本文以美元兌新臺幣即期匯率為研究主軸,選取美元指數及一個月期NDF換匯點數、LIBOR、CP2利率為研究變數。應用向量自我迴歸模型及Granger因果關係檢定,求得變數間的互動關係、影響方向及影響效果。探討金融海嘯前、後對新臺幣匯率之差異的變化情形,提供企業之參考,以期達到提升經營績效的效益。資料期間自2004年1月2日至2009年5月31日,共1,289筆日資料,本研究結論歸納如下: 一、金融海嘯前,僅美元指數對新臺幣匯率有顯著影響;金融海嘯 後,美元指數及LIBOR均對新臺幣匯率有顯著影響。 二、金融海嘯前後,僅美元指數變動對新臺幣匯率具累積跨期的顯 著影響。 三、金融海嘯前,新臺幣匯率變動受美元指數之影響達16.50%,受 NDF影響達0.31%;金融海嘯後,新臺幣匯率變動受美元指數影 響達10.71%,受NDF影響達1.72%。
This study aims to study the issue of USD/NTD spot exchange rates. In the research, we use US Dollar Index, 30 days USD/ NTD NDF Swap Point, LIBOR rate, and CP2 rate as independent variables, and we use VAR and Granger Causality Test to examine the relationship between independent variables. By doing so, we explore the effects of the Financial Crisis on USD/NTD exchange rate and provide the information to related enterprises and investors. In the research, we come to the following conclusions: 1. Before the Financial Crisis, only US Dollar Index have influences on USD/NTD exchange rate, however, US Dollar Index and LIBOR have influences on USD/NTD exchange rate after then. 2. Only US Dollar Index have cumulative and intertemporal effects. 3. Before the Financial Crisis, US Dollar Index have influences on USD/NTD exchange rate about 16.50%, and NDF is about 0.31%. and after the Financial Crisis, US Dollar Index have influences on USD/NTD exchange rate about 10.71%, and NDF is about 1.72%.