Analysis of the exchange rate of Asian Nations during the period of Asia Financial Crisis

• Main Authors: Lin, Kun-Jui, 林昆瑞
• Other Authors: Hu, Yu-Pin
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/62179738964924174096

碩士 === 國立暨南國際大學 === 國際企業學系 === 91 === This thesis analyze the exchange rates’ daily data of 9 Asia Nations, such as Thailand, Malaysia, Philippine, Korea, Hong Kong, Indonesia, Taiwan, China and Japan, from January 1995 to January 2003, during the period of Asia Financial Crisis. The movement of exchange rates affected by the country’s economy situation and its exchange rate policy are also studied. Based on the three VaR Models, (Historical Simulation, Variance-Covariance Approach and Bootstrap Method), the character and movement of exchange rate VaR are described. The results show that the order of VaR in these 9 nations is Indonesia Rupiah, South Korean Won, Thai Baht, Malaysian Ringgit, Philippine Peso, Japanese Yen, Taiwan Dollar, Hong Kong Dollar and Renminbi. Both the Renminbi and Hong Kong Dollar are stable, which it has smallest fluctuation. The character of these three models are that Bootstrap Method has the largest VaR, then Variance-Covariance Approach, Historical Simulation. The Bootstrap Method’s exchange rate VaR movement has zigzag shape, and sometimes has extreme values. And the Historical Simulation has the conservative results.