日圓與歐元匯率波動之門檻模型在兩匯率市場報酬:台灣與韓國匯率市場之實證研究

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Title:	日圓與歐元匯率波動之門檻模型在兩匯率市場報酬:台灣與韓國匯率市場之實證研究 Threshold Model of Japan and European Dollars’ Volatility on Two Exchange Rate Markets: Study of Taiwan and Korea’s Exchange Rate Markets
Authors:	洪萬吉
Contributors:	醫務管理系(所)
Keywords:	匯率市場報酬學生t 分配非對稱效果雙變量IGARCH 模型 Exchange rate market returns DCC student’s t distribution asymmetrical effect bivariate IGARCH model
Date:	2011
Issue Date:	2012-02-22 15:26:34 (UTC+8)
Abstract:	本文探討台灣與韓國匯率市場之模型建構與其關聯性，同時本文使用日圓與歐元匯率期間之波動當作門檻。研究資料期間為2004年1月至2009年12月，且本文也採用學生t分配來分析所提之模型。實證研究結果顯示這兩匯率市場是相互影響，且用動態條件相關與雙變量非對稱IGARCH(1，1)模型來評估這兩匯率市場的關聯性是適當的。實證研究結果也顯示台灣與韓國匯率市場之間是呈現正相關，其動態條件相關係數之平均值為0.4724，此也顯示台灣與韓國匯率市場報酬波動之間是具同步的影響。此外，實證研究結果也顯示台灣與韓國匯率市場具有不對稱效果。實證研究結果也顯示台灣與韓國匯率市場報酬將會受到日圓與歐元匯率期間之波動的影響，日圓與歐元匯率期間之波動也將影響台灣與韓國匯率市場變異風險。 This paper uses the Taiwan’s exchange rate (US dollar) and the Korea’s exchange rates (US dollar) of material from January, 2004 to December, 2009, discussing the model construction and their associations of between Taiwan’s and Korea’s exchange rate markets, and also uses Student's t distribution to analyze the proposed model. The empirical results show that the mutual affects of the Taiwan’s and the Korea’s exchange rate markets may construct in bivariate IGARCH (1, 1) model with a DCC. The empirical result also shows that between Taiwan’s and Korea’s exchange rate market returns exists the positive relations- namely two exchange rate market return’s volatility are synchronized influence, the average estimation value of the DCC coefficient of two exchange rate market returns equals to 0.4724. The European’s exchange rate return’s volatility will also affect the variation risk of the Taiwan’s exchange rate market, and the European’s exchange rate return’s volatility will also affect the variation risk of the Korea’s exchange rate market. Also, Taiwan’s and Korea's exchange rate markets do not have the asymmetrical effect in the research data period. These evidences may suggest exchange rate market investors or international fund managers- before investing in Korea must consider the Taiwan’s and European’s exchange rate return’s volatility risk and its connection. Therefore, in the exchange rate market, investors and managers may not neglect the influence of the foreign country’s exchange rate market return volatility behavior; otherwise, his decision will not achieve the anticipated effect.
Relation:	計畫編號：CN10020；計畫年度：100
Appears in Collections:	[Dept. of Hospital and Health (including master's program)] Chna Project

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