To see the other types of publications on this topic, follow the link: Exchange rate of USD and INR.
Dissertations / Theses on the topic 'Exchange rate of USD and INR'
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 46 dissertations / theses for your research on the topic 'Exchange rate of USD and INR.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
1
Chacon, Aguilar Ana Gloria. "Oil prices and the CAD / USD exchange rate." Thesis, Université Laval, 2013. http://www.theses.ulaval.ca/2013/30231/30231.pdf.
Full textAbstract:
Ce mémoire étudie la relation entre les prix du pétrole et de l’énergie et le taux de change CAD/USD au moyen d’un modèle à correction d’erreur étroitement lié à l’équation du taux de change de la Banque du Canada. Une rupture structurelle se produit dans la relation entre les prix du pétrole et de l’énergie et le taux de change CAD/USD lorsque ce dernier est à parité. Par conséquent, un modèle à correction d’erreur est utilisé pour estimer le taux de change CAD/USD en intégrant l’effet de la parité par rapport à la non-parité dans l’équation de prévision. En outre, la sensibilité de l’équation du taux de change varie selon la présence ou l’absence de parité. Plus précisément, lorsque la parité est atteinte, le taux de change CAD/USD a moins tendance à répondre aux changements de prix du pétrole et de l’énergie.<br>This thesis studies the relationship between oil and energy prices with the CAD/USD exchange rate using an error correction model closely linked with the Bank of Canada’s exchange rate equation. A structural break occurs in the relationship between oil and energy prices and the CAD/USD exchange rate when this latter is at parity. Accordingly, an error correction model is employed to estimate the CAD/USD exchange rate by incorporating the effect of parity versus non-parity in the forecasting equation. Moreover, the sensitivity of the exchange rate equation shifts in the presence of parity versus the absence of parity. More precisely, when parity occurs, the CAD/USD exchange rate responds less to changes in oil and energy prices.
2
Zeileis, Achim, Ajay Shah, and Ila Patnaik. "Exchange Rate Regime Analysis Using Structural Change Methods." Department of Statistics and Mathematics, WU Vienna University of Economics and Business, 2007. http://epub.wu.ac.at/386/1/document.pdf.
Full textAbstract:
Regression models for de facto currency regime classification are complemented by inferential techniques for tracking the stability of exchange rate regimes. Several structural change methods are adapted to these regressions: tools for assessing the stability of exchange rate regressions in historical data (testing), in incoming data (monitoring) and for determining the breakpoints of shifts in the exchange rate regime (dating). The tools are illustrated by investigating the Chinese exchange rate regime after China gave up on a fixed exchange rate to the US dollar in 2005 and to track the evolution of the Indian exchange rate regime since 1993.<br>Series: Research Report Series / Department of Statistics and Mathematics
3
Ševčík, Václav. "Fundamentální analýza měnového kurzu EUR/USD." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-76583.
Full textAbstract:
The aim of this thesis is empirical verification of the fundamental theory of exchange rate determination in the case of the currency pair EUR/USD. The theoretical part is devoted to the issue of exchange rate theory, with emphasis on the importance of the currency pair EUR/USD, and major characteristics of the fundamental theory of exchange rate determination. Attention is also paid to methods of analysis of time series, which will be used in the analytical part. The analytical part is devoted to an empirical verification of the underlying theories. On the basis of these theories are developed econometric models, which are then tested using the methods of linear regression and cointegration. The results of the models and their relevance are discussed in conclusion.
4
Mamalis, Spyridon. "The statistical relationship between the EUR/USD exchange rate and the Greek, Spanish, and German Stock Market." Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-30689.
Full text
5
Vávrová, Barbora. "The Role of USD in a Globalized Economy." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-18033.
Full textAbstract:
The main aim of my thesis is to describe the development of the American dollar's position within the historical background, its role in a globalized economy and analyze the current position of the dollar as the world's leading currency. The thesis is divided into three parts. First part is dedicated to the theoretical background concerning exchange rates and currency regimes. The second chapter considers the history of the international monetary system with the relation to the dollar. The third chapter analyzes the current situation and characteristics determining the role of American dollar. This chapter also describes some problems of American economy, analyses exchange rate of dollar against Euro and gives possible forecast of dollar's position for the future.
6
Costantini, Mauro, Cuaresma Jesus Crespo, and Jaroslava Hlouskova. "Forecasting errors, directional accuracy and profitability of currency trading: The case of EUR/USD exchange rate." Wiley, 2016. http://dx.doi.org/10.1002/for.2398.
Full textAbstract:
We provide a comprehensive study of out-of-sample forecasts for the EUR/USD exchange rate based on multivariate macroeconomic models and forecast combinations. We use profit maximization measures based on directional accuracy and trading strategies in addition to standard loss minimization measures. When comparing predictive accuracy and profit measures, data snooping bias free tests are used. The results indicate that forecast combinations, in particular those based on principal components of forecasts, help to improve over benchmark trading strategies, although the excess return per unit of deviation is limited.
7
Kušnírová, Jana. "Analýza vplyvu fundamentálnych správ na pohyby menových kurzov." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-201626.
Full textAbstract:
The Diploma Thesis deals with influence of announcing economic indicators on currency exchange rate AUD/USD. The Thesis focuses on fundamental news announced in Australia, USA and China, as these play a significant role in forming of analyzed currency exchange rate. The first part includes general description of fundaments, explanation of investor's psychology, description of world's most important banks, because the financial world waits for their announcements and reacts upon them. Next subchapter of thesis focuses on central bank of Australia and its monetary policy. The research itself is situated in the second part of the thesis, containing testing the influence of fundamental news on logarithmic return of exchange rate AUD/USD, using linear regression analysis. The objective of this part is to find out what is the influence of news on exchange rate return of AUD/USD. The last part examines whether investing strategies based on announcing fundamental news can bring profit to the investor or the efficient market theory will be confirmed.
8
Narciso, Dina. "Tendências nos preços de café verde arábica do Brasil e na taxa de câmbio EUR/USD." Master's thesis, Universidade de Évora, 2015. http://hdl.handle.net/10174/14597.
Full textAbstract:
Neste trabalho pretende determinar-se os factores de risco para as empresas importadoras de café. Para tal, avaliou-se a tendência dos preços do café verde arábica do Brasil (entre 16 de agosto de 1993 e 6 de agosto de 2013) e a variação da taxa de câmbio EUR/USD (4 de janeiro de 1999 e 6 de agosto de 2013).
Quando se utilizam os métodos Holt-Winters aditivo e Holt-Winters multiplicativo, para as séries originais da cotação de café arábica do Brasil e da taxa de câmbio EUR/USD ambas as tendências se apresentam positivas, no horizonte temporal estudado. Mas quando se utiliza o método de Holt-Winters aditivo, considerando as séries estacionárias da cotação de café arábica do Brasil e da taxa de câmbio EUR/USD, a primeira apresenta uma tendência negativa e a segunda uma tendência positiva.
Através do Filtro de Hodrick-Prescott identificaram-se três ciclos que afetaram de forma mais significativa o comportamento dos preços de café verde arábica do Brasil; e quatro ciclos que influenciaram de forma mais significativa o comportamento da taxa de câmbio EUR/USD, no período estudado; Abstract:
“Trends of Brazilian Arabic green coffee prices and Exchange rate EUR/USD”
This study intends to determine the risk factors for the importing companies, in the coffee acquisition process. So, the purpose of this research study is to define the trend of Brazilian Arabica green coffee prices (between 16 August 1993 and August 6, 2013) and the variation of the exchange rate EUR / USD (January 4, 1999 and August 6, 2013).
When using the methods Holt-Winters additive and Holt-Winters multiplicative, to the originals series of Brazilian Arabica coffee price and of the exchange rate EUR / USD both trends have positive, to the horizon temporal studied. But, when using the Holt-Winters additive method, considering the stationary series of Brazilian Arabica coffee and quotation of the exchange rate EUR / USD, the first shows a negative trend and the second a positive trend.
