日本匯率市場波動對亞洲三匯率市場波動的影響：台灣、韓國及泰國匯率市場之實證研究

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Title:	日本匯率市場波動對亞洲三匯率市場波動的影響：台灣、韓國及泰國匯率市場之實證研究 Empirical Study on the influence of Japan Exchange Rate Volatility on Asia Three Exchange Rate Markets: Korea, Taiwan and Thailand
Authors:	洪萬吉
Contributors:	醫務管理系
Keywords:	exchange rate market DCC trivariate IGARCH model
Date:	2015
Issue Date:	2016-02-15 11:19:42 (UTC+8)
Abstract:	In this paper we construct a dynamic conditional correlation (DCC) and a trivariate IGARCH (1, 1) model to evaluate the associations of the Taiwan, the Korea and the Thailand exchange rate markets with a factor of Japanese exchange rate market. The empirical result shows that Korea’s exchange rate market positively affect the Taiwan and Thailand exchange rate markets, and the volatility of the three exchange rate markets interact with one another. The variation risk of the Japan’s exchange rate markets’ volatility affects the variation risks of Taiwan, Korea and Thailand exchange rate markets. Therefore, based on the viewpoint of DCC, the explanatory ability of the trivariate IGARCH(1, 1) model is better than the traditional model of the trivariate GARCH. The evidence suggests that exchange rate market investors or international fund managers must evaluate the variation risk and relationships of the exchange rate markets’ volatility.
Relation:	計畫編號：CN10418；計畫年度：104
Appears in Collections:	[Dept. of Hospital and Health (including master's program)] Dissertations and Theses

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