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題名 美國貨幣政策正常化期間投資人行為影響因素探討：以美國國內投資人為例
The effect on investor behavior under US monetary policy normalization: evidence from US investors
作者 黃宜萱
Huang, I-Hsuan
貢獻者 林建秀
Lin, Chien-Hsiu
黃宜萱
Huang, I-Hsuan
關鍵詞 美國貨幣政策正常化
投資部位
面板向量自我回歸模型
衝擊反應函數
U.S. monetary policy normalization
Investment holding
Panel vector autoregression model
Impulse response function
日期 2019
上傳時間 5-Sep-2019 15:47:33 (UTC+8)
摘要 為因應2007和2008年間所爆發的全球金融海嘯，美國聯準會大幅降息至零利率區間，並在2008年底開始採取非傳統貨幣政策的量化寬鬆措施以持續為緊縮的市場提供寬鬆動能。聯準會的量化寬鬆措施施行以來，對市場明顯起到提供流動性及經濟活絡之效；然在全球逐漸走出金融海嘯陰霾時，聯準會也開始降低對市場的干預，逐漸緊縮其在傳統及非傳統貨幣政策上的寬鬆措施。而本研究主要從以美國為主體的投資行為出發，利用Panel VAR模型探討美國聯準會的緊縮性貨幣政策將對其國內的投資行為造成何種程度的影響，並納入美國工業生產指數、全球商品價格指數以及VIX指數捕捉投資市場上額外可能的衝擊因子；另外，本研究亦針對新興國家標的做進一步分析，探討美國投資人對具有不同特性的新興國家之投資行為是否會有程度不一的影響；最後，本研究也分析了外國投資人整體的投資部位變化，探討不同的衝擊之下外國對美國的投資行為將產生何種程度的影響。
本研究實證結果發現，當美國聯準會升息時，美國投資人確實會傾向減少對其他國家資產的持有部位；然而，隨著近年來美國實質經濟面轉強，美國投資人在財富效果升溫之下反而激勵其風險承受度而使他們願意追逐市場上其他國家的風險投資標的。因此整體而言，即便在美國升息的情況下，美國實質產出增加對美國投資人在國際資產的持有部位所帶來的正向影響似乎抵銷掉美國升息對美國投資人在國際資產的持有部位所帶來的負向影響，使得美國投資人在美國升息的這段期間並沒有減少對外國的投資，反而還增加對新興國家的資產持有部位，並主要投資在經濟前景佳、國家風險低的國家──以對亞洲新興國家資產持有部位增加最多，拉丁美洲新興國家僅在債權部分的持有量有所上升。另一方面，美國聯準會升息的舉措則對外國投資人對美國的投資行為造成較其他市場影響因子來得顯著的衝擊，是美國量化寬鬆退場以後，推升外國整體對美國投資部位最主要的原因。
本研究致力於探討美國聯準會採取貨幣政策正常化措施這段時間，市場上投資人的投資行為因此受到何種程度的影響，並藉由市場其他影響因子的捕捉探究投資行為變化背後驅動的原因。然由於聯準會的縮表政策集中在最近幾年，受限於部分資料的可取得性，故本研究的結果係以探討聯準會緊縮性貨幣政策中的升息措施為主。
In order to cope with the financial crisis of 2007-2008, the Federal Reserve had cut the federal funds rate, which led to zero-bound interest rate in the U.S. market. Moreover, the Fed introduced quantitative easing policy at the end of 2008 to further stimulate the market stranded in liquidity trap. Under the Fed’s unconventional easy monetary policy, the U.S. economy had been gradually stepping out of the gloomy condition and began to thrive, and therefore the Fed called a halt to the quantitative easing policy at the end of 2013 and started to lessen its intervention in the market lateron. This study aims at discussing the effect on investor behavior under U.S. monetary policy normalization by applying panel vector autoregression model, in which U.S. monetary policy shock as well as other different financial shocks are included. In addition, this study takes further step to identify whether different country characteristics would play an influential role as investors switch their portfolio holdings when facing financial shocks.