Through the Hodrick-Prescott filter was possible to identify three cycles that affected more significantly the behavior of Brazilian Arabica green coffee prices; and four cycles that influenced more significantly the exchange rate behavior EUR / USD, during the study period.
9
Wei, Tseng Li, and 曾麗維. "Hedging USD Exchange Rate – Analyzing with Vince Model." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/7747r5.
Full textAbstract:
碩士<br>東吳大學<br>經濟學系<br>103<br>The purpose of this study is to evaluate hedging performance for EUR/USD and USD/JPY currencies with three methods. The data consist of the daily spot and one-month forward rates over the 15-year period from 2000 to 2014. The major approach is from Vince (2009 and 2011)’s LSM model. It is in effect a cash management model intended to estimate the optimal fraction of an investor stake which results in maximizing the growth of his/her stake in the long run. We attempt to extend this model to foreign exchange hedge. To examine the application’s feasibility and performance, we adopt two alternative approaches – naïve hedge and minimum-variance (MV) model – as the benchmarks for comparison. The study found the following major results. First, over half of sample-size cases for both currencies, the rates of return and standard deviations estimated from MV method are significantly higher than those from naïve hedge. The estimates of coefficient variation (CV) show that MV method performs better than naïve method for EUR/USD over half of sample-size cases. Second, adding the estimates from Vince method, the analyses of two currencies show that its returns and standard deviation are substantially higher than those from two other methods over half of sample-size cases. The CV estimates, however, show that Vince method generates lower estimates than those derived from the other two methods for most of positive CV cases. Therefore, the results supports that Vince’s cash-management model is good at evaluating foreign exchange hedge. Finally, we found that the values of various lower bounds set for estimating hedge ratios by Vince way tend to negatively relate with the estimates of standard deviations.
10
Fernandes, Cláudia Granjo. "Eur/Usd exchange rate – can it be explained?" Master's thesis, 2017. http://hdl.handle.net/10362/26125.
Full textAbstract:
This paper estimates a present-value model suggested by Engel, Mark and West (2007) applied to the EUR/USD exchange rate for the period from 01/1999 to 12/2015. We present evidence that contrary to what expected, the variable output differential showed a negative impact on the EUR/USD exchange rate. Another interesting finding is the fact that when the sample is restricted to the period of European sovereign-debt crisis, explanatory variables have no longer statistical significance. In addition, in order to validate the performance of the model, we develop a VAR model to analyse the importance of the selected explanatory variables in the model to forecast EUR/USD exchange rate, as suggested by Meese and Rogoff (1982).
11
Lin, Yuan-Hsin, and 林源馨. "A Heuristic Investigation of NTD/USD Exchange Rate Forecasting." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/42034239324751941244.
Full textAbstract:
碩士<br>中原大學<br>國際貿易研究所<br>96<br>In traditional economic theory, exchange-rate forecasting models focus on long-term prediction, and use macroeconomic data as the source of information. Additionally, compared to the random-walk model, these models generally do not perform well in terms of its performance on out-sample prediction (Meese and Rogoff, 1983). In light of the above issue and the need of short-term prediction in practice, we alternatively develop a dynamic multivariate regression model of the spot NTD-USD exchange rates, based on the large combinations of one to thirty lag periods. Our model also includes three exogenous variables based on the following consecutive daily price data in recent months: (1) gold futures price, (2) light sweet crude oil price (NYMEX), (3) Taiwan index futures prices. The observation period spans from January 2002 to December 2006. We examine numerous models that use different combinations of exogenous variables, and select the best model according to the significance of its parameters and goodness-of-fit. Finally we compare the selected model with the random-walk model according to their performance on out-sample prediction. The empirical result shows that our model outperforms the random-walk model in terms of Root Mean Squared Error (RMSE), Mean Absolute Percentage Error (MAPE), and Mean Absolute Error (MAE). The selected best model also indicates a tractable relationship between the NT-USD exchange rate and the variables except light sweet crude oil price and Taiwan index futures prices. This model also shows that the NT-USD exchange rate correlates to its lag exchange rates, and has a negative correlation with the lagged gold price.
12
Lin, Chih-Nan, and 林志南. "The Investigation of Hedging Timing-a Case of USD/NTD and USD/JPY Exchange Rate." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/48693823353265074394.
Full textAbstract:
碩士<br>國立高雄應用科技大學<br>金融資訊研究所<br>95<br>Past empirical tests almost investigated how to estimate the optimal hedge ratios and compared hedging effectiveness between different models. In fact, Taiwan exporters and importers needn’t hedge all time. The problem of optimal timing is neglected in past literature. Therefore, the purpose of this study is to investigate the optimal timing for the Taiwan exporters and importers by applying the relation of the exchange rate of NTD to USD and JPY to USD.
By using the exchange rate of NTD to USD and JPY to USD, we do a couple of tests and analyses, such as unit-root test, co-integration, and Granger causality test, to see the dynamic interaction between NTD to USD and JPY to USD exchange rates. The results are as follows:
1. After the difference process, the exchange rate of NTD to USD and JPY to USD indicates stationary characteristic.
2. The co-integration analysis reveals that there is a long run equilibrium relationship between the exchange rate of NTD to USD and JPY to USD.
3. The exchange rate of JPY to USD Granger causes the exchange rate of NTD to USD.
The main conclusions of this study are summarized as follows:
1. For importers, the optimal timing to hedge for 1-, 2-, 3-, 6-, 9- and 12-month forward contracts is when spot exchange rate of JPY to USD falls to 4%. The overall hedging effectiveness is significant different between these contracts. For example, the optimal timing, the highest average hedging effectiveness, is 6-month forward contract. The best hedging value is 12-month forward contract which is when spot exchange rate of JPY to USD falls to 0.5%. The result shows forward contracts could hedge for exchange rate risk on the optimal timing.
2. For exporters, the optimal timing to hedge for 3-, 6-, 9- and 12-month forward contracts is when spot exchange rate of JPY to USD rises to 4%, but the average hedging effectiveness of 1-month forward contract when spot exchange rate of JPY to USD rises to 0.5% and 1% and 2-month forward contract when spot exchange rate of JPY to USD rises to 0.5% on the optimal timing are minus. It shows unhedging is better than hedging and exporters don’t need to hedge for. The overall hedging effectiveness is also significant different between these contracts. For example, the optimal timing, the highest average hedging effectiveness, is 9-month forward contract. The best hedging value is 9-month forward contract which is when spot exchange rate of JPY to USD rises to 0.5%. For exporters, sometimes hedging couldn’t reduce exchange rate risk and lose exchange rate profit.
3. The empirical result shows importers have frequent hedging, and their hedging effectiveness is better than exporters’. The suggestion of the study is that importers should hedge and be more careful on choice of optimal hedging timing for making hedging strategy.
13
Mazigi, Alexandre. "Macroeconomic news announcements and the CDN/USD intraday exchange rate." Thesis, 2002. http://spectrum.library.concordia.ca/2106/1/MQ77671.pdf.
Full textAbstract:
The paper empirically examines the effects of macroeconomic news announcements on the CDN/USD exchange rate. Our process started by dividing our sample observations into four groups: (1) Major US announcement days, (2) minor US announcement days, (3) Canadian news announcement, and (4) Non-announcement days. We compared the volatility for each of these groups based on five-minute intervals during the trading day. Using two different models, we examine which announcements have the greatest impact on the exchange rate. We find that the U.S. announcements that had the most impact were housing starts, leading indicator and to a lesser degree federal funds rate and merchandise trade deficit. The Canadian news announcements that were found to be most significant was the official bank rate followed by Canadian unemployment and Canadian Building permits
14
Wang, Shu-wen, and 王淑雯. "NTD-USD Exchange Rate Forecasting Models and Their Investment Performances." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/daktnt.
