Title page for etd-0516116-115757


[Back to Results | New Search]

URN etd-0516116-115757
Author Wei-Lin Liou
Author's Email Address No Public.
Statistics This thesis had been viewed 5355 times. Download 0 times.
Department Finance
Year 2015
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title A Study of the Spread on Forward Exchange Rate vs. Spot Exchange Rate: An Empirical Application of Lucas Consumption Model and Markov Regime Switcing Model
Date of Defense 2016-06-11
Page Count 48
Keyword
  • Spot exchange rate
  • Vector Error Correction Model
  • Forward exchange rate
  • Markov-Regime Switching Model
  • Lucas Consumption Model
  • HP Filter
  • Vector Autoregression model
  • Abstract The power of a currency reflect a country's economic strength. A country in the international community is considered to have high economic strength , its currency belongs to the strong side in foreign exchange market. In this paper, we use (1) HP filter and Markov-Regime Switching Model to divide global economic situation into two parts objectively, (2) using Vector Autoregression model and Vector Error Correction Model to build a consumption model, which measure spread on Forward Exchange Rate and Spot Exchange Rate. (3) Then we discuss the difference between floating exchange rate regime, managed floating exchange rate regime and fixed exchange rate regime. Finally, we recommend Taiwan’s financial authorities should be committed to reform capital market when global economy is stable, and strength control of currency fluctuation to prevent imported inflation
    Advisory Committee
  • Henry Y. Lo - chair
  • Yi-Hsi Lee - co-chair
  • Chung-Jian Huang - co-chair
  • Chau-Jung Kuo - advisor
  • Files
  • etd-0516116-115757.pdf
  • Indicate in-campus at 5 year and off-campus access at 5 year.
    Date of Submission 2016-06-16

    [Back to Results | New Search]


    Browse | Search All Available ETDs

    If you have more questions or technical problems, please contact eThesys