Title page for etd-0801114-174334


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URN etd-0801114-174334
Author Ya-Chi Chen
Author's Email Address No Public.
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Department Economics
Year 2014
Semester 1
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Exchange rate, macroeconomic variables, and structural changes: Evidences from Taiwan
Date of Defense 2014-08-11
Page Count 90
Keyword
  • exchange rate
  • unit root tests
  • Johansen cointegration
  • structural breaks
  • Abstract In this study, we use the time series models to explore the relationships between the exchange rate and other macroeconomic variables (interest rates, prices, export, and imports) in Taiwan. Our sample span from January 1990 to December 2013. The data is divided into three periods, pre-Asian financial crisis era, post-Asian financial crisis to pre-global financial crisis in 2008, and post-2008 global financial era. The results show that first, every macroeconomic indicator that is under investigation is I(1) sequence after first differencing. Second, the structure changes due to Asian financial crisis and 2008 global financial turmoil do occur. Third, Co-integration relationship exists among all the inspected macroeconomic variables. Fourth, In the context of error correction model , when using exchange rate as the dependent variable, the positive impact from E(-1) and the negative impact from R(-1). Fifth, In the context of impulse response function (IRF), when using exchange rate as the dependent variable, the positive impact from E and the negative impact from M. Sixth, In the context of Variance decomposition of forecast errors, the variables can be explained, the largest is exchange rate.
    Advisory Committee
  • Chun-Ping Chang - chair
  • Yung-nian Tung - co-chair
  • Chien-Chiang Lee - advisor
  • Files
  • etd-0801114-174334.pdf
  • Indicate in-campus at 99 year and off-campus access at 99 year.
    Date of Submission 2014-09-01

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