Full textAbstract:
碩士<br>世新大學<br>財務金融學研究所(含碩專班)<br>103<br>The main objective of this paper is to build NTD-USD Exchange Rate Forecasting Models and evaluate their Investment performance. The research objects are NTD-USD Exchange Rate, 3-Month U.S. Treasury bill rate, U.S. Consumer Price Index, Taiwan M1B balance, Taiwan foreign exchange reserves, Taiwan Wholesale Price Index and Taiwan Capitalization Weighted Stock Index. The period is from July 1997 to March 2015 by using monthly data. This study applied Augmented Dickey-Fuller Test, Multiple Regression Analysis, Chow Test and Moving Windows Method. Finally identify two better subsamples of investment models and test their investment performance.
15
CHEN, CHAO-CHEN, and 陳昭成. "Back-Propagation Neural Network in NTD/USD exchange rate forecast." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/52949149669114773352.
Full textAbstract:
碩士<br>育達商業科技大學<br>休閒事業管理系碩士班<br>101<br>Due to high degree of freedom in global trade system and rapid flow of international funds between countries, the increasing fluctuation of exchangerates becomes difficult to predict. Furthermore, the fluctuation of exchange rate has a wide and far-reaching effect, which affects the government agencies, large-scale multinational enterprises, and small companies engaged in import and export business. They also include the leisure industries involved in in-bound and out-bound tourism services. Likewise, the loss and risk to the tourism industries due to the exchange rate fluctuation are difficult to predict. It is very desirable to have an accurate forecast tool to predict and manage the trend of exchange rate fluctuation, and thus to take effective hedging measures and reduce loss and risk to the tourism industries. Therefore, the loss reduction and risk management against the exchange rate fluctuation have become important issues for many import and export businesses.
Using the Back-propagation Neural Networks as a research tool and incorporating theSupervised Learning Method to adjust connect weights and optimize the mapping solution from input parameters, this study aims to increase the accuracy of predicting exchange rates. Four major categories of variable model that affect the exchange rate are compared with respect to their predicting accuracy. The criteria used to measure the predicting accuracy are based on calculating the Absolute Relative Error (ARE) and Correlation Coefficient between the actual and predicted values. This study intends to provide the most accurate prediction model that can be used as a forecast reference for tourism business to reduce the risk from exchange rate fluctuation. Other potential uses for forecast reference include assessment of personal finance and investment, corporate financial decisions, importers and exporters to hedge foreign exchange risk, and management strategy of government exchange rate.
16
Lin, Chia-Ching, and 林佳京. "Macroeconomic News Announcement and Exchange Rate: Evidence in NTD/USD." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/26210162530833446176.
Full textAbstract:
碩士<br>中原大學<br>國際貿易研究所<br>96<br>In this paper, we follow Ehrmann and Fratzsher(2005) framework and modify it to analyze the impacts of unexpected component of U.S. industrial production index, U.S. trade balance, Taiwan wholesale price index, Taiwan trade balance, plus the Taiwan stock index and central bank intervention on NTD/US exchange rate. The empirical period is from January 1998 to December 2007; in empirical estimation, we utilize the symmetric volatility model (GARCH Model) and asymmetric volatility models (TGARCH, EGARCH and PGARCH Model) to evaluate.
The empirical results are as follows:
1. As far as the impacts of unexpected component of macroeconomic news announcement on the exchange rate are concerned, a rise in U.S. industrial production index will lead to devaluate the US dollar. This corresponds with Keynesian school’s viewpoint. Because the industrial production index represents incomes to some extent, if incomes increase, imports can raise. Consequently, the domestic currency will depreciate. In addition, an improvement in U.S. trade balance will bring about an appreciation of the US dollar; however, an increase in Taiwan wholesale price index will cause a depreciation of NTD. Finally, the sign of Taiwan trade balance on the exchange rate is positive significantly, which is inconsistent with expectation. The reasons may be the decrease of Taiwan trade surplus in recent years and central bank intervention.
2. A rise in the Taiwan stock index will result in an appreciation of NTD, which is consistent with Solnik’s (1987) viewpoint: an increase in the domestic stock index will generate a negative effect on the exchange rate in the long term. The effect of central bank intervention on the exchange rate is negative, which shows that the central bank will adopt intervention tool in the foreign exchange market to reduce the fluctuation of the exchange rate that generates unfavorable effects on economic development.
3. Although the asymmetry coefficient matches the expected direction but not significant, it may be that the government intervened the foreign exchange market aggressively during this period. When good or bad news announcement makes NTD/US exchange rate more volatile, profit volatility of impostors and exporters increases; meanwhile their investment uncertainty will also increase, and finally it will influence the economic growth. The government will intervene the market appropriately based on the above reasons to reduce the unfavorable impacts by the volatile foreign exchange market. Therefore, the different extent of exchange rate reaction to good or bad news will be not so obvious.
17
Huang, Kuo-An, and 黃國安. "A Comparison of the Forecasting Models of NTD/USD Exchange Rate." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/30949685988428646900.
Full textAbstract:
碩士<br>國防大學<br>財務管理學系<br>102<br>Previously studies discussing the determination of Taiwan/USA exchange rate adopt quarterly data and base on traditional theories. This study selects monthly data and five models: purchasing power parity, flexible monetary theory, fixed monetary theory, asset portfolio theory and behavior equilibrium theory to forecast the exchange rate.
Empirical findings support that flexible monetary theory (FPM) and purchasing power parity (PPP) have better prediction performance than other models. The fluctuations of NTD/USD can be explained by consumer price index and the money supply. The most appropriate lag period for FPM model and PPP is 3 and 6 respectively.
18
Hsu, Yi-Ling, and 徐怡伶. "THE STUDY OF THE INFLUENCE OF USD EXCHANGE RATE AND CNY EXCHANGE RATE VARIATION ON TAIWAN EXPORT INDUSTRY." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/qpm45u.
Full text
19
Lu, Wan-yu, and 路宛諭. "An Investigation of Currency Hedging Strategies-Evidence from NTD/USD exchange rate." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/93168714049464563054.
Full textAbstract:
碩士<br>國立中央大學<br>財務金融研究所<br>95<br>In this paper, we stand in point of view of Taiwan Corporation and investors to investigate the efficiency of five strategies for hedging foreign exchange risk. The strategies are-full hedge, proportional hedge, selective hedge, optimal hedge, and moving average hedge. The last part of research we would prove under selective strategy use extra prediction information whether could be superior to the traditional alternative.
We find that from the angle of corporation, full hedge performs best but its risk is higher. Selective strategy has lowest risk. Different hedging policies can be implemented according to how much risk corporation is willing to bear.
From the angle of investor, account for return and risk in the same time, un-hedge strategy outperforms all the hedging strategies. Full hedge strategy could reduce risk more than any other strategy.
Under having prediction information we precede selective strategy, and the result illustrates using spot exchange rate to predict future spot exchange rate is better than using predictors from internal investing bank of evidence from NTD/USD exchange rate.
20
Huang, Yu-Hsiang, and 黃育祥. "Exchange Rate Investment Strategies Of The Economic Data Release—USD/CAD Case Study." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/uw3qaj.
Full textAbstract:
碩士<br>國立中山大學<br>財務管理學系研究所<br>104<br>The foreign exchange market （forex, FX, or currency market） is a global decentralized market for the trading of currencies.
It ''s huge trading volume representing the largest asset class in the world leading to high liquidity.
It ''s continuous operation: 24 hours a day except weekends.It ''s, trading from 22:00 GMT on Sunday （Sydney） until 22:00 GMT Friday （New York）,
Invest in the great risk market, especially the time in the major economic data released.
Publish the results of economic data,the foreign exchange market price very violent reaction.
The present study investigated how effective the use of price fluctuations historical inertia to Design a relatively high winning trading strategies. And use it in the next same major economic data released , this trading strategy can make efficient use of the investment risk reduction.
The results found that really take advantage of volatility in major economic data released which to add some investment decisions can indeed effectively reduce the investment risk and increase the chances of winning investment performance.
21
Chen, Chiu-Lin, and 陳秋玲. "Investigating the Relationship between Dow Jones Industrial Average and USD/JPY Exchange Rate." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/83202386739540453198.