The empirical result shows that from a narrow viewpoint, the impulse response of U.S. investors’ holdings of the assets from other countries reacts negatively to the shock of Fed funds rate rise. On the contrary, however, the shock of the growing U.S. economic output makes U.S. investors more willing to engage in risky invesments so that they tend to increase holdings of the assets from other countries especially from the emerging markets. In general, the empirical result demonstrates that during the taper period after the U.S. monetary policy normalization took effect, the positive response of U.S. investors to the growing U.S. economy outweighs their negative response to Fed funds rate rise, which leads to increase in U.S. investors’ holdings of the assets from other countries. Furthermore, the increase in holdings lies largely in the holdings of assets from emerging countries that are of positive economic outlook and low country risk—there is significant increase in both equity and bond holdings of Asian emerging countries, while the increase in the holdings of assets from Latin American emerging countries is only notable in bonds. On the other hand, it is found that the shock of Fed funds rate rise plays an important role in boosting the holdings of U.S. assets from other countries’ investors.
參考文獻 Adler, G., Djigbenou, M. L., & Sosa S. (2015). Global financial shocks and foreign asset repatriation: Do local investors play a stabilizing role? Journal of International Money and Finance, 60, 8–28.
Antonakakis, N., Chatziantoniou, I., & Filis, G. (2013). Dynamic co-movements of stock market returns, implied volatility and policy uncertainty. Economics Letters, 120, 87-92.
Arellano, M., & Bover, O. (1990). Another look at the instrumental variable estimation of error-components models. Journal of Econometrics, 68, 29-51.
Armelius, H., Bertsch, C., Hull, I., & Zhang, X. (2018). Spread the Word: International Spillovers from Central Bank Communication. Sveriges Riksbank (Central Bank of Sweden) Working Paper Series, 357.
Balli, F., Hajhoj, H. R., Basher, S. A., & Ghassan, H. B. (2015). An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries. International Review of Economics & Finance, 39, 311-325.
Bekaert, G., Hoerova, M., & Duca, M. L. (2013). Risk, uncertainty and monetary policy. Journal of Monetary Economics, 60(7), 771-788.
Bertaut, C., & Judson, R. (2014). Estimating U.S. Cross-Border Securities Positions: New Data and New Methods. International Finance Discussion Papers (No. 1113.)
Bowman, D., Londono, J. M., & Sapriza, H. (2015). US unconventional monetary policy and transmission to emerging market economies. Journal of International Money and Finance, 55, 27-59.
Chari, A., Stedman, K. D., & Lundblad, C. (2017). Taper Tantrums: QE, its Aftermath and Emerging Market Capital Flows. NBER Working Paper (No. 23474).
Eichengreen, B., & Gupta, P. (2015). Tapering talk: The impact of expectationsof reduced Federal Reserve security purchases on emerging markets. EmergingMarkets Review, 25, 1-15.
Estrada, G. B., Park, D., & Ramayandi, A. (2015). Taper Tantrum and Emerging Equity Market Slumps. Journal Emerging Markets Finance and Trade, 52(5), 1060-1071.
Fratzscher, M., Duca, M. L., & Straub, R. (2018). On the international spillovers of US quantitative easing. The Economic Journal, 128(608), 330-377.
Hausman, J., & Wongswan, J. (2011). Global asset prices and FOMC announcements. Journal of International Money and Finance, 30(3), 547-571.
Iacoviello, M., & Navarro, G. (2018). Foreign effects of higher U.S. interest rates. International Finance Discussion Papers, 1227, 1-41.
Kontonikas, A., MacDonald, R., & Saggu, A. (2013). Stock market reaction to fed funds rate surprises: State dependence and the financial crisis. Journal of Banking & Finance, 37(11), 4025-4037.
Laeven, L., & Tong, H. (2012). US monetary shocks and global stock prices. Journal of Financial Intermediation, 21(3), 530-547.
Love, I., & Zicchino, L. (2006). Financial development and dynamic investment behavior: Evidence from panel VAR. The Quarterly Review of Economics and Finance, 46, 190–210.
Miyakoshi, T., Shimada, J., & Li, K. W. (2017). The dynamic effects of quantitative easing on stock price: Evidence from Asian emerging markets, 2001–2016. International Review of Economics & Finance, 49, 548-567.
Quinn, D., Schindler, M., Toyoda, A.M., 2011. Assessing measures of financial openness and integration. IMF Economic Review 59(3), 488-522.
