摘要(英) |
This paper uses the Monetary model designed by Wu et al. (2012) to estimate Taiwan’s theoretical exchange rate. The characteristic of the Monetary model is that the Balassa-Samuelson (BS) effect and purchasing power parity are only established in the trading goods market. Estimating the theoretical exchange rate of Taiwan from January 1999 to December 2019, and using virtual variables to analyze whether the relationship between the foreign exchange rate of return and the rate of change in Taiwan’s foreign exchange market transaction volume under the mispricing of the nominal exchange rate is underestimated. The rate of change in transaction volume has a positive relationship with the expected rate of return, and when the actual nominal exchange rate is overestimated, the rate of change in transaction volume has a negative relationship with the expected rate of return. The empirical results found that: when the U.S. dollar is undervalued (the New Taiwan dollar is overvalued), there is a positive relationship between the rate of change in transaction volume and the rate of return, and when the U.S. dollar is overvalued (the New Taiwan dollar is undervalued) There is a negative relationship between them, which is the same as the expected result. |
參考文獻 |
參考文獻
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