Full textAbstract:
碩士<br>淡江大學<br>財務金融學系碩士在職專班<br>97<br>The relationship between equity market and foreign exchange market has always received considerable amount of attention from the economists, international investors and policy makers. This study employs various linear and non-linear, time-series methodologies to investigate the short-term and long-term relationships between Dow Jones Industrial Average Index and USD/JPY exchange rate during the period of January 1998 to August 2008.
It is found that from both conventional ADF, PP, and NP tests and advanced KSS test,these two variabls are insured I(1) non-stationary time series; we also find there is significant co-intergation relationship between Dow Jones Index and USD/JPY; in another words, there is a long-run equilibrium relationship between Dow Jones Index and USD/JPY in time series.
The results from Granger-Gausality test based on corresponding TECM (Threshold Error-Correction Model) clearly point out there do exist a bidirectional causality running from Dow Jones Industrial Average Index to USD/JPY exchange rate in the long run; but there is no significant lead-lag causal relationship found between Dow Jones Index and USD/JPY in the short run.
This study might be valuable for those who are participating in equity market or foreign exchange market
and policy makers.
22
Kuo, Yen-Yen, and 郭燕燕. "The Determinants of USD/TWD Spot Exchange Rate-Questionnaires Analysis from FX Practitioners." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/99232881484173477380.
Full textAbstract:
碩士<br>輔仁大學<br>金融研究所<br>91<br>The purpose of this research is, from the viewpoint of FX traders, to identify factors that influence the USD/TWD spot rates, how these factors impact the USD/TWD spot rates, and the adjustment speed to achieve new balance in case imbalance occurs. This research is implemented by interviewing several FX traders in Taipei and asking some FX traders in Taipei to fill in a questionnaire which is designed according to general foreign exchange determination theories.
The questionnaire is composed of six parts. First, respondents’ profile. Second, the influence of macroeconomic factors on the USD/TWD spot rate and the adjustment speed to achieve balance once macroeconomic factors cause imbalance in the FX market. Third, the influence of non-macroeconomic factors on the levels of short-, medium-, and long-term USD/TWD spot rates. Fourth, the relationship between the central bank’s intervention and the volatility of the USD/TWD spot rates. Fifth, the reasons for and timing of the deviation of the interbank bid-offer spreads from their normal levels. Sixth, the predictability of the USD/TWD spot rates from traders’ perspective.
The responses on the returned questionnaires are quantified to numerical indexes according to Likert Scale, and then examined with ANOVA and Scheffe multiple comparison method. The conclusions this research reaches are as follows.
When it comes to the impact of macroeconomic factors on the change in the USD/TWD spot rates, the spot traders’ thoughts agree with what economic theories portray. Among the factors, the balance of the current account and that of the capital account are considered the most crucial. However, one interesting thing discovered in this research is that traders in local banks and those in foreign banks are apparently divided on how the balance of the current account influences the USD/TWD spot rates.
About the adjustment speed for the USD/TWD market to achieve equilibrium from inequilibrium caused by exogenous disturbing factors, traders believe that the new equilibrium can be achieved only in the medium to long run. Among all the exogenous disturbing factors that result in inequilibrium, the interest rate clearly causes the rapidest adjustment process than any other factors.
As far as non-macroeconomic factors are concerned that influence the USD/TWD spot rates, the speculative actions in the market and market participants’ reaction to real-time news are the two most important short-term factors. And the most important medium- to long-term factors are economic fundamentals.
Regarding the intervention by the central bank, FX traders in Taipei agree that the central bank can accomplish its objective to intervene and that the intervention does increase fluctuation in the market. But they disagree that the timing of the intervention by the central bank is appropriate or that the intervention can bring the USD/TWD spot rates to a reasonable level of equilibrium.
With respect to the bid-offer spreads of the USD/TWD spot quotes by interbank traders, the average spreads are 6.26 pips. And the spreads of quotes by traders in local banks and those by traders in foreign banks are very similar. No statistically significant difference in the spreads is detected. When asked if they will quote two-way prices whose bid-offer spreads are deviant from conventional market practice, 61 respondents, or 63.54% of all respondents, indicate that they never do so while the rest 35 respondents, or 36.46% of all respondents, indicate that it is likely for them to do so. The most distinct timing of quoting wider bid-offer spreads is when the market is just open in the morning, followed by when the market is influenced by unexpected events, when important information is going to be released or is just being released, and when the fluctuation in the market surges. And the common occasions for traders to quote narrower bid-offer spreads are when they get prices of narrower bid-offer spreads from their counterparties and when the market is very quiet.
Lastly, concerning the predictability of the USD/TWD spot rates, traders believe that the shorter the period of time to be forecast, the more predictable the spot rates. Traders also think that it is very difficult to predict long-term trends of the USD/TWD spot rates.
23
Wang, Min-Pei, and 王銘培. "Exchange rate of USD/NTD change in the South of Asia Financial Crisis." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/01270283407111471653.
Full text
24
Yang, Tze-Chen, and 楊慈珍. "Volatility Forecasting of USD/NTD Exchange Rate and Its Relationship with Forward Exchange Rate: Effects of Forecasting Performance and Trading Volume." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/65789549836510718269.
Full textAbstract:
碩士<br>國立臺灣海洋大學<br>應用經濟研究所<br>94<br>Abstract
The purpose of this study is to establish the relationships between the spot and forward exchange rate and to forecast the volatility of both USD/NTD exchange rates. This study applies the following six single variate models, such as stochastic volatility model, GARCH model, GARCH-M model, EGARCH model, TGARCH model and GJR-GARCH model, to forecast the volatility of the return rate for both spot and forward exchange rate. Comparing the forecasting performance of the above six models, the VEC-TGARCH model is chosen to specify the bi-variates relationship between the spot and forward exchange markets. The sample period is from January 2, 2001 to November 30, 2005. Major conclusions of this study are shown as follows.
First, the result of the unit root test shows that both of the USD/NTD spot exchange rate and the USD/NTD forward exchange rate are non-stationary series and are integrated order one. Second, by using Johansen co-integration test, there is a single co-integration relationship between the spot and forward exchange markets. Third, there exists the volatility clustering phenomenon and an asymmetric effect in the spot and forward exchange markets. Fourth, after taking the return of the forward exchange rate and the trading volume into account, the volatility clustering effect will be reduced and the forecasting of the volatility will perform better. Fifth, there exists reciprocal cause and effect relationship between spot and forward exchange markets and the reaction of the forward exchange market to any new intervention is larger than that of the spot exchange market. Sixth, by comparing the forecasting performance of the volatility from the above six models metioned and the VEC-TGARCH model, the stochastic volatility model ranked the best, the VEC-TGARCH model ranked the second, and the TGARCH model ranked the third.
25
Dai, Sumei, and 戴淑美. "A Study of Genetic Programming on Prediction Model for Exchange Rate – Example of Short Term Exchange Rate between USD and NT." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/28822622199097980769.
Full textAbstract:
碩士<br>輔仁大學<br>資訊管理學系<br>95<br>The foreign exchange market is a highly dynamic global market that runs 24 hours a day. It requires an excellent command of both fundamental and technical analyses on an investor’s part to stay ahead of rate trends and determine the best trading points. The complexity of exchange rate analysis and the necessary professional expertise pose a great difficulty for the average investors. This study takes important factors that influence exchange rates, including the money market, the stock market, the foreign exchange market, and technical indicators, and applies them to genetic programming. The intended approach is to establish a forecast model by taking advantage of the self-learning characteristics and smart computing capacity. The model will be then utilized to produce rate trends and make recommendations on optimal trading strategies for investors.
Several conclusions can be drawn from results of this study. (1) When it comes to system optimization, roulette wheel selection is more stable than game. The best method of producing offspring generations is Rank89, followed by Rank85. As for reproduction mechanism, KeepBest-10 outperforms KeepBest-1. (2) Opening exchange rates, 5-day range, and technical indicators are indeed important reference tools in forecasting short-term exchange rates. (3) Foreign exchange forecasted by the four fitness values, MAE, MAPE, MSE, and MSPE, all fall within high precision range. Among the four values, MSE gives the highest degree of precision. (4) Measuring 5-day exchange rate data by return reveals positive returns across the board, which supports the theory of error rate precision. (5) When applied to practical trading strategies, all four strategies achieve positive returns and holding US dollars is a particularly attractive position. Investing by accrual position yields a better profit when returns are high.
