| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系 === 102 === The main purpose of this study is to analyze the correlations among exchange rates of six asian currencies including Taiwan, Hong Kong, Singapore, Korea, Japan and China, since 2 January 2006 to 31 December 2013.
We adopt five type of approaches such as Unit Root Tests, Granger Causality Test, Johansen Cointegration Test, Dorecast Error Variance Decomposition, and Impulse Response Analysis, to examine the interactive relationships between six asian countries. The currencies under this study are NTD, HKD, SGD, KRW, JPY and CNY. The empirical results are as follows:
(1)The Granger Causality Test shows that the exchange rate movement of Taiwan has affected the movement of the other, demonstrating a two-way feedback relationship.
(2)The results of the Forecast Error Variance Decomposition show that all variables are explaining mostly by itself in the sample period, indicating that exchange rate of NTD , HKD, JPY and CNY are not affected by external variables. Compared with the exchange rate of Taiwan and Korea, Singapore exchange rate is more influential with other variables.
(3)The results of Impulse Response Analysis show that exchange rate movements of six countries during the sample period have impacted to the largest in the short-term period, and have radually convergenced smoothly to zero later.
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