A Research of the Interactive Relationship Among New Taiwan Dollar, Renminbi Dollar and Hong Kong Dollar
碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 105 === Based on international finance theory and environmental trend, this study attempts to explore the inter-relationships among New Taiwan Dollar (NTD), Ren-Min-Bi (RMB) and Hong Kong dollar (HKD) exchange rates. Monthly data, ranging from Jan. 2006 to Dec, 201...
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ndltd-TW-105NTPU13040122017-07-09T04:30:44Z http://ndltd.ncl.edu.tw/handle/26533865305850475073 A Research of the Interactive Relationship Among New Taiwan Dollar, Renminbi Dollar and Hong Kong Dollar 新臺幣、人民幣及港幣匯率聯動關係之研究 CHENG, WAN-PING 鄭婉萍 碩士 國立臺北大學 國際財務金融碩士在職專班 105 Based on international finance theory and environmental trend, this study attempts to explore the inter-relationships among New Taiwan Dollar (NTD), Ren-Min-Bi (RMB) and Hong Kong dollar (HKD) exchange rates. Monthly data, ranging from Jan. 2006 to Dec, 2016, were collected. The data analytical methods include Granger causality test and vector autoregression model (VAR) with impulse response function. The empirical findings are summarized as follows: First, based on pairwise comparison of the Granger causality tests, there is no causal relationship among NTD, RMB and HKD. Second, based on impulse response function derived from the VAR model, in the short run, NTD would affect RMB and HKD; RMB would affect NTD and HKD; and HKD would affect NTD. In the long run accumulative effects, NTD would affect RMB and HKD; RMB would affect NTD; and HKD would affect NTD. Due to the growing economic and trade engagements among these three districts, the Taiwan economic development is heavy influenced by mainland China and Hong Kong. Third, using the forecast error variance decomposition derived from the VAR model, the degree of self-explained variations among three currencies are very high (more than 84.88%) and are not easily explained by external factors, demonstrating there are strong endogeneity in all three currencies. Yeong-Jia Goo 古永嘉 2017 學位論文 ; thesis 101 zh-TW |
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碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 105 === Based on international finance theory and environmental trend, this study attempts to explore the inter-relationships among New Taiwan Dollar (NTD), Ren-Min-Bi (RMB) and Hong Kong dollar (HKD) exchange rates. Monthly data, ranging from Jan. 2006 to Dec, 2016, were collected. The data analytical methods include Granger causality test and vector autoregression model (VAR) with impulse response function. The empirical findings are summarized as follows:
First, based on pairwise comparison of the Granger causality tests, there is no causal relationship among NTD, RMB and HKD.
Second, based on impulse response function derived from the VAR model, in the short run, NTD would affect RMB and HKD; RMB would affect NTD and HKD; and HKD would affect NTD. In the long run accumulative effects, NTD would affect RMB and HKD; RMB would affect NTD; and HKD would affect NTD. Due to the growing economic and trade engagements among these three districts, the Taiwan economic development is heavy influenced by mainland China and Hong Kong.
Third, using the forecast error variance decomposition derived from the VAR model, the degree of self-explained variations among three currencies are very high (more than 84.88%) and are not easily explained by external factors, demonstrating there are strong endogeneity in all three currencies.
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author2 |
Yeong-Jia Goo |
author_facet |
Yeong-Jia Goo CHENG, WAN-PING 鄭婉萍 |
author |
CHENG, WAN-PING 鄭婉萍 |
spellingShingle |
CHENG, WAN-PING 鄭婉萍 A Research of the Interactive Relationship Among New Taiwan Dollar, Renminbi Dollar and Hong Kong Dollar |
author_sort |
CHENG, WAN-PING |
title |
A Research of the Interactive Relationship Among New Taiwan Dollar, Renminbi Dollar and Hong Kong Dollar |
title_short |
A Research of the Interactive Relationship Among New Taiwan Dollar, Renminbi Dollar and Hong Kong Dollar |
title_full |
A Research of the Interactive Relationship Among New Taiwan Dollar, Renminbi Dollar and Hong Kong Dollar |
title_fullStr |
A Research of the Interactive Relationship Among New Taiwan Dollar, Renminbi Dollar and Hong Kong Dollar |
title_full_unstemmed |
A Research of the Interactive Relationship Among New Taiwan Dollar, Renminbi Dollar and Hong Kong Dollar |
title_sort |
research of the interactive relationship among new taiwan dollar, renminbi dollar and hong kong dollar |
publishDate |
2017 |
url |
http://ndltd.ncl.edu.tw/handle/26533865305850475073 |
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