26
Chen, Yi-Jing, and 陳怡靜. "The Influence of Order Flow and News Announcements on EUR/USD and USD/JPY Exchange Rate Volatility-Using GARCH Model." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/60799573588424874678.
Full textAbstract:
碩士<br>國立高雄應用科技大學<br>國際企業系<br>99<br>This paper examines whether order flow and news surprises have influences on the volatility of EUR/USD and USD/JPY. Using one year’s high-frequency dataset from EBS. Using GARCH model, incorporate the volatility of intraday EUR/USD and USD/JPY exchange rate, order flow and news surprises into our model. The empirical results we find that (i) The volatility of intraday EUR/USD and USD/JPY exchange rate have a singnificant and positive effect on EUR/USD and USD/JPY exchange volatility. (ii) The order flow of EUR/USD and USD/JPY have a significant and positive effect on exchange volatility within ten minutes. (iii) In the news surprises, U.S.’s news announcements have more significant on exchange volatility than Europe and Japan’s news announcements.
27
Campino, José Pedro Meira. "The impact of ECB’s monetary policy on Euro’s exchange rate." Master's thesis, 2015. http://hdl.handle.net/10071/11521.
Full textAbstract:
JEL Classifications: E51 - Money Supply, Credit, Money Multipliers; E52 – Monetary Policy; E58 – Central Banks and their Policies; F31 – Foreign Exchange; F33 – International Monetary Arrangements and Institutions<br>The study of foreign exchange is relevant thanks to the impact it may have at different levels. Moreover, the recent economic programs influence exchange rates in a free floating international monetary arrangement, which has caused several minor international incidents.
Thus, the study topic of this work is the indirect influence of the European Central Bank (ECB) on EUR/USD exchange rate. This study seems to be pertinent due to the scarce literature available on the subject, its complexity and its current relevance. We have focused on central banks and their policies, mainly the Federal Reserve System (Fed) and the ECB, and particularly on the ECB’s monetary policy.
We have chosen the mixed methods approach, in order to make both a qualitative and quantitative analysis. The study begins with an approach to central banking and moves to contextualizing the ECB’s scope of action within the Eurozone, as well as analyzing its monetary policy, that, through the transmission mechanism, affects money supply and credit. Afterwards, we focus on exchange rates and closely examine the EUR/USD exchange rate in different periods, particularly during the non-conventional monetary policy period. Lastly, we use statistics to support the argument that non-conventional monetary policy influences exchange rates.
We conclude that the ECB’s non-conventional monetary policy puts downward pressure on the EUR/USD exchange rate and the contrary happens with Fed’s policy. Several aspects, including behavioral ones, may affect exchange rates particularly in a turbulent economic/financial situation, but very high correlations proving the main arguments of the study, lead us to believe in the primary relation of monetary base and exchange rate.<br>As operações cambiais são muito relevantes devido ao impacto destas a diferentes níveis. Os recentes programas de estímulo económico influenciam as taxas de câmbio, num sistema monetário internacional de livre flutuação das moedas, tendo já causando conflitos internacionais menores.
Assim, o tema deste trabalho é a influência, ainda que indirecta, do Banco Central Europeu (BCE) na taxa de câmbio EUR/USD, estudo que é pertinente devido à escassa literatura sobre o tópico, à sua complexidade, contemporaneidade e relevância. Focámo-nos nos bancos centrais e nas suas políticas, neste caso na Reserva Federal Americana (Fed) e no BCE, e particularmente na política monetária do último.
Para esta análise recorremos a uma abordagem mista permitindo assim utilizar tanto uma análise qualitativa como quantitativa. Começámos por descrever o conceito e importância dos bancos centrais e passámos para uma contextualização da actividade do BCE na Zona Euro analisando também a sua política monetária que através do mecanismo de transmissão afecta a massa monetária e o crédito. Depois focámo-nos nas taxas de câmbio e analisámos a taxa EUR/USD em diferentes períodos. Por fim, utilizámos uma análise estatística que sustenta o argumento de que a política monetária não convencional afecta a taxa de câmbio.
Concluímos que a política não convencional do BCE influência a desvalorização da taxa EUR/USD e o contrário acontece com a política da Fed. Vários aspectos, incluindo aspectos comportamentais, afectam as taxas de câmbio particularmente num ambiente de turbulência. Contudo, correlações elevadas, que provam os argumentos deste trabalho, consolidam a relação primordial entre massa monetária e taxas de câmbio.
28
Dang, Vu Hoang, and 武黃登. "AN EMPIRICAL STUDY ON THE RELATIONSHIP BETWEEN USD EXCHANGE RATE AND STOCK RETURN IN VIETNAM." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/70219216484974827835.
Full textAbstract:
碩士<br>朝陽科技大學<br>財務金融系碩士班<br>101<br>ABSTRACT
After six years joining the World Trade Organization (WTO), Vietnam has enjoyed a lot of merits from its economic global integration; however it also faced with numerable challenges. In line with the broader achievement, Vietnam’s exchange rate regime has evolved from a system of multiple exchange rates to a single announced fixed rate, then to the current system of a narrow adjustable band around the official rate.
The relationship between stock price and VND/USD exchange rate has always been an important issue for both investors and policy makers. This study presents an EGarch-M (1, 1) model with break to analyze the impact of exchange rate on stock return in Vietnam. Over the period from 2002 to 2011, the empirical results reveal the negative relationships between stock returns and VND/USD exchange rate, proving that VND/USD exchange rate works as the negative indicator of stock return in Vietnam , and the determinant of this phenomenon is the leverage shock between ''good news'' and ''bad news''.
29
Shih, Cehn-Sheng, and 施賑勝. "The Study of Forecasting The Short-Run Exchange Rate of Usd Dollar Against New Taiwan Dollar." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/03684001358346094762.
Full textAbstract:
碩士<br>世新大學<br>經濟學研究所(含碩專班)<br>93<br>This essay is going to have a research on Dollar against New Taiwan dollars（NTD）on short term trend. The samples selected are mainly from two distinguished group, one is for building the exchange rate model from July 1st to Dec 31st, 2003; the other is for forecasting purposes from Jan 2nd to Jun 30, 2004. Four independent variables on this paper are as follows: The close rate of prior day, the difference of Taiwan Stock Weighted Index (TSWI) with prior day, The difference of Dollar against Yen’s close rate with prior day, and the difference of the swap points between Dollar against NTD Non-Delivery Forward (NDF) and Delivery Forward(DF). We adopts Ordinary Least Square (OLS) method to build model I and Model II; at the same time we apply Generalized Autoregressive Condition Heteroscedasticity (GARCH) model to build our model III and Model IV. The MSE and MAPE are implemented as the indicators to forecast our model’s accuracy.
After we take the above steps we can find the results as follows:
1.We compare four models and we can find that the GARCH (1,1) in time serial is the most accuracy and better than the regression model.
2.We found GARCH (1,1) with model III perform better than Model IV.
3.The fluctuation of swap points both on NDF and DF can be a useful indicators of expectation.
4.The difference of Dollar against Yen’s close rate with prior day can be a useful indicators while we are forecast the trend of Dollar.
5.TSWI is not a good indicator to forecast the fluctuation of exchange rate. Because it probably exists some correlation between TSWI and other macroeconomic variables.
30
TU, LI-YUAN, and 涂力元. "The Impact of USD to TWD Exchange Rate on the Earnings of Insurance Companies in Taiwan." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/s3ecy2.