Suryanarayanan, R. (2015). The FED Rate Hike: Implications for U.S. and Global Multi-Asset Class Portfolios. MSCI Inc.
Terhune, C. L. (2016). The Taper Tantrum of 2013: Momentum-Driven or a Return to Fundamentals? Finance Undergraduate Honors Theses, 26.
Tillmann, P. (2013). Capital inflows and asset prices: Evidence from emerging Asia. Journal of Banking & Finance, 37(3), 717-729.
Tillmann, P. (2016). Unconventional monetary policy and the spillovers to emerging markets. Journal of International Money and Finance, 66, 136-156.
林蓉萱(2018)。美國量化寬鬆政策對亞洲各國股市、匯市、外匯準備影響探討及因素分析。國立政治大學金融學系研究所碩士論文。
曾鉯雯(2018)。美國貨幣政策對亞洲股匯市影響分析：以美國量化寬鬆為例。國立政治大學金融學系研究所碩士論文。
廖四郎、林建秀 (2018)。美國歷次QE對亞洲各國股匯市波動性研究。財團法人台北外匯市場發展基金會專題研究計畫。
描述 碩士
國立政治大學
金融學系
106352011
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1063520111
資料類型 thesis
dc.contributor.advisor 林建秀zh_TW
dc.contributor.advisor Lin, Chien-Hsiuen_US
dc.contributor.author (Authors) 黃宜萱zh_TW
dc.contributor.author (Authors) Huang, I-Hsuanen_US
dc.creator (作者) 黃宜萱zh_TW
dc.creator (作者) Huang, I-Hsuanen_US
dc.date (日期) 2019en_US
dc.date.accessioned 5-Sep-2019 15:47:33 (UTC+8)-
dc.date.available 5-Sep-2019 15:47:33 (UTC+8)-
dc.date.issued (上傳時間) 5-Sep-2019 15:47:33 (UTC+8)-
dc.identifier (Other Identifiers) G1063520111en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/125537-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 106352011zh_TW
dc.description.abstract (摘要) 為因應2007和2008年間所爆發的全球金融海嘯，美國聯準會大幅降息至零利率區間，並在2008年底開始採取非傳統貨幣政策的量化寬鬆措施以持續為緊縮的市場提供寬鬆動能。聯準會的量化寬鬆措施施行以來，對市場明顯起到提供流動性及經濟活絡之效；然在全球逐漸走出金融海嘯陰霾時，聯準會也開始降低對市場的干預，逐漸緊縮其在傳統及非傳統貨幣政策上的寬鬆措施。而本研究主要從以美國為主體的投資行為出發，利用Panel VAR模型探討美國聯準會的緊縮性貨幣政策將對其國內的投資行為造成何種程度的影響，並納入美國工業生產指數、全球商品價格指數以及VIX指數捕捉投資市場上額外可能的衝擊因子；另外，本研究亦針對新興國家標的做進一步分析，探討美國投資人對具有不同特性的新興國家之投資行為是否會有程度不一的影響；最後，本研究也分析了外國投資人整體的投資部位變化，探討不同的衝擊之下外國對美國的投資行為將產生何種程度的影響。
本研究實證結果發現，當美國聯準會升息時，美國投資人確實會傾向減少對其他國家資產的持有部位；然而，隨著近年來美國實質經濟面轉強，美國投資人在財富效果升溫之下反而激勵其風險承受度而使他們願意追逐市場上其他國家的風險投資標的。因此整體而言，即便在美國升息的情況下，美國實質產出增加對美國投資人在國際資產的持有部位所帶來的正向影響似乎抵銷掉美國升息對美國投資人在國際資產的持有部位所帶來的負向影響，使得美國投資人在美國升息的這段期間並沒有減少對外國的投資，反而還增加對新興國家的資產持有部位，並主要投資在經濟前景佳、國家風險低的國家──以對亞洲新興國家資產持有部位增加最多，拉丁美洲新興國家僅在債權部分的持有量有所上升。另一方面，美國聯準會升息的舉措則對外國投資人對美國的投資行為造成較其他市場影響因子來得顯著的衝擊，是美國量化寬鬆退場以後，推升外國整體對美國投資部位最主要的原因。
本研究致力於探討美國聯準會採取貨幣政策正常化措施這段時間，市場上投資人的投資行為因此受到何種程度的影響，並藉由市場其他影響因子的捕捉探究投資行為變化背後驅動的原因。然由於聯準會的縮表政策集中在最近幾年，受限於部分資料的可取得性，故本研究的結果係以探討聯準會緊縮性貨幣政策中的升息措施為主。		zh_TW
dc.description.abstract (摘要) In order to cope with the financial crisis of 2007-2008, the Federal Reserve had cut the federal funds rate, which led to zero-bound interest rate in the U.S. market. Moreover, the Fed introduced quantitative easing policy at the end of 2008 to further stimulate the market stranded in liquidity trap. Under the Fed’s unconventional easy monetary policy, the U.S. economy had been gradually stepping out of the gloomy condition and began to thrive, and therefore the Fed called a halt to the quantitative easing policy at the end of 2013 and started to lessen its intervention in the market lateron. This study aims at discussing the effect on investor behavior under U.S. monetary policy normalization by applying panel vector autoregression model, in which U.S. monetary policy shock as well as other different financial shocks are included. In addition, this study takes further step to identify whether different country characteristics would play an influential role as investors switch their portfolio holdings when facing financial shocks.
