Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/28421
標題: 金融海嘯前後美元對新台幣即期匯率波動與預測之研究
A Study on Spot Rate Volatility and Forecast of USD against NTD before and after Financial Tsunami
作者: 陳秀雲
Chen, Shown-Yun
關鍵字: financial tsunami;金融海嘯;exchange rate;GARCH model;GM(1,N) model;short-run shock;long-run persistence volatility;匯率;GARCH模型;灰預測GM(1,N)模型;短期衝擊;長期衝擊波動持續性
出版社: 應用經濟學系所
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摘要: 
美國次級房屋信貸危機,引爆一場金融海嘯,國際市場匯率受其衝擊波動幅度大,美元對新台幣的即期匯率亦受波及。本研究目的旨在探討美元對新台幣即期匯率的波動及預測。運用時間數列GARCH方法,建構並比較金融海嘯前後不同時期的實證模式,樣本資料期間以全球國際金融市場自2007年8月9日美國次級房屋信貸危機爆發前後劃分為二段,比較金融海嘯前後波動性的差異。再運用灰預測GM(1,N)預測模型,與GARCH模型比較美元對新台幣即期匯率預測效果。實證結果顯示美元對新台幣即期匯率變動量的影響變數,金融海嘯前後皆以韓圜對其影響最大。金融海嘯後之美元對新台幣即期匯率的短期衝擊及長期衝擊波動持續性均較金融海嘯前大,意涵金融海嘯後廠商與金融從業人員承受較高匯率風險。灰預測方法之預測能力及升貶方向準確度,以灰預測多變數模式GM(1,8)最高。本研究結果可提供廠商及金融從業人員作為美元對新台幣即期匯率波動預測的基礎,及擬定避險決策的參考。

The sub-prime loan crisis that caused an internationally financial tsunami has shocked the exchange rate in international market as well as spot rate on USD against NTD with wide range of fluctuation. The purpose of the study focuses mainly on spot rate volatility and forecast of USD against NTD. By application of GARCH models in time series it builds and compares the tested models between the period before and after the happening of financial tsunami. Period of sample selected are divided into two sections, one is before sub-prime occurring , Aug. 9th,2007, and the other after, to compare the difference of volatility before and after the financial tsunami. In addition, it applys another GM(1,N) prediction model and compares with GARCH model to predict the effect on spot rate of USD against NTD. The tested results indicate that mostly influenced variables of the fluctuation on USD against NTD before and after financial tsunami was KRW. Both short-run shock and long-run persistence volatility after tsunami are bigger than that of before tsunami. It implys that the entrepreneurs as well as the bankers may burden a higher risk in exchange rate. Based on GM(1,N) model, it indicates that GM(1,8) multi-variables model shows a higher prediction probability and the accuracy of appreciation and depreciation. The results of the study may offer the entrepreneurs as well as the bankers with a base on spot rate volatility and forecast of USD against NTD and with reference for swap policy-making.
URI: http://hdl.handle.net/11455/28421
其他識別: U0005-0208201022284900
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