Full textAbstract:
碩士<br>大葉大學<br>管理學院碩士在職專班<br>107<br>This study aims to analyze how the USD/TWD rate affect the profit of insurance companies of Taiwan from the first quarter of 2009 to the third quarter of 2018. Under a rigorous empirical research, the important findings are listed as follows. First, there is no significant bidirectional causality between the USD/TWD rate and the income before tax of China Life Insurance Co. and Farglory Life Insurance Co. Second, there is a one-way causality between the USD/TWD rate and the income before tax of Mercuries Life Insurance Inc. The USD/TWD rate has a positive exchange two quarters earlier than the income before tax of Mercuries Life Insurance Inc. Which is, the revaluation of USD/TWD rate has a positive effect to the income before tax of Mercuries Life Insurance Inc. two quarters later.
31
Hung, Jui-Liang, and 洪瑞良. "The Impact of Money Supply and USD to TWD Exchange Rate on Taiwan Capitalization Weighter Stock Index." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/39555735947744939726.
Full textAbstract:
碩士<br>大葉大學<br>管理學院碩士在職專班<br>103<br>ABSTRACT
The primary purpose of the study is to investigate the individual impact of the money supply (M1B) and the exchange rate of the dollar against the TWD on TAIEX. The study was launched from June 2004 to June 2014, and the data type is based on monthly rate of change or monthly return. The following conclusion is obtained via empirical methods such as descriptive statistics, unit root test, and vector auto-regression model.
Both the money supply (M1B) and the exchange rate of the dollar against the TWD have no significant causality relations with TAIEX, which means there are no indicative roles. However, both of them have contemporaneous relations with TAIEX.
Keywords: Money Supply (M1B), Exchange Rate of the Dollar against the TWD, TAIEX, Vector Auto-Regression Model
32
Chang, Feng-Jui, and 張峰瑞. "Revisiting the Dynamic Linkage in Taiwan Stock Index, Taiwan Stock Index Futures and NTD/USD Exchange Rate." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/13642135139725302762.
Full textAbstract:
碩士<br>樹德科技大學<br>金融與風險管理系碩士班<br>100<br>This research uses the statistical methods proposed by Rahbek and Mosconi(1998), Granger(1969), and Pesaran and Shin(1998) to investigate the dynamic linkage between Taiwan Stock Index, Taiwan Stock Index Futures and NTD/USD rate under the influence of exogenous variables such as NASDAQ Composite Index and Brent oil price. The sample period is from July, 2004 to June, 2008. The conclusions are as follows: First, there is a long-term equilibrium relationship between these three endogenous variables. Second, from Granger Causality test we find that these three endogenous variables do not Granger cause each other. Finally, from the generalized impulse response analysis we show that all the impacts of these three endogenous variables on each other are all permanent, and the half lives are all about one month.
33
Chen, Yu-Jung, and 陳又榮. "Forecasting Exchange Rate Using Support Vector Regression Base on Genetic Algorithm—A Case Study of EUR/USD." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/hmh89v.
Full textAbstract:
碩士<br>臺北市立大學<br>資訊科學系碩士在職專班<br>107<br>The foreign exchange market is composed of trading markets in different trading hours in various regions of the world. The overlapping area of trading hours between the London market and the New York market is the most frequent period of global foreign exchange transactions. The data is visualized and found in the overlapping areas of the two major trading hours. The exchange rate fluctuates a lot, so judging the overlapping time of the trading time will affect the exchange rate. Every weekend, the foreign exchange market may release unexpected news after the market closes, so the risk of holding foreign exchange before the market close is higher. After visualizing the data, it is observed that the exchange rate will have a significant rise and fall before and after the market close, so it is judged that the weekend will affect the exchange rate.
In summary, this study explores the Support Vector Regression (SVR) model of forecasting exchange rate by selecting the euro-dollar as the research target, in addition to the general price-quantity attributes, and adding the factors of weekend and trading time overlap. The model parameters are adjusted by the Genetic Algorithm (GA) to obtain an optimized model. The experimental results show that the GA-SVR with the weekend and trading time overlap area attribute can reduce the Mean Absolute Percent Error (MAPE) by 9.4% compared with the GA-SVR using only the foreign exchange basic price attribute.
34
胡克非. "Applying Multi-Neural Network with Fundamental and Technical Factors to Forecast the Exchange Rate between USD and NT." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/03484428413914883986.
Full textAbstract:
碩士<br>國立交通大學<br>資訊管理研究所<br>95<br>It is a inevitable trend that more and more countries adopt the floating exchange rate regime, so how to anticipate the fluctuation of exchange rate is a very important task. Since the traditional model of exchange rate and technical analysis method is provided, there are many scholars and specialists trying to research the factors which make exchange rate change. In the present, Neural Network is a novel methodology artificial intelligence which is widely applied to solve complicated financial problems. According to these backgrounds, a model with Multi-Neural Network integrating fundamental and technical analysis is provided.
In this study, the original data is the exchange rate between USD and NT from 1989 to 2007. Combining the five macro economics factors of price level, interest rates, money supply, imports/exports, and productivity and the seven technical indicators in practice, the data is pre-processed as input variables of the three sub networks. The results of simulation are integrated into the master network for total evaluation. The result of this experiment shows that Multi-Neural Network is significantly more effective than random walk model and single neural network model.
35
Liao, Ming-Tang, and 廖明堂. "A Study on the Relationships between Stock Prices and NTD/USD Exchange Rate for Notebook Industry in Taiwan." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/73358207535638273470.
Full textAbstract:
碩士<br>淡江大學<br>國際貿易學系國際企業學碩士在職專班<br>96<br>Based on nonlinear framework, this study employs TAR, M-TAR and M-TECM models, respectively, developed by Enders and Granger (1998) and Enders and Siklos (2001) to profound investigate the asymmetric long-run equilibrium and short-run dynamic relationships between stock prices of notebook industry and NTD/USD exchange rates in Taiwan. Our monthly sample date runs from June 1999 to May 2008, a total of 108 observations cover nine-year period are collected.
We first apply the pretest of unit root to test for the stationarity of each variable. The two variables considered in this study are all found to be I(1) series from both the traditional unit root tests of PP, KPSS and NP and the nonlinear unit root test of KSS. We then further employ TAR, M-TAR and M-TECM to investigate the asymmetric long-run equilibrium and short-run dynamic relationships between the two variables considered.
There are few interesting findings from our empirical investigation for the long run and short run dynamic relationship between NB stock prices and NTD/USD exchange rates. First, there exist long run equilibrium relationships between stock prices and exchange rates. The mean revision adjustments occur at the upper regime for the stock market and at the lower regime for the exchange rate market, respectively. The speeds of adjustment for both markets are approximately the same (7.03% for stock market and 6.20% for exchange rate market). Second, only a one-month effect from stock prices to exchange rates is found for our short run dynamic VAR testing between stock prices and exchange rates. Finally, testing for the Granger causality, we find that there exists a uni-direction causal relationship from stock prices to exchange rates both in short run and long run. This research concludes that stock prices can be served as a leading index for the movement of the exchange rates.
36
Shiu-Chen, Chao, and 趙修晨. "The Relationship of Spot and Forward NTD/USD Exchange Rate: The Application of Cointegration Analysis with Conditional Heteroscedasticity." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/95875472296456921633.
Full textAbstract:
碩士<br>國立中山大學<br>經濟學研究所<br>101<br>According to simple market efficiency hypothesis, the long-run relationship between spot exchange and forward exchange rate would exist as exchange markets are efficient. With the purpose of this study is to examine if forward exchange market in Taiwan is efficient by cointegration theory. Instead of Johansen’s reduced rank MLE, we consider a new method - Herwartz &; L¨utkepohl’s FGLS with GARCH to re-estimate the cointegration vector of simple market efficiency hypothesis in Taiwan.
Conclusively, the result of cointegration relationships exist only in maturity of one month forward and spot exchange rate. and the cointegration
vector gets more precisely by Herwartz &; L¨utkepohl’s FGLS method with
GARCH.
37
HSIEH, YANG-TSUNG, and 謝養欉. "The Influence of USD Exchange Rate Fluctuations on Machinery Industry in Taiwan: A Case Study of C Company." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/4cs9w6.
Full text
38
Tai, Kuo-Liang, and 戴國良. "Revisiting the Dynamic Linkage in Taiwan Electronics Sector Index, Taiwan Electronics Sector Index Futures and NTD/USD Exchange Rate." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/10218948248567566712.
