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    Title: 美元計價與新臺幣計價黃金期貨隱含美元匯率及即期匯率價格發現關係之研究
    Other Titles: A study of price discovery between U.S. dollar implied exchange rate and spot exchange rate
    Authors: 朱鴻銘;Chu, Hung-Ming
    Contributors: 淡江大學財務金融學系碩士班
    邱建良
    Keywords: 即期匯率;隱含匯率;價格發現;Hasbrouck 資訊比例模型;Exchange rate;price discovery;Hasbrouck Information Share model
    Date: 2011
    Issue Date: 2011-12-28 17:42:07 (UTC+8)
    Abstract: 本研究用日內資料探討新台幣兌美元的即期匯率與台幣、美元計價黃金期貨所產生的隱含匯率之間價格發現功能、資訊傳遞過程及波動性外溢效果。
    在研究期間中,向量誤差修正模型顯示即期匯率在價格發現中具有較強的主導地位;資訊比例模型顯示即期匯率對於價格發現之貢獻程度較大。由衝擊反應函數知即期匯率為系統內較具影響力的變數,但預測誤差變異數無法判斷哪一匯率為系統中資訊的主要來源。另外,雙變量 VECM-GARCH(1,1)模型得到兩匯率間存在顯著的雙向波動性外溢效果。以迴歸去分析影響價格發現之因素發現兩匯率相對的資訊比例,與美元計價黃金期貨累積買賣價差具負相關,與即期匯率波動率具正相關。
    上述結果大多顯示即期匯率具較佳價格發現,其原因可能與市場成熟度有關:匯率現貨市場是一個相對成熟的市場,故在價格發現中處於主導地位;黃金期貨發行時間不長,故隱含匯率的價格發現功能尚未充分發揮。預期未來黃金期貨市場成熟後,台幣、美元計價之黃金期貨產生的隱含匯率可以有增加價格發現能力的空間,進而提供市場參與者另一個對新台幣兌美元匯率之避險、投機及套利行為的管道。
    This thesis aims to investigate the price discovery, information transmission and volatility spillovers in the U.S. dollar implied exchange rate from GDF and TGF and spot exchange rate based on adopting the bivariate VECM-GARCH(1,1), VECM, and information share (Hasbrouck, 1995) approach. Besides, variance decomposition and impulse response function is employed to explore short-run information transmission for two exchange rate systems.
    The empirical evidence indicates that implied exchange rate adjust more toward the equilibrium and is more likely the satellite market. Short-term information process shows that spot exchange rate innovation weight more than implied exchange rate innovation in impulse response. A significant bidirectional information flow is found by examining the volatility spillovers for two exchange rate systems on a bivariate VECM-GARCH(1,1) model.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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