The Relationship between Taiwanese Dollar Forward Rates and Chinese Yuan Spot Rate

ASIA unversity > 管理學院 > 財務金融學系 > 博碩士論文 > Item 310904400/100772

請使用永久網址來引用或連結此文件: http://asiair.asia.edu.tw/ir/handle/310904400/100772

題名:	The Relationship between Taiwanese Dollar Forward Rates and Chinese Yuan Spot Rate
作者:	Lai, Shiou-Fong
貢獻者:	財務金融學系碩士在職專班
關鍵詞:	foreign exchange forwards;exchange rate variation;causality relation;vector error correction model
日期:	2016
上傳時間:	2016-08-16 02:20:31 (UTC+0)
出版者:	亞洲大學
摘要:	Recently, global investors focus on Chinese Yuan (CNY) especially after CNY was added in a basket of currencies as special deposit right (SDR), it became more and more important in international markets. The purpose of this study is to discover the relationship between Taiwanese Dollar (TWD) forward rates and CNY spot rate. We adopt 30, 60, and 90 day-forward rates of TWD and spot rate of CNY in daily basis to investigate the co-movement of TWD forward rates and CNY spot rate. Empirical results show that TWD forward rates Granger cause CNY spot rate but CNY spot rate does not Granger causes TWD forward rates. Additionally, the result of vector error correction estimate shows that while TWD and CNY deviate from long-term equilibrium, CNY will depreciate but the effect is insignificant. The implications of this study is enterprises or investors can effectively manage currency risk if catching up the currency trends and using appropriate strategies, importers will buy CNY or long TWD forwards before they appreciate while exporters will sell CNU or short TWD forwards before they depreciate.
顯示於類別:	[財務金融學系] 博碩士論文

文件中的檔案:

檔案	描述	大小	格式	瀏覽次數
index.html		0Kb	HTML	288	檢視/開啟

檢視Licence

在ASIAIR中所有的資料項目都受到原著作權保護.

資料載入中.....