The analysis of equilibrium real exchange rate on return of foreign deposit : 以新台幣兌澳幣 為例 / 沈佩瑛 撰 .- 彰化縣大
沈佩瑛、陳美玲
E-mail: [email protected]
ABSTRACT
In recent years, Australian Dollars has drawn great interest to domestic foreign deposit investors for its high deposit interest rate and strong currency appreciation. However, the return of foreign currency deposit is greatly affected by exchange rate fluctuation;
therefore this research believes the importance of study on forecasting exchange rate between two countries. This research is based on Equilibrium Real Exchange Rate Model found by Elbadawi(1994), and aims to estimate the Real Effective Exchange Rate of both Taiwan and Australia. Furthermore, to build ARIMA Model to forecast the future index of Real Effective Exchange Rate for both Taiwan and Australia. The forecasting result is then used to study effect of exchange rate fluctuation on return of foreign currency deposits by analyzing the relative appreciation between these two. It also provides the reference of best investment period in AUD Term Deposits. The finding of this research shows that the actual exchange rate generally corresponds to both Taiwan and Australia’s equilibrium real effective exchange rate. Both Taiwan and Australia’s real effective exchange rate have shown convergent ability in Error Correction Model. The result of this research suggests that AUD has been overvalued relative to NTD, and therefore NTD shows trend to appreciate in future. Within the forecasting period, the result of the research shows that nine months AUD term deposit has the highest risk of exchange rate fluctuation, and the three months AUD term deposit has the least risk. The result of the forecast also suggests that within the forecast period, the investment loss caused by exchange rate fluctuation should be greater than the interest return on AUD term deposit.
Keywords : Equilibrium Real Exchange Rate、Equilibrium Real Effective Exchange Rate Index、Autoregressive Integrated Moving Average、ARIMA
Table of Contents
中文摘要 ．．．．．．．．．．．．．．．．．．．．．．．． iii 英文摘要 ．．．．．．．．．．．．．．．．．．．．．．．． iv 誌謝辭 ．．．．．．．．．．．．．．．．．．．．．．．． vi 內容目錄 ．．．．．．．．．．．．．．．．．．．．．．．． vii 表目錄 ．．．．．．．．．．．．．．．．．．．．．．．． viii 圖目錄 ．．．．．．．．．．．．．．．．．．．．．．．． ix 第一章 緒論．．．．．．．．．．．．．．．．．．．．．． 1 第一節 研究背景與動機 ．．．．．．．．．．．．． 1 第二節 研究目的．．．．．．．．．．．．．．．．． 5 第三節 研究架構與研究流程．．．．．．．．．．． 5 第二章 文獻探討．．．．．．．．．．．．．．．．．．． 8 第一節 外幣存款投資之影響因子．．．．．．．．． 8 第二節 均衡實質匯率理論．．．．．．．．．．．． 11 第三章 研究方法．．．．．．．．．．．．．．．．．．．． 21 第一節 資料處理與來源．．．．．．．．．．．．．． 21 第二節 單根檢定．．．．．．．．．．．．．．．．． 23 第三節 共整合檢定．．．．．．．．．．．．．．．． 25 第四節 誤差修正模型．．．．．．．．．．．．．．． 26 第五節 ARIMA模型 ．．．．．．．．．．．．．．． 28 第四章 研究結果．．．．．．．．．．．．．．．．．．．． 30 第一節 單根檢定結果．．．．．．．．．．．．．．． 30 第二節 共整合檢定結果．．．．．．．．．．．．．． 31 第三節 誤差修正模型．．．．．．．．．．．．．．． 35 第四節 ARIMA模型 ．．．．．．．．．．．．．．． 39
第五章 結論與建議．．．．．．．．．．．．．．．．．．． 46 第一節 結論．．．．．．．．．．．．．．．．．．．．．． 46 第二節 研究建議．．．．．．．．．．．．．．．．．．．． 48 參考文獻 ．．．．．．．．．．．．．．．．．．．．．．．． 49 附錄A ．．．．．．．．．．．．．．．．．．．．．．．． 53 附錄B ．．．．．．．．．．．．．．．．．．．．．．．． 54 REFERENCES
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