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題名 市場對政治的反應: 美國總統大選對墨西哥幣的影響
Market responses to politics: The impact of U.S. presidential elections on the Mexican Peso
作者 吳艾庭
Wu, Ai Ting
貢獻者 張元晨
吳艾庭
Wu, Ai Ting
關鍵詞 墨西哥幣
川普
希拉蕊
美國總統大選
Mexican Peso
Donald Trump
Hillary Cliton
U.S. presidential election
日期 2016
上傳時間 10-Aug-2017 09:44:24 (UTC+8)
摘要 許多文獻已經研究過政治事件和外匯市場之間的關聯性。然而，較少研究聚焦在一個國家的政治事件是如何影響另外一個國家的匯率。因此，本文章主要在探討2016美國總統大選如何影響墨西哥幣兌美元的走勢。我們使用EGARCH 模型來衡量美國總統候選人的民調對匯率的平均或波動所造成的影響。實證結果發現美國總統大選會對墨西哥幣兌美元產生較大的波動，希拉蕊的民調增加也會造成墨西哥幣的升值。因此，本文檢驗政治活動會對外匯市場產生影響的假說，也進一步提出實證結果支持一國的匯率會受到他國政治因素牽動的看法。
Many articles have shown the relationship between political events and currency markets. Nevertheless, few studies provide empirical evidence on how one country’s political elections have impact on movements of exchange rate in other country. In this paper, we attempt to provide some empirical results by analyzing the impact of the 2016 United States presidential election on Mexico’s currency market. We use EGARCH models to estimate the influence of recent U.S. presidential candidates have on the mean and the variance of the Mexican foreign exchange market. We find statistically significant evidence that U.S. presidential election is associated with higher volatility of Mexico’s currency market, and the increase in the chance for a Clinton to win has positive impact on mean return of the peso-dollar exchange rate. These findings offer important insights into the expected impact of the United States presidential elections on the Mexican peso and more generally, the relationship between political events and foreign exchange market.
參考文獻 Bachman, D. (1992). The effect of political risk on the forward exchange bias: The case of elections. Journal of International Money and Finance 11, 208-219.\nBernhard, W., and Leblang, D. (2006a). Polls and pounds: Public opinion and exchange rate behavior in Britain. Quarterly Journal of Political Science 1, 25-47.\nBernhard, W., and Leblang, D. (2006b). Parliamentary politics and foreign exchange markets: The world according to GARCH. International Studies Quarterly 50, 69-92.\nBlomberg, S.B., and Hess, G.D. (1997). Politics and exchange rate forecasts. Journal of International Economics 43, 189-205.\nFreeman, J.R., Hays, J.C., and Stix, H. (2000). Democracy and Markets: The case of exchange rates. American Journal of Political Science 44 (3), 449-468.\nFornari, F., Monticelli, C., Pericoli, M., and Tivegna, M. (2002). The impact of news on the exchange rate of the lira and long-term interest rates. Economic Modelling 19 (4), 611-639.\nGlosten, L.R., Jagannathen, R., and Runkle, D.E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance 48 (5), 1779-1801.\nHanna, R., Rohm, A., and Crittenden, V.L. (2001). We’re all connected: The power of the social media ecosystem. Business Horizons 54(3), 265-273.\nHerron, C.M.., Lavin, J., Cram, D., and Silver, J. (1999). Measurement of political effects in the United States economy: A study of the 1992 presidential election. Economics and Politics 11(1), 51-81. \nJensen, N.M., and Schmith, S. (2005). Market responses to politics: The rise of Lula and the decline of the Brazilian stock market. Comparative Political Studies 38(10), 1245-1270.\nKim, S.J. (1998). Do Australian and the US macroeconomic news announcements affect the USD/AUD exchange rate? Some evidence from E-GARCH estimations. Journal of Multinational Financial Management 8, 233-248.\nLobo, B.J., and Tufte, D. (1998). Exchange rate volatility: Does politics matter? Journal of Macroeconomics 20(2), 351-365. \nRoberts, B.E. (1990). Political institutions, policy expectations and the 1980 election: A financial market perspective. American Journal of Political Science 43, 289-310.\nSabherwal, S., Sarkar, S.K., and Uddin, M.R. (2016). Political party affiliation of the president, majority in congress, and sin stock returns. Financial Management, forthcoming.