Full textAbstract:
碩士<br>樹德科技大學<br>金融與風險管理系碩士班<br>100<br>This research uses the statistical methods proposed by Rahbek and Mosconi(1998), Granger(1969), and Pesaran and Shin(1998) to investigate the dynamic linkage between Taiwan Electronics Sector Index, Taiwan Electronics Sector Index Futures and NTD/USD rate under the influence of exogenous variables such as PHLX Semiconductor Index. The sample period is from July, 2004 to June, 2008. The conclusions are as follows: First, there is a long-term equilibrium relationship between these three endogenous variables. Second, from Granger Causality test we find that Taiwan Electronics Sector Index and its Futures Granger cause each other. Moreover, NTD/USD rate Granger causes Taiwan Electronics Sector Index and its Futures. Finally, from the generalized impulse response analysis we show that all the impacts of these three endogenous variables on each other are all permanent, and the half lives are all about one to two months.
39
黃炳松. "The performance for the exchange rate of NTD vs. USD during the event of subprime mortgages turmoil:using the MACD method." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/49100802101700835910.
Full text
40
Chou, Chien-Lien, and 周伽蓮. "Effect of Crude Oil Price, USD Exchange Rate, CPI and Export Orders on the Stock Price of the Plastics Industry." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/05732283585775238546.
Full textAbstract:
碩士<br>銘傳大學<br>財務金融學系碩士在職專班<br>105<br>The end demands of the plastics industry are related to various life articles. When the crude oil price is rising, the cost of the related industries correspondingly increases. Therefore, the stock market is easily influenced by the fluctuations in crude oil price, and the overall economic data may vary along with it. The study explores the effect of crude oil price, USD exchange rate, CPI and value of export orders on the stock price of the plastics industry in Taiwan. The monthly data of the related variables are used to analyze the degree of effect on the stock returns of the plastics industry by using the unit root test, multiple regression and quantile regression. The study period for the samples is from January 2006 to December 2015.
As shown in the empirical results, when crude oil price increases, the price of the related products in the plastics industry will also be increased, which further results in the growth of the stock price in such industry. The plastics industry is still export-oriented, so the value of export orders shows positive influence on the stock returns. The USD exchange rate shows significant influence on the product quotation and operating profit margin, which further affects the stock return. Moreover, the consumer price index (CPI) only shows influence when the stock return is relatively low or high. To sum up, the variables such as crude oil price, value of export orders and USD exchange rate all show influence on the stock returns of the plastics industry, and the CPI shows great influence when the stock returns of the plastics industry is low and high.
41
HSU, YU-CHIA, and 許彧嘉. "Research of Real-Time USD/NTD Exchange Rate by High-Dimensional Multi-layer Gated Recurrent Unit Neural Network Prediction Model." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/yh82zk.
Full textAbstract:
碩士<br>輔仁大學<br>統計資訊學系應用統計碩士班<br>106<br>The research uses Deep Neural Networks model, Long Short-Term Memory model, GRU model and large number of intraday international stock market financial data which related to USD/NTD exchange rate to establish a high-dimensional USD/NTD exchange rate forecast mode. And compare the accuracy of the model.
The results show that the GRU model is better than the LSTM model in predicting accuracy. The RMSE of the GRU model can reach 0.0787. And shows that the model with memory space can learn the characteristics of the high-dimensional data of high-dimensional exchange rate intraday data.
42
Wang, Yi-Ming, and 王一銘. "The Relationship Between Gold、Crude Oil、Exchange Rate On USD/TWD And Taiwan Stock Index-Before And After The Financial Tsunami." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/9sh3fz.
Full textAbstract:
碩士<br>銘傳大學<br>財務金融學系碩士在職專班<br>103<br>This study deploys time series models for the pre-and post-financial tsunami crisis samples, to explore the causal relationship between the rate of return and the dynamic effects of the process for the gold spot rate of return, the Taiwan weighted stock index return rate, crude oil spot rate of return and the NT to US dollar exchange rate.
The study find that the results of a single test ADF, raw sequence data for each variable were first-order differential treatment, all could reject the null hypothesis with a single root. The results show the impulse response analysis, and whether or not impacted by the financial tsunami, for the gold spot rate of return, return on Taiwan stock index, crude oil spot rate of return or the NT-US dollar rate of return, by the reaction for their maximum impact, short-term and forward reaction. Gold spot rate of return, return on Taiwan stock index, crude oil spot rate of return and the return rate of the NT-US dollar impact response rendered little change before or after the financial tsunami. From the forecast error variance decomposition results it can be seen that, before the financial tsunami, the Taiwan stock index rate of return was self explanatory at a ratio of about 99.18%; the New Taiwan-US Dollar exchange rate was self explanatory at a ratio of approximately 87.95%. After the financial tsunami TAIEX index rate of return was self-explanatory at a ratio of about 96.96%, indicating that the TAIEX stock index spontaneous/independent rates of return are very high, and are not easily affected by other variables. The New Taiwan Dollar exchange rate was self-explanatory at a ratio of approximately 77.28%, and was affected by the TAIEX stock index rate of return some 16.65%. The results show that regardless of whether the financial tsunami occurred, the TAIEX stock index had a very highly spontaneous/independent rate of return, which was not easily affected by other variables.
43
Αμοργιανιώτης, Θωμάς. "Χρήση γενετικού αλγόριθμου για βελτιστοποίηση δομής, παραμέτρων τεχνητών νευρωνικών δικτύων και εφαρμογή της υβριδικής μεθόδου σε προβλήματα από τον χώρο της οικονομίας". Thesis, 2011. http://hdl.handle.net/10889/4952.
Full textAbstract:
Τα πολυεπίπεδα νευρωνικά δίκτυα έχουν εφαρμοστεί στο παρελθόν με μεγάλη επιτυχία στην πρόβλεψη χρονοσειρών από το χώρο της οικονομίας. Στην πράξη όμως παρουσιάζουν διάφορα προβλήματα όπως:
Εύρεση του βέλτιστου υποσυνόλου χαρακτηριστικών και χρησιμοποίησή τους σαν εισόδου.
Εύρεση της βέλτιστης δομής (επίπεδα κρυφών νευρώνων, αριθμός κρυφών νευρώνων).
Εύρεση των βέλτιστων τιμών των παραμέτρων του αλγορίθμου εκπαίδευσης των τεχνητών νευρωνικών δικτύων (παράμετρος μάθησης, παράμετρος ορμής κλπ.)
Σκοπός της διπλωματικής αυτής εργασίας είναι η δημιουργίας μιας υβριδικής μεθόδου γενετικών αλγορίθμων και νευρωνικών δικτύων. Ο γενετικός αλγόριθμος θα είναι υπεύθυνος στην εύρεση του βέλτιστου συνδυασμού των παραπάνω προς αναζήτηση παραμέτρων του νευρωνικού δικτύου.
Η υβριδική αυτή μέθοδος θα εφαρμοστεί στο πρόβλημα της πρόβλεψης του δείκτη ASE-20 του ελληνικού χρηματιστηρίου καθώς και στο πρόβλημα της πρόβλεψης της ισοτιμίας δολαρίου-Ευρώ.<br>In the present thesis we attempted to create a combination of genetic algorithms and neural networks. The proposed methodology was applied to the problem of predicting the exchange rate between EUR/USD and the Greek stock market ASE 20 index.
The idea of combining these two techniques for the solving of the above mentioned problems emerged by their innate ability of finding solutions where traditional methods fail. On one hand, neural networks imitate the human brain procedures and on the other, genetic algorithms imitate the physical evolution process. In fact, both techniques copy some of nature’s functions. Artificial neural networks, through educating and generalizing manage to learn a problem and provide solutions to it. Genetic algorithms, through the evolution circle can overcome local minima or maxima and reach global ones.
Due to their compact, parallel and distributed format and their ability of learning, neural networks make the solving of complicated problems possible, by dividing them in smaller projects, which are taken over by the neural networks according to their capabilities.
