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Title: 歐元、日圓、英鎊之動態關聯性再探討
Revisiting the Dynamic Linkage in USD/Euro, Yen/USD,and USD/BP Exchange Rates
Authors: 沈珮筠
Pei-Yun Shen
Contributors: 金融與風險管理系碩士班
Keywords: 單根檢定;共整合檢定;誤差修正模型;Granger因果關係檢定;一般化衝擊反應;美元兌日圓匯率;英鎊兌美元匯率;歐元兌美元匯率;美元兌人民幣匯率
unit-root test;cointegration Test;error correction model;Granger causality test;generalized impulse responses function;USD/Euro;Yen/USD;USD/BP and RMB/USD Exchange Rates
Date: 2012
Issue Date: 2012-12-11 15:38:34 (UTC+8)
Publisher: 高雄市:[樹德科技大學金融與風險管理系碩士班]
Abstract: 本研究以Rahbek and Mosconi(1998)共整合檢定、Granger(1969) 因果關係檢定及Pesaran and Shin(1998)一般化衝擊反應函數來探討在美元兌人民幣匯率為外生變數存在下,美元兌日圓匯率、英鎊兌美元匯率及歐元兌美元匯率之動態關聯性,樣本為自2004年07月至2008年06月之月資料,實證結果顯示:經共整合檢定後我們發現,美元兌日圓匯率、英鎊兌美元匯率及歐元兌美元匯率間存在一條共整合關係,即具有長期均衡關係。其次,經Granger因果關係檢定後我們發現,英鎊兌美元匯率與歐元兌美元匯率之間有雙向回饋關係,而美元兌日圓匯率則會影響英鎊兌美元匯率、歐元兌美元匯率,得知美元兌日圓匯率對英鎊兌美元匯率、歐元兌美元匯率間存在有單向因果關係。最後,經一般化衝擊反應分析後我們發現,所有衝擊的屬性均屬永久性,且半衰期介於2個月至9個月之間。
This research uses the statistical methods proposed by Rahbek and Mosconi(1998), Granger(1969), and Pesaran and Shin(1998) to investigate the dynamic linkage between USD/Euro, Yen/USD, and USD/BP rates under the influence of exogenous variables such as RMB/USD. The sample period is from July, 2004 to June, 2008. The conclusions are as follows: First, there is a long-term equilibrium relationship between these three endogenous variables. Second, from Granger Causality test we find that USD/Euro and USD/BP Granger cause each other. Moreover, Yen/USD Granger causes USD/BP and USD/Euro rates. Finally, from the generalized impulse response analysis we show that all the impacts of these three endogenous variables on each other are all permanent, and the half lives are all about two to nine months.
Appears in Collections:[金融與風險管理系(所)] 博碩士論文

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