碩士 / 國立雲林科技大學 / 財務金融系碩士班 / 101 / This research examines the co-movements of Asian exchange rate markets,including Japan, Malaysia, Singapore, Thailand and Taiwan. This paper divide the sample period into three subgroups; whole sample period (January 3, 2005 to May 31, 2012), pre-crisis (January 3, 2005 to May 25, 2007) and post-crisis (May 28, 2007 to May 31, 2012). We use Unit Root Tests, Granger Causality Test and Vector Autoregressive model (VAR). According to the Granger Causality Test, in the whole sample period, Taiwan exchange rate movements has two-way feedback against Malaysia, Singapore and Thailand exchange rate. Before the financial crisis, Taiwan exchange rate was affected by Malaysia, Singapore and Thailand exchange rate. However, after the financial crisis, Taiwan exchange rate movements has two-way feedback against Malaysia, Singapore and Thailand exchange rate.
| Identifer | oai:union.ndltd.org:TW/101YUNT5304018 |
| Date | January 2013 |
| Creators | Yi-jen Lin, 林怡蓁 |
| Contributors | Jack J.W Yang, 楊踐為 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 76 |
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