| Summary: | 碩士 === 中國文化大學 === 經濟學系 === 98 === Exchange rate becomes more and more important to every country under the globalization, and the trend of exchange rate between New Taiwan Dollars and U.S. Dollars also becomes more critical to others countries.
This study, by using E-Views tool, analyzes the correlation between New Taiwan Dollar and the major business partners of Taiwan’s currencies against U.S Dollar. It takes daily closing price for the exchange rate of Taiwan, Singapore, South Korea, Japan, The United Kingdom, Australia, Indonesia, Malaysia, Thailand, Philippines and Europe as samples. This study uses daily data on the exchange rate of these currencies against U.S Dollar. Sample period from 2008 to 2009.
Moreover, we also tried to prove the relationship between New Taiwan Dollars exchange rate and others countries’ by using Unit root test, Cointegration test, Vector Error Correction Model, Impulse Response、Error Variance Decompositions.
Results found through empirical research are that the New Taiwan Dollars’ exchange rate will be affected tremendously by the exchange rate between Taiwan, Korea and Malaysia. Furthermore, Taiwan’ exchange rate will affect Singapore, The United Kingdom, Canada, Australia, Thailand, Malaysia, Europe. There are two-way causal relationship between Taiwan and Malaysia. There are only one-way relationship between the other countries. Taiwan’s exchange rate is still affected by the exchange rate between Taiwan, Korea and Malaysia tremendously. The appreciation of New Taiwan Dollars will affect Singapore, The United Kingdom, Canada, Australia, Thailand, Malaysia and Europe’s exchange rate as well. The exchange rate of Japan and Korea would also affect Taiwan’s exchange rate when New Taiwan Dollars was depreciated, and that will affect the exchange rate between Taiwan, Japan, Singapore, Korea, Indonesia, Thailand, Philippines, Malaysia and Europe; these are one-way relationship.
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