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系統識別號 U0026-2107202021552000
論文名稱(中文) Determination of Forward Exchange Rate Premiums for Southeast Asian Countries
論文名稱(英文) Determination of Forward Exchange Rate Premiums for Southeast Asian Countries
校院名稱 成功大學
系所名稱(中) 國際經營管理研究所
系所名稱(英) Institute of International Management
學年度 108
學期 2
出版年 109
研究生(中文) 柯彭佩
研究生(英文) Pornpetch Kholert
學號 RA6077523
學位類別 碩士
語文別 英文
論文頁數 50頁
口試委員 指導教授-王澤世
口試委員-謝惠璟
口試委員-張佑宇
中文關鍵字 none 
英文關鍵字 Exchange rate  Spot rate  Interest rate differential  TIC  US treasury  Forward market intervention  Forward rate premiums 
學科別分類
中文摘要 none
英文摘要 In the macroeconomic, the forward premium is still the puzzle. We cannot avoid the importance of how spot exchange rate variety daily change. For the international world trade, we cannot deny how the exchange rate approximately affects their business. In the previous study, the second strategy is to hedge the risk. The agent forecasts the future interest rate and hedging decision (Moosa, 2004). However, their forecast is accurate to predict the future exchange rate relative to the exchange rate (Bergin, 2006). Similar results have been generated by the stale preventive decisions to prevent this risk. The purpose of this study is to estimate the effects of fluctuation in the exchange rate at lengths the forward premium in Southeast Asia.
According to this study, we collected the data starting from 2011 to 2019, which is the best moment of the research in term of before the COVID-19 epidemic, in five South East Asia countries under separately 92 observations for each country, total 460. Indeed, we can perceive the result that spot rate fluctuation, Interest rate differential and forward market intervention have been found the significant impact on the forward premium in Thailand. For Singapore, the spot rate fluctuation has significant impact on forward premium.
論文目次 TABLE OF CONTENTS
ABSTRACT I
ACKNOWLEDGMENTS II
TABLE OF CONTENTS III
LIST OF TABLES VI
LIST OF FIGURES VII
CHAPTER ONE INTRODUCTION 1
1.1 Research Background. 1
1.2 Research Motivation. 3
1.3 Research Gap. 3
1.4 Research Objective. 4
1.5 Research Structure. 5
CHAPTER TWO LITERATURE REVIEW 6
2.1 Theoretical Background/Model. 6
2.1.1 Basic of Risk Premium. 7
2.1.2 Exchange Rate Fluctuation. 7
2.1.3 Forward Premium. 7
2.1.4 Interest Rate Differential. 8
2.1.5 Treasury International Capital. 8
2.1.6 U.S. Treasury. 8
2.1.7 Interest Rate Parity Theory. 9
2.1.8 Purchasing Power Parity Theory. 10
2.1.9 U.S. International Fisher Effect Theory. 10
2.1.10 Liquidity (preference) Theory. 10
2.1.11 Modern Asset Pricing Theory. 11
2.1.12 Law of One Price Theory. 12
2.2 Hypothesis Development. 13
2.3 Summary of Hypothesis. 15
CHAPTER THREE DATA AND RESEARCH METHODOLOGY 16
3.1 Data Collection. 16
3.1.1 Forward Premium Data. 17
3.1.2 Interest Rate Data. 18
3.1.3 Exchange Rate Data. 18
3.1.4 Forward Exchange Rate Data. 18
3.1.5 U.S. Treasury Bond Data. 19
3.1.6 Total Net Treasury International Capital or TIC. 19
3.1.7 Exchange Rate Volatility of Each Country. 19
3.2 Data Analysis. 20
3.2.1 Dependent Variable. 20
3.2.2 Independent Variable. 21
3.2.3 Control Variable. 22
3.3 Analytical Model. 23
3.4 Result Expectation. 25
CHAPTER FOUR RESEARCH RESULT 26
4.1 Descriptive Statistics. 26
4.2 Correlation Analysis. 31
4.3 Time Series Data Regression Analysis. 31
4.4 Hypothesis Tests. 34
CHAPTER FIVE CONCLUSION AND SUGGESTIONS 38
5.1 Research Conclusion. 38
5.2 Research Contributions. 42
5.3 Research Limitation and Future Research Suggestions. 44
REFERENCES 45
APPENDICES 50
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