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研究生： 蘇瑪莉
SUSO, RAMATOULIE
論文名稱： Pre-Crisis, Crisis and Post-Crisis Volatility of the NTD/USD and NTD/EUR
Pre-Crisis, Crisis and Post-Crisis Volatility of the NTD/USD and NTD/EUR
指導教授： 楊曉瑩
Yang, Ann Shawing
學位類別： 碩士
Master
系所名稱： 管理學院 - 國際經營管理研究所
Institute of International Management
論文出版年： 2014
畢業學年度： 102
語文別： 英文
論文頁數： 87
外文關鍵詞： Quantile Regression, GARCH, Macroeconomic news, Volatility.
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    • In this paper, Quantile Regression and GARCH methodology are used to analyze the volatility of the Taiwan currency market and also look at the effects of macroeconomic news on these exchange rates. The purpose of doing this research is to answer key questions regarding the volatility of the Taiwan currency market during different phases. These different phases namely the pre-crisis, crisis and post crisis period data are examined. The volatility of the NTD/USD and the NTD/EUR are analyzed and the results show different volatility patterns for the NTD/USD and NTD/EUR exchange rates in the three different study periods. My results show that both the NTD/USD and NTD/EUR were indeed very volatile during the crisis period while the pre-crisis and post-crisis periods showed some degree of volatility but to a lesser degree. Empirical results show that macroeconomic news announcements were found to be very important in the volatility of the NTD/USD while as the NTD/EUR doesn’t indicate macroeconomic news sensitivity.

    ABSTRACT I TABLE OF CONTENTS I LIST OF TABLES V LIST OF FIGURES VIII CHAPTER ONE INTRODUCTION 1 1.1 Research Background. 1 1.1.1 Contextual Background. 1 1.2 Motivation. 2 1.2.1 The Importance of Studying Foreign Exchange Market Volatility. 2 1.2.2 Factors that Cause Foreign Exchange Market Volatility. 2 1.3 Research Objectives. 4 1.4 Research Gap. 4 1.5 Study Procedure. 5 1.6 Structure of the Study. 6 1.7 The Currency Market in Taiwan. 7 CHAPTER TWO LITERATURE REVIEW 9 2.1 Introduction. 9 2.2 Studies on Foreign Exchange Market Volatility. 9 2.2.1 Seasonal Volatility. 9 2.2.2 Central Bank Intervention. 10 2.2.3 Macroeconomic News Announcements. 12 2.3 Fundamental Theory. 14 2.3.1 Market Microstructure Theory. 14 CHAPTER THREE RESEARCH DESIGN AND METHODOLOGY 16 3.1 Study Period and Sampling. 16 3.2 Variables. 17 3.3 Using Periodic Volatility Model (P-GARCH). 21 3.4 Modelling. 21 3.5 Quantile Regression. 22 CHAPTER FOUR RESEARCH RESULTS 25 4.1 Descriptive Statistics Test. 25 4.2.1 Descriptive Statistics Test NTD/USD Panel. 26 4.2.2 Descriptive Statistics Test NTD/USD Panel. 27 4.3 Descriptive Statistics Test NTD/EUR Panel. 29 4.4 Testing for Multicollinearity. 31 4.5 Multicollinearity Test for NTD/EUR Panel. 32 4.6 Pre-Crisis Quantile Regression NTD/USD Panel. 33 4.7 Crisis Quantile Regression NTD/USD Panel. 35 4.8 Post-Crisis Quantile Regression NTD/USD Panel. 37 4.9 Pre-Crisis Quantile Regression NTD/EUR Panel. 39 4.10 Crisis Quantile Regression NTD/EUR Panel. 41 4.11 Post-Crisis Quantile Regression NTD/EUR Panel. 43 4.12 Symmetry Quantile Tests Of The Day Of The Week Dummy Variable Coefficients In The Variance Equation Pre-Crisis Period (USD) 45 4.13 Symmetry Quantile Tests Of The Day Of The Week Dummy Variable Coefficients In The Variance Equation Crisis Period (USD) 46 4.14 Symmetry Quantile Tests Of The Day Of The Week Dummy Variable Coefficients In The Variance Equation Post-Crisis Period (USD) 47 4.15 Symmetry Quantile Tests Of The Day Of The Week Dummy Variable Coefficients In The Variance Equation Pre-Crisis Period (EUR) 49 4.16 Symmetry Quantile Tests Of The Day Of The Week Dummy Variable Coefficients In The Variance Equation Crisis Period (EUR) 50 4.17 Symmetry Quantile Tests Of The Day Of The Week Dummy Variable Coefficients In The Variance Equation Post-Crisis Period (EUR) 52 4.18 Quantile Slope Equality Tests Of The Day Of The Week Dummy Variable Coefficients In The Mean Equation Pre-Crisis Period (USD) 53 4.19 Quantile Slope Equality Tests Of The Day Of The Week Dummy Variable Coefficients In The Mean Equation Crisis Period (USD) 55 4.20 Quantile Slope Equality Tests Of The Day Of The Week Dummy Variable Coefficients In The Mean Equation Post-Crisis Period (USD) 56 4.21 Quantile Slope Equality Tests Of The Day Of The Week Dummy Variable Coefficients In The Mean Equation Pre-Crisis Period (EUR) 57 4.22 Quantile Slope Equality Tests Of The Day Of The Week Dummy Variable Coefficients In The Mean Equation Crisis Period (EUR) 58 4.23 Quantile Slope Equality Tests Of The Day Of The Week Dummy Variable Coefficients In The Mean Equation Post-Crisis Period (EUR) 60 4.24 Unit Root Test. 62 4.25 GARCH Model. 62 4.26 GARCH Results. 66 4.27 Pre-crisis NTD/USD. 68 4.28 Crisis NTD/USD. 70 4.29 Post-crisis NTD/USD. 72 4.30 Pre-crisis NTD/EUR. 76 4.31 Crisis NTD/EUR. 78 4.32 Post-crisis NTD/EUR. 80 CHAPTER FIVE CONCLUSION AND SUGGESTIONS 83 5.1 Research Conclusions. 83 REFERENCES 86

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