Dynamic relationship between price risk and exchange rate for Asian countries
碩士 === 輔仁大學 === 經濟學研究所 === 97 === After the collapse of Bretton Woods System, most countries are facing dramatically increasing exchange rate fluctuations affected by interest rate fluctuations、inflation fluctuations and stock market fluctuations. Most essays, however, displaying the estimated impul...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/13956122007590170889 |
| Summary: | 碩士 === 輔仁大學 === 經濟學研究所 === 97 === After the collapse of Bretton Woods System, most countries are facing dramatically increasing exchange rate fluctuations affected by interest rate fluctuations、inflation fluctuations and stock market fluctuations. Most essays, however, displaying the estimated impulse responses in each country to a interest rate shock、domestic inflation shock and domestic stock market shock ignore how price risks generated by interest rate fluctuations、inflation fluctuations and stock market fluctuations affect exchange rate pattern. In this paper, we investigate the dynamic relationship between exchange rate and price risk in East Asian economies using “GARCH-SVAR” model、Local Projection methodology and Local Cubic Projection methodology.
By using GARCH-SVAR model, we can directly observe impulse response function how time-varying price risk affects exchange rate pattern. We also use Oscar Jorda’s (2005) methodology to observe indirectly how price risk using GARCH model affects exchange rate pattern.
Main results are as follows:(1) the impulse response function pattern using GARCH-SVAR model can be explained by Interest rate parity theory、Purchase parity theory and portfolio approach. (2) the short-run impulse response function pattern using Oscar Jorda’s (2005) methodology cannot be explained by Interest rate parity theory、Purchase parity theory and portfolio approach.
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