, only US Dollar Index have influences on USD/NTD exchange rate, however, US Dollar Index and LIBOR have influences on USD/NTD exchange rate after then.
2. Only US Dollar Index have cumulative and intertemporal effects.
3. Before the Financial Crisis, US Dollar Index have influences on USD/NTD exchange rate about 16.50%, and NDF is about 0.31%. and after the Financial Crisis, US Dollar Index have influences on USD/NTD exchange rate about 10.71%, and NDF is about 1.72%.
| Identifer | oai:union.ndltd.org:TW/098NTPU0121028 |
| Date | January 2010 |
| Creators | WANG,HSING–MEI, 王幸玫 |
| Contributors | GOO,YEONG-JIA, 古永嘉 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 90 |
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