Exchange rate forecasting during and after the financial crisis in Taiwan
碩士 === 國立政治大學 === 金融研究所 === 103 === This thesis evaluates out-of-sample exchange rate predictability of Taylor rule models and fundamental models, such as Purchasing Power Parity models, monetary models and interest rate differential models, using the USD/NTD exchange rate with real-time data during...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/63666095496852660521 |
| Summary: | 碩士 === 國立政治大學 === 金融研究所 === 103 === This thesis evaluates out-of-sample exchange rate predictability of Taylor rule models and fundamental models, such as Purchasing Power Parity models, monetary models and interest rate differential models, using the USD/NTD exchange rate with real-time data during, and after the financial crisis. To capture the policy of the central bank’s policies, we use the output or the unemployment gap in Taylor rule models. While Taylor rule models with output gap outperformed the random walk model during and after financial crisis, Taylor rule models with unemployment gap rarely beat the random walk model. Purchasing Power Parity model’s predictability was also better than the random walk model during and after financial crisis. The performance of Taylor rule fundamental models was better during the financial crisis and the performance of Taylor rule differential models was better after the financial crisis.
|
|---|