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題名 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
The Effects of US Monetary Policy on Asian Stock Prices and Exchange Rates：A Case Study of US Quantitative Easing Policy作者 曾鉯雯
Tseng, Yi-Wen貢獻者 林建秀
Lin, Chien-Hsiu
曾鉯雯
Tseng, Yi-Wen關鍵詞 量化寬鬆
貨幣基數
向量自我回歸模型
Quantitative easing
Monetary base
Vector autoregression日期 2018 上傳時間 3-Jul-2018 17:26:25 (UTC+8) 摘要 美國從2008年底開始執行量化寬鬆政策，直到2014年底才使其退場，為期近6年釋出的資金使美國Fed資產負債表膨脹至約4.5兆，美國大量增加其自身的貨幣基數，對國際市場而言是熱錢流入的契機，大量熱錢流入推升了資產價格，使得亞洲等國家的股匯市受到其相當程度的影響。 因此本研究以向量自我回歸模型去探討美國貨幣基數分別與韓國、台灣等亞洲十國的股匯市間關聯性，並且以F檢定去增加不同國家的模型解釋力。此外本研究也增加利差及股價連動性去探討各國股匯市受美國、日本及歐盟的貨幣基數影響差異原因分析。 本文研究結果說明美國量化寬鬆政策會使亞洲出現股市上漲及匯率升值的情形，而縮減量化寬鬆政策規模後則股市出現下跌與匯率貶值的情形，而股匯市上漲與升值情形會因亞洲國家與美的相對利差及股市連動性而出現影響程度的差異。 QE期間以相對利差小或與美股市連動性高的國家受到較高程度的影響，而縮減量化寬鬆政策規模後則以相對利差較大的國家股市下跌與貨幣貶值幅度較高。但本研究發現並不能僅考慮利差或股價連動性單一因素就說明該國股匯市受美國影響程度的高低。 印度雖本身對美國的利差較大，但因其股市與美股市連動性高，在縮減量化寬鬆政策規模後受到的股市下跌壓力會比其他相對利差大的國家小，而中國雖然與美國相對利差小，但因股價連動性低，所以受到美國貨幣基數影響程度低。因此本研究歸納出在量化寬鬆政策期間美國貨幣基數會對與美國利差小同時股價連動性高的國家股匯市產生較高程度影響。
The United States announced to implement the Quantitative Easing at the end of 2008 to ease the panic after the subprime mortgage crisis and the financial crisis. It was not until 2014 that the Fed decided to remove the Quantitative Easing. During the period, the Fed have swelled its balance sheet from 0.9 trillion to 4.5 trillion. The United States substantially increased its monetary base, and it is an opportunity that hot money inflowed into international markets. A large amount of hot money inflows had increased asset prices, which had affected stock and exchange market in Asia. Therefore, this paper is to investigate the correlation between American monetary base and Asian countries` stock prices and to examine the correlation between American monetary base and Asian countries` exchange rates with the vector autoregression and uses the F-test to test the explanatory power of our VAR model. Furthermore, to explore the reasons of different impact to the Asian countries, this paper takes spread and stock correlation into consideration. Our empirical results show that Asian countries’ stock prices rise, and Asian countries’ exchange rates appreciate during the Quantitative Easing. After the tapering speech, conversely, stock prices decline, and exchange rates depreciate in Asian market. In addition, spreads and stock correlation between Asian countries and America caused