描述 碩士
國立政治大學
財務管理研究所
104357004
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104357004
資料類型 thesis
dc.contributor.advisor 張元晨zh_TW
dc.contributor.author (Authors) 吳艾庭zh_TW
dc.contributor.author (Authors) Wu, Ai Tingen_US
dc.creator (作者) 吳艾庭zh_TW
dc.creator (作者) Wu, Ai Tingen_US
dc.date (日期) 2016en_US
dc.date.accessioned 10-Aug-2017 09:44:24 (UTC+8)-
dc.date.available 10-Aug-2017 09:44:24 (UTC+8)-
dc.date.issued (上傳時間) 10-Aug-2017 09:44:24 (UTC+8)-
dc.identifier (Other Identifiers) G0104357004en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=128591-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 104357004zh_TW
dc.description.abstract (摘要) 許多文獻已經研究過政治事件和外匯市場之間的關聯性。然而，較少研究聚焦在一個國家的政治事件是如何影響另外一個國家的匯率。因此，本文章主要在探討2016美國總統大選如何影響墨西哥幣兌美元的走勢。我們使用EGARCH 模型來衡量美國總統候選人的民調對匯率的平均或波動所造成的影響。實證結果發現美國總統大選會對墨西哥幣兌美元產生較大的波動，希拉蕊的民調增加也會造成墨西哥幣的升值。因此，本文檢驗政治活動會對外匯市場產生影響的假說，也進一步提出實證結果支持一國的匯率會受到他國政治因素牽動的看法。zh_TW
dc.description.abstract (摘要) Many articles have shown the relationship between political events and currency markets. Nevertheless, few studies provide empirical evidence on how one country’s political elections have impact on movements of exchange rate in other country. In this paper, we attempt to provide some empirical results by analyzing the impact of the 2016 United States presidential election on Mexico’s currency market. We use EGARCH models to estimate the influence of recent U.S. presidential candidates have on the mean and the variance of the Mexican foreign exchange market. We find statistically significant evidence that U.S. presidential election is associated with higher volatility of Mexico’s currency market, and the increase in the chance for a Clinton to win has positive impact on mean return of the peso-dollar exchange rate. These findings offer important insights into the expected impact of the United States presidential elections on the Mexican peso and more generally, the relationship between political events and foreign exchange market.en_US
dc.description.tableofcontents 1.Introduction 1\n1.1 Motivation 1\n1.2 Purpose and Contribution 3\n1.3 Structure of the Thesis 4\n2.Background of 2016 United States presidential election 5\n3.Literature Review 7\n3.1 Stock Market Responses to Politics 7\n3.2 Foreign Exchange Market Responses to Politics 9\n3.3 Hypothesis 9\n4.Data and Methodology 11\n4.1 Sample Selection 11\n4.2 Methodology 12\n5.Empirical Results 15\n6.Discussion 18\n6.1 The Growing Impact on Social Media 18\n6.2 How Global Financial Markets Response to Trump’s Victory 19\n6.3 Future Work 20\n7.Conclusion 21\nTable 1 23\nTable 2 25\nTable 3 26\nTable 4 27\nReferences 28\nAppendix A 30\nAppendix B 31\nAppendix C 32\nAppendix D 32\nAppendix E 33\nAppendix F 34zh_TW
dc.format.extent 1145881 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104357004en_US
dc.subject (關鍵詞) 墨西哥幣zh_TW
dc.subject (關鍵詞) 川普zh_TW
dc.subject (關鍵詞) 希拉蕊zh_TW
dc.subject (關鍵詞) 美國總統大選zh_TW
dc.subject (關鍵詞) Mexican Pesoen_US
dc.subject (關鍵詞) Donald Trumpen_US
dc.subject (關鍵詞) Hillary Clitonen_US
dc.subject (關鍵詞) U.S. presidential electionen_US
dc.title (題名) 市場對政治的反應: 美國總統大選對墨西哥幣的影響zh_TW
dc.title (題名) Market responses to politics: The impact of U.S. presidential elections on the Mexican Pesoen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Bachman, D. (1992). The effect of political risk on the forward exchange bias: The case of elections. Journal of International Money and Finance 11, 208-219.\nBernhard, W., and Leblang, D. (2006a). Polls and pounds: Public opinion and exchange rate behavior in Britain. Quarterly Journal of Political Science 1, 25-47.\nBernhard, W., and Leblang, D. (2006b). Parliamentary politics and foreign exchange markets: The world according to GARCH. International Studies Quarterly 50, 69-92.\nBlomberg, S.B., and Hess, G.D. (1997). Politics and exchange rate forecasts. Journal of International Economics 43, 189-205.\nFreeman, J.R., Hays, J.C., and Stix, H. (2000). Democracy and Markets: The case of exchange rates. American Journal of Political Science 44 (3), 449-468.\nFornari, F., Monticelli, C., Pericoli, M., and Tivegna, M. (2002). The impact of news on the exchange rate of the lira and long-term interest rates. Economic Modelling 19 (4), 611-639.\nGlosten, L.R., Jagannathen, R., and Runkle, D.E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance 48 (5), 1779-1801.\nHanna, R., Rohm, A., and Crittenden, V.L. (2001). We’re all connected: The power of the social media ecosystem. Business Horizons 54(3), 265-273.\nHerron, C.M.., Lavin, J., Cram, D., and Silver, J. (1999). Measurement of political effects in the United States economy: A study of the 1992 presidential election. Economics and Politics 11(1), 51-81. \nJensen, N.M., and Schmith, S. (2005). Market responses to politics: The rise of Lula and the decline of the Brazilian stock market. Comparative Political Studies 38(10), 1245-1270.\nKim, S.J. (1998). Do Australian and the US macroeconomic news announcements affect the USD/AUD exchange rate? Some evidence from E-GARCH estimations. Journal of Multinational Financial Management 8, 233-248.\nLobo, B.J., and Tufte, D. (1998). Exchange rate volatility: Does politics matter? Journal of Macroeconomics 20(2), 351-365. \nRoberts, B.E. (1990). Political institutions, policy expectations and the 1980 election: A financial market perspective. American Journal of Political Science 43, 289-310.\nSabherwal, S., Sarkar, S.K., and Uddin, M.R. (2016). Political party affiliation of the president, majority in congress, and sin stock returns. Financial Management, forthcoming.zh_TW