Uncovered interest parity and exchange rate volatility in Taiwan
碩士 === 國立臺北大學 === 經濟學系 === 104 === We investigated uncovered interest rate parity using Taiwanese dollar against foreign currencies. We found the uncovered interest rate parity is not hold in Taiwanese dollar exchange rate as literature suggested. Next, the exchange rate volatility shows impact on t...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/64034262801784457185 |
| Summary: | 碩士 === 國立臺北大學 === 經濟學系 === 104 === We investigated uncovered interest rate parity using Taiwanese dollar against foreign currencies. We found the uncovered interest rate parity is not hold in Taiwanese dollar exchange rate as literature suggested. Next, the exchange rate volatility shows impact on the uncovered interest rate parity estimation results. We also studies the Markov regime switching models and the results are mixed about the relationship of exchange rate volatility and the uncovered interest rate parity.
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