The Announcement Effect of Scheduled Economic News-theCase of the exchange of N.T. dollars for U.S. dollars

• Main Authors: Yu-Chen Kuo, 郭育成
• Other Authors: Sheng-Huei Ko
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/47788321406791018686

碩士 === 中國文化大學 === 國際貿易學系碩士班 === 93 === So far it is still an issue worthy of research by scholars and investors to control the yield rate of financial assets and the fluctuation margin of the yield rate of assets. As there are not many researches in Taiwan getting involved in the effect of declaration used in influencing the effect of fluctuation of yield rate, the focus of this research is placed on the discussion about the impact of the declaration of macro-economic information upon the exchange of N.T. dollars for U.S. dollars and further understanding of the effect of fluctuation of exchange rate. This research was carried out in the period from January 2000 to December 2004, in which Model AR(1)-GARCH(1,1) was applied in the discussion of the possibility of either unusual fluctuation or continuous fluctuation occurring in the exchange of N.T. dollars for U.S. dollars in case of the declaration of the price index, the total import-export volume. Following is the conclusion we get in this research: 1. The yield rate of the exchange of N.T. dollars for U.S. dollars in the last period has influence over that in this period. 2. The yield rate of the exchange of N.T. dollars for U.S. dollars exists the ARCH/GARCH effect. For this reason, it is necessary to take it into consideration that the conditional variance of the error varies with time. 3. From the effect of declaration is drawn a conclusion that the declaration of the price Index, the total import-export volume and the unemployment rate causes apparent fluctuation of the exchange of N.T. dollars for U.S. dollars. 4. From the continuity of fluctuation is drawn a conclusion that the declaration of the price index, the total import-export volume and the unemployment rate does not cause continuous fluctuation of the exchange of N.T. dollars for U.S. dollars.