| Summary: | 碩士 === 淡江大學 === 國際貿易學系碩士在職專班 === 92 === Employing various time series methodologies, namely unit-root test, cointegration test, Granger causality, impulse response function and variance decomposition, this study investigates the long run equilibrium and short run dynamic relationship between pairwise exchange rates of five Asian major countries. The pairwise settings, mainly based on the degree of trading activity, regional condition and historical and cultural background, are designed as seven groups. Moreover, in order to examine the impact of the financial shock on the relationship between exchange rates, this study compares our empirical results of the pre and post Asian Financial Crisis (AFC) to analyze the changes of the relationships for each of the pairwise exchange rates.
The empirical results found that, without considering the structural break, no cointegration relationship exists between each pairwise exchange rates for the pre-AFC period, however, three groups of Japanese Yen-Koran Won, Koran Won-RMB and RMB-Hong Kong Dollar are found to be cointegrated for the post-AFC period. On the other hand, when incorporating Regime Shift model developed by Gregory and Hanson (1996), this paper argued that the robust long run equilibrium relationships exist in both periods of pre-AFC and post-AFC. Moreover, several strong and significant short run dynamic relationships are found from various time series examinations in our empirical study.
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