The empirical result shows that from a narrow viewpoint, the impulse response of U.S. investors’ holdings of the assets from other countries reacts negatively to the shock of Fed funds rate rise. On the contrary, however, the shock of the growing U.S. economic output makes U.S. investors more willing to engage in risky invesments so that they tend to increase holdings of the assets from other countries especially from the emerging markets. In general, the empirical result demonstrates that during the taper period after the U.S. monetary policy normalization took effect, the positive response of U.S. investors to the growing U.S. economy outweighs their negative response to Fed funds rate rise, which leads to increase in U.S. investors’ holdings of the assets from other countries. Furthermore, the increase in holdings lies largely in the holdings of assets from emerging countries that are of positive economic outlook and low country risk—there is significant increase in both equity and bond holdings of Asian emerging countries, while the increase in the holdings of assets from Latin American emerging countries is only notable in bonds. On the other hand, it is found that the shock of Fed funds rate rise plays an important role in boosting the holdings of U.S. assets from other countries’ investors.		en_US
dc.description.tableofcontents 第一章 緒論 1
第一節 研究背景 1
第二節 研究動機與目的 5
第二章 相關文獻 6
第三章 研究方法 9
第一節 樣本與變數說明 9
第二節 資料處理 10
第三節 實證模型 12
第四章 資料敘述統計分析 19
第一節 金融市場觀察變數 19
第二節 金融市場影響因子 26
第五章 實證結果分析 32
第一節 美國貨幣政策衝擊反應分析 32
第二節 其他衝擊反應分析 39
第三節 外國人對美國投資行為衝擊反應分析 45
第六章 結論 49
參考文獻 51
附錄 53		zh_TW
dc.format.extent 3035794 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1063520111en_US
dc.subject (關鍵詞) 美國貨幣政策正常化zh_TW
dc.subject (關鍵詞) 投資部位zh_TW
dc.subject (關鍵詞) 面板向量自我回歸模型zh_TW
dc.subject (關鍵詞) 衝擊反應函數zh_TW
dc.subject (關鍵詞) U.S. monetary policy normalizationen_US
dc.subject (關鍵詞) Investment holdingen_US
dc.subject (關鍵詞) Panel vector autoregression modelen_US
dc.subject (關鍵詞) Impulse response functionen_US
dc.title (題名) 美國貨幣政策正常化期間投資人行為影響因素探討：以美國國內投資人為例zh_TW
dc.title (題名) The effect on investor behavior under US monetary policy normalization: evidence from US investorsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Adler, G., Djigbenou, M. L., & Sosa S. (2015). Global financial shocks and foreign asset repatriation: Do local investors play a stabilizing role? Journal of International Money and Finance, 60, 8–28.
Antonakakis, N., Chatziantoniou, I., & Filis, G. (2013). Dynamic co-movements of stock market returns, implied volatility and policy uncertainty. Economics Letters, 120, 87-92.
