The analysis of the correlation on the exchange rate volatility among NTD, KRW and JPY before and after the financial Tsunami

• Main Authors: Chang, Li-Hsueh, 張麗雪
• Other Authors: Wu, Kuei-Yen
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/73317465368535084230

碩士 === 輔仁大學 === 企業管理學系管理學碩士班 === 99 === The paper mainly investigated the correlation on the exchange rate volatility among NTD, KRW and JPY before and after the financial tsunami. As to the U.S. carried out QE after the financial tsunami, it was divided into three stages: from the financial tsunami to QE1, QE1 to QE2 and QE2 to Feb. 28, 2011. The influence and correlation for the trends and the exchange rate volatility among NTD, KRW, and JPY were examined. The analysis employed daily data, weekly data, and monthly data from Jan. 1, 2005 to Feb. 28, 2011. The results showed that the average appreciation and depreciation rate for the exchange rate volatility of NTD and JPY after the financial tsunami displayed more appreciation than that of before the financial tsunami. However, for the KRW was depreciation. Observing the change of the exchange rate volatility in Taiwan, Korea, and Japan, no matter in the whole period before or after the financial tsunami, KRW has the most exchange rate volatility, whereas NTD has the least. The exchange rate volatility after the financial tsunami, in Taiwan, Korea, and Japan was larger than that of before the financial tsunami. By comparing the exchange rate volatility, three countries from the financial tsunami to the execution of QE1 had the largest exchange rate volatility. Besides, the exchange rate volatility in QE1 period was larger than that in QE2 period. The exchange rate volatility in Taiwan, Japan, and Korea was significantly correlated and the phenomenon of changing in group. During the whole period, before and after the financial tsunami, and QE, the exchange rate volatility of NTD and KRW had the same trend, and there was no correlation for the exchange rate volatility of NTD and JPY after the financial tsunami and QE. The exchange rate volatility between JPY and KRW was oppositely correlated during the whole period, before and after the financial tsunami and the period of QE1. In addition to the exchange rate volatility of NTD, it was correlated with JPY and KRW. Besides, when considering the macro-economic factors that influence the exchange rate volatility was employed, the exchange rate volatility of NTD showed a significant correlation with itself and KRW. Furthermore, it displayed a positive correlation with CPI and foreign exchange net inflow and showed an opposite correlation with import growth rate.