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  • 學位論文

台灣與主要出口國家外匯市場關聯性結構研究--Conditional Copula Model

The dependence between Taiwan and the major exporting countries' foreign exchange markets--Conditional Copula Model

指導教授 : 李美杏
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摘要


外匯市場的變化對台灣經濟有相當的重要性,因為台灣經濟高度依賴貿易,而且台灣與主要出口國家間匯率市場的關聯性會影響到我國的出口競爭力及物價穩定性。2007年美國次級房貸事件引爆全球金融危機,影響層面深廣,全球景氣快速衰退,外匯市場大幅波動,使得金融風暴期間台灣與主要出口國家匯率之間的關係也產生變化。國內在探討匯率市場關聯性的相關文獻大多都注重在關聯性程度上的討論,卻忽略關聯性結構的問題,故 本研究採用Patton(2006b)所提出的Time-varying Conditional Copula方法,將資料分為金融風暴前後兩階段,來探討全球金融危機事件對於新台幣與日圓、韓元、人民幣及歐元相對於美元之匯率市場間的關聯性結構。 研究結果顯示金融風暴發生後新台幣與日圓、韓元、歐元相關性呈現結構性變化。風暴後新台幣與日圓在相關程度趨近於0,新台幣與韓元關聯性降低,故金融風暴後,新台幣與日圓、新台幣與韓元間有利於跨國企業或出口產業進行外匯避險。新台幣與歐元風暴後關聯性提高則不利外匯避險操作。因受中國匯率政策影響,風暴前後新台幣與人民幣相關性程度不變。再由尾部相依性研究顯示,新台幣與人民幣、歐元在風暴前後尾部相依程度變化不大,而新台幣與日圓、新台幣與韓元在金融風暴後無論同時貶值或同時升值的機率均有降低,尤其風暴後新台幣與日圓尾部相依係數為0,顯示金融風暴後,選擇新台幣與日圓為較佳的避險組合。

並列摘要


Changes of foreign exchange market are important for economics in Taiwan, because economics in Taiwan is dependent on trade and the dependence of exchange market between Taiwan and major export countries will affect exporting competitiveness and stability of price. The impact of event of Subprime Mortgage in U.S. in 2007 is broad and deep. It results in global financial crises, results in global recession quickly, and results in the volatility in the foreign exchange market. It also makes changes of foreign exchange market between Taiwan and major export countries. Experts in Taiwan more focus on the degree of dependence when they study the references of dependence of exchange market, but they ignore the problem of structure of dependence. According to the reason we showed above, we use Time-varying Conditional Copula method that Patton (2006b) proposed to study the structure of dependence between NTD, JPY, KRW, Euro, RMB and USD in global financial crises. The result shows there were changes of structure of dependence between NTD, JPY, KRW, Euro, RMB and USD after global financial crises. In the result, the degree of dependence was close to 0 between NTD and JPY, and the degree of dependence was reduced between NTD and KRW. So, it was valuable for international company and exporter to avoid the foreign exchange by operates the exchange rate between NTD and JPY, or between NTD and KRW. On the other hand, since the dependence between NTD and Euro is rise after financial crises, it was valueless to avoid the foreign exchange by operates the exchange rate between NTD and Euro. Besides, the degree of dependence is the same as before between NTD and RMB because of China’s exchange policy. According to the result of tail dependence analysis, though the degree of tail dependence were the same as before between NTD and RMB, or between NTD and Euro after financial crises, the probability was decrease whatever the exchange rate is appreciation or depreciation between NTD and JPY or between NTD and KRW after financial crises. Besides, the tail dependence is 0 between NTD and JPY after financial crises. It means it would be a good choice to select the exchange of Taiwan and JPY to avoid the foreign exchange after financial crises.

參考文獻


6.李天仁(2003),「從不對稱模型探討亞洲金融風暴前後台灣之匯率風險暴露」,臺灣大學國際企業學研究所碩士論文。 
14.楊景惠(2003),「金融風暴的狙擊對美國與東亞各國股匯市之長、短期連動關係之研究」,國立成功大學高階管理碩士在職專班碩士論文。
1.Bartram, S.M., S.J. Taylor and Y.H. Wang, 2007. “The Euro and European financial market dependence.” Journal of Banking and Finance, Vol.31, 1461–1481.
2.Cecchetti, Stephen G. ,2008, “Monetary Policy and the Financial Crisis of 2007-2008”, Brandreis, Working Paper.
3.Hu, L., 2002, “Dependence Patterns across Financial Markets : Methods and Evidence”, Working Paper, Yale University.

被引用紀錄


李幸真(2017)。英國脫歐事件對東亞國家匯率之衝擊影響〔碩士論文,淡江大學〕。華藝線上圖書館。https://doi.org/10.6846%2fTKU.2017.01070

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