Arellano, M., & Bover, O. (1990). Another look at the instrumental variable estimation of error-components models. Journal of Econometrics, 68, 29-51.
Armelius, H., Bertsch, C., Hull, I., & Zhang, X. (2018). Spread the Word: International Spillovers from Central Bank Communication. Sveriges Riksbank (Central Bank of Sweden) Working Paper Series, 357.
Balli, F., Hajhoj, H. R., Basher, S. A., & Ghassan, H. B. (2015). An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries. International Review of Economics & Finance, 39, 311-325.
Bekaert, G., Hoerova, M., & Duca, M. L. (2013). Risk, uncertainty and monetary policy. Journal of Monetary Economics, 60(7), 771-788.
Bertaut, C., & Judson, R. (2014). Estimating U.S. Cross-Border Securities Positions: New Data and New Methods. International Finance Discussion Papers (No. 1113.)
Bowman, D., Londono, J. M., & Sapriza, H. (2015). US unconventional monetary policy and transmission to emerging market economies. Journal of International Money and Finance, 55, 27-59.
Chari, A., Stedman, K. D., & Lundblad, C. (2017). Taper Tantrums: QE, its Aftermath and Emerging Market Capital Flows. NBER Working Paper (No. 23474).
Eichengreen, B., & Gupta, P. (2015). Tapering talk: The impact of expectationsof reduced Federal Reserve security purchases on emerging markets. EmergingMarkets Review, 25, 1-15.
Estrada, G. B., Park, D., & Ramayandi, A. (2015). Taper Tantrum and Emerging Equity Market Slumps. Journal Emerging Markets Finance and Trade, 52(5), 1060-1071.
Fratzscher, M., Duca, M. L., & Straub, R. (2018). On the international spillovers of US quantitative easing. The Economic Journal, 128(608), 330-377.
Hausman, J., & Wongswan, J. (2011). Global asset prices and FOMC announcements. Journal of International Money and Finance, 30(3), 547-571.
Iacoviello, M., & Navarro, G. (2018). Foreign effects of higher U.S. interest rates. International Finance Discussion Papers, 1227, 1-41.
Kontonikas, A., MacDonald, R., & Saggu, A. (2013). Stock market reaction to fed funds rate surprises: State dependence and the financial crisis. Journal of Banking & Finance, 37(11), 4025-4037.
Laeven, L., & Tong, H. (2012). US monetary shocks and global stock prices. Journal of Financial Intermediation, 21(3), 530-547.
Love, I., & Zicchino, L. (2006). Financial development and dynamic investment behavior: Evidence from panel VAR. The Quarterly Review of Economics and Finance, 46, 190–210.
Miyakoshi, T., Shimada, J., & Li, K. W. (2017). The dynamic effects of quantitative easing on stock price: Evidence from Asian emerging markets, 2001–2016. International Review of Economics & Finance, 49, 548-567.
Quinn, D., Schindler, M., Toyoda, A.M., 2011. Assessing measures of financial openness and integration. IMF Economic Review 59(3), 488-522.
Suryanarayanan, R. (2015). The FED Rate Hike: Implications for U.S. and Global Multi-Asset Class Portfolios. MSCI Inc.
Terhune, C. L. (2016). The Taper Tantrum of 2013: Momentum-Driven or a Return to Fundamentals? Finance Undergraduate Honors Theses, 26.
Tillmann, P. (2013). Capital inflows and asset prices: Evidence from emerging Asia. Journal of Banking & Finance, 37(3), 717-729.
Tillmann, P. (2016). Unconventional monetary policy and the spillovers to emerging markets. Journal of International Money and Finance, 66, 136-156.
林蓉萱(2018)。美國量化寬鬆政策對亞洲各國股市、匯市、外匯準備影響探討及因素分析。國立政治大學金融學系研究所碩士論文。
曾鉯雯(2018)。美國貨幣政策對亞洲股匯市影響分析：以美國量化寬鬆為例。國立政治大學金融學系研究所碩士論文。
廖四郎、林建秀 (2018)。美國歷次QE對亞洲各國股匯市波動性研究。財團法人台北外匯市場發展基金會專題研究計畫。		zh_TW
dc.identifier.doi (DOI) 10.6814/NCCU201900802en_US