Stability of the Foreign Exchange Market - An Empirical Study

• Main Authors: Jia-Hui Jiang, 蔣嘉惠
• Other Authors: Mei-Se Chien
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/85431200591280023504

碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 94 === This paper differs from previous studies by examining the issue of whether regime changes have broken down the stability of the foreign exchange market. To employ the unit root tests of Zivot and Andrews(1992) and the cointegration tests of Gregory and Hansen(1996) allowing for a structural break, the purpose of empirical evidence is to examine the long run equilibrium relationship between forward and spot foreign exchange rate of Taiwan, Japan, and Singapore. Besides, the fully modified estimation of Hansen(2002) is applied to examine whether the forward rate is an unbiased predictor of future spot exchange rates. The empirical evidence shows that the structural break did affect the stability of foreign exchange rate market in Taiwan, Japan and Singapore. The structural break timing of exchange rate market in Taiwan, Japan, and Singapore are 1997, 1985, and 1995 respectively. Applying the fully modified estimation, the forward exchange rate is an unbiased predictor of future spot exchange rate in Taiwan and Singapore .