| Summary: | 碩士 === 國立中央大學 === 產業經濟研究所碩士在職專班 === 100 === Depend on the VECM and VECM-GARCH model, the thesis probe into the dynamic relationship among four variables: exchange rate, interest rate, Brent crude oil price and West Texas Intermediate. According to the 2,416 daily data from FED and U.S. Department of Energy from Jan 4th 2000 to May 29th 2009, the VECM and VECM-GARCH model shows that all variables, except for Brent crude oil price, are affected by influenced on the previous periods especially for exchange rate.
By the way, the error correction results of all variables shows an minus trend during long term inspection. It means that once the relationship of all variables escapes the long-term equilibrium, all variables would go down simultaneously for rebalancing to such long-term equilibrium.
In addition, the thesis modifies the problem of variation of variables by VECM and VECM-GARCH model which by means of equation under VECM-GRACH (1,1) model could eliminate the variational and self-related issue of residual error. Such problem is caused by long-term date and volatility clustering of variables.
Depend on VECM-GRACH (1,1), all variables, except for Brent crude oil price, are affected by influenced on the previous periods especially on exchange rate. Also, there are certain levels of two-way and cause-effect relationship between interest rate and crude oil price. Though the interest rate and crude oil price would influence each other, here in this case, interest rate appears to be more influential.
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