Pre-Crisis Crisis and Post-Crisis Volatility of the NTD/USD and NTD/EUR

  • 蘇 瑪莉

Student thesis: Master's Thesis

Abstract

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
Date of Award2014 Aug 6
Original languageEnglish
SupervisorAnn Shawing Yang (Supervisor)

Cite this

Pre-Crisis Crisis and Post-Crisis Volatility of the NTD/USD and NTD/EUR
瑪莉, 蘇. (Author). 2014 Aug 6

Student thesis: Master's Thesis