| Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 102 === In the thesis, we study the effect of carry trading and stock markets conditions on the
changes of exchange rates. Empirical period is from 1996 to 2013, including Austria,
Canada, Germany, Japan, Korea, New Zeeland, U.K. and U.S. Our results show that,
firstly, the movement of stock index does granger causes movement of exchange rate
except for the US dollar and mark. The movement of interest rates has significant
impact on movement of exchange rates before financial crisis, but the effect is
insignificant after the crisis. Furthermore, high yielding currencies are more sensitive
than other currencies to the changes of interest rates differential and movements of
stock prices. The impact of interest rate differential on exchange rates is only significant
during the crises. Finally, during the crisis, the correlation with stock prices and
exchange rates become higher as the depreciation of exchange rate, showing that when
the depreciation of exchange rate has exceeded the acceptable range of investors, they
will cover yen to prevent the extended losses even though they would not to unwind.
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