Due to the advantages of neural networks and genetic algorithms we created a combination of them to predict the exchange rate between EUR/USD and the Greek stock market ASE 20 index.
44
Hsu, Meng-Tzu, and 徐孟資. "A Comparative Analysis of Foreign Exchange Rate on Value at Risk under Sub-Prime-Example of USD against GBP, EUR, JPY and NTD." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/59466011642841989561.
Full textAbstract:
碩士<br>朝陽科技大學<br>財務金融系碩士班<br>97<br>The foreign exchange market is the most mobile and also the largest in the financial markets. At the current information boom, messages can be quickly passed on. Therefore, the foreign exchange rate changes rapidly day by day. The investors not only consider the return level of investments but also its risk management. Especially during the current financial crisis, created massive fluctuations in the global financial market. With the fluctuations, the current exchange rate would have a even more volatile fluctuation. Consequently, it is necessary to analyze the Value at Risk (VaR) of the foreign currency rate before and after the Sub-Prime crises.
This study focuses on the VaR of the foreign exchange market before and after the Sub-Prime crises, using different VaR models (such as historical simulation approach, Monte Carlo simulation approach, variance-covariance simulation approach, ARMA-GARCH simulation approach) to calculate USD against GBP, EUR, JPY and NTD on moving window of 30 days, 60 days, 125 days and 250 days with 99% or 95% confidence level of VaR.
The results are as follows:
1.With the currency set at ARMA-GARCH 95% confidence level, the penetration rate is closer than the set significant level and presented the same performance during each moving window.
2.In the LRcc test and Z test accuracy tests, in which each currency set at a 95% confidence level, the estimated variety value result shows a better outcome in both variance-covariance approach and ARMA-GARCH approach.
3.We can learn from the RMSE test, in all models, the RMSE value is best determined by the Monte Carlo approach, which estimation presents the smallest efficiency, on the other hand, the estimate for RMSE of 99% significant level is of smaller value, and also has more efficiency, amongst different currencies, NTD shows a better result of RMSE estimate.
4.As a result of the Sub-Prime crisis, the fluctuation in the financial market has become more volatile, all currencies have more VaR to consider than before the crisis, amongst them, GBP has the biggest VaR fluctuation rate and range.
45
Chen, T. F., and 陳彩豐. "Study on the Prediction Mode of Short Term Exchange Rate between NTD and USD-Comparison of Grey Theory, Regression Analysis and Exponential Smoothing Method." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/55588484245762535217.
Full textAbstract:
碩士<br>國立臺北大學<br>企業管理學系<br>94<br>Both import and export trading amounts of Taiwan broke the US$100 billion mark in 1995 , where the figure in 2005 is US$370 billion. The annual average exchange rate of NTD to USD devalued from NT$26.809 of 1991 to NT$34.575 of 2002, the appreciated to NT$32.167 of 2003. The exchange rate moved down 28.97% firstly then moved up 7%. The fluctuation is in great level. With the enormous amounts of import and export trades, the change in exchange rate impacts heavily on the profit of import and export firms. The up-value of NTD has direct impact on the export industry. This is particularly true for electronic industries that are mostly at OEM basis and featured with marginal gross profit. Hence minimizing the risk due to exchange rate fluctuation and reducing the transaction cost have become a major lesson of financial executive of a firm. In addition to judging the long term exchange rate trend, financial executives need a good financial prediction tool to predict and judge the short term change of exchange rate, so that the foreign exchange may be sold or bought to maintain proper position at correct timing for selling at high and buying at low to fix or to minimize risk. Reducing cost or the uncertainty of profit is the major point discussed in this article.
Traditionally, the tools for prediction include Expert Advice, Regression Analysis and time serial mode. In this article, we mainly discuss Grey Prediction, GM (1,1) Model and Regression Analysis and tested with Rolling Model to screen high accuracy model. The result will then be compared with Exponential Smoothing method to select the best model. This best model statistic is applied to “Predict next high of lower than actual high” or “Predict next low of higher than actual low” point as the chance of successful trading. The performance measuring indicators used for measuring the accuracy of model are with MSE and MAPE, and the model with lest error is selected to predict the trend of exchange rate for the next period, for the financial executive of a business to determine the timing for buying or selling of USD position. In the actual maneuvering, 1200 day exchange rates between Jan 2, 2001 and Dec. 30, 2005 are adopted as the primary statistic data. They are then calculated in 5 day-week to find the week high and week low, and used as secondary data.
1. Finding of the Study
1) Accuracy of short term exchange rate: Traditional prediction method (Exponential Smoothing Method) is no less accurate than Grey GM (1.1) prediction model.
2) In Daily exchange rate prediction: Regression analysis has higher accuracy than Grey GM (1,1) prediction model, but in the week-high/ low exchange rate prediction (with wider fluctuation) it is poorer than Grey GM (1,1) prediction model.
3) The Smoothing Coefficient of Exponential Smoothing Method is not always between 0 and 1 and it is found to be between 0 and 2, after fine-tuning analysis, which enables to locate the best prediction value.
4) With Predicting next high lower than actual high or predicting next low higher than actual low as the chance of successful trading: the entire three model has each 50/50 probability of successful trading.
2. The results of the Study are concluded as the following:
1) In the Daily Exchange Rate Prediction: Grey prediction is better in 9-point rolling in 6 Rolling Models, while Regression Analysis is better in 4-point rolling. The two models above in MAPE and MSE have Regression Analysis better, with 0.178 & 0.839% respectively. When comparing 4-point Rolling Regression Analysis with Exponential Smoothing, when the smoothing coefficient is 1.08, the daily exchange rate prediction is better with Exponential Smoothing Method at MAPE and MSE, 0.134 & 0.540% respectively.
2) In the prediction of Week-High exchange rate: Grey prediction in 5 rolling model, 4 points rolling is better, same apply to regression analysis, better in 4 points rolling. When the above 2 models in MAPE and MSE Grey GM (1,1) prediction model is better each of 0.394 & 3.999% respectively. When comparing 4 point rolling (1,1) model with Exponential Smoothing Method, when the Smoothing Coefficient at 1.21, the MAPE and MSE values of Week-High exchange rate prediction values are better in Exponential Smoothing Method 0.314 & 2.703% respectively.
3) In Week-Low exchange rate prediction: In 5 Rolling Models, Grey Prediction is better with 4 point rolling; regression analysis is also better with 4-point rolling. The above two models in MAPE and MSE, Grey Prediction GM(1,1) model is better, at 0.383 and 3.025% respectively. Comparing 4 –point rolling GM (1,1) model with exponential smoothing method, when the smoothing coefficient is at 1.33, the Week-Low exchange rate prediction MAPE and MSE value are better with Exponential Smoothing Method, each at the value of 0.307及2.115% respectively.
4) When Predicting next high lower than actual high or Predicting next low higher than actual low as the chance of successful trading: GM(1,1) 4-point rolling model has probability of successful transaction at 48.4% and 50%; the Regression Analysis 4-point rolling model have probabilities of successful transaction of 47.2 and 51.6%. In the Exponential Smoothing method, in Week-High prediction at smooth coefficient of 1.21 and in Week-Low prediction at smooth coefficient of 1.33, the probabilities of successful transaction are 45.1 and 52.8%. This could be provided for the reference of financial operators in business.
46
UHLÍŘOVÁ, Žaneta. "Matematické modelování kurzu koruny." Master's thesis, 2015. http://www.nusl.cz/ntk/nusl-188107.
Full textAbstract:
This thesis is focused on mathematical modelling of exchange rate CZK/USD in 1991 - 2014. Time series was divided into 5 parts. First Box-Jenkins methodology models were examined, especially ARIMA model. Unfortunately, the model could not be used because none of the time series showed correlation. The time series is considered as a white noise. The data appear to be completely random and unpredictable. The time series have not constant variance neither normal distribution and therefore GARCH volatility model was used as the second model. It is better not to divide time series when using model of volatility. Volatility model contributes to more accurate prediction than the standard deviation. Results were calculated in RStudio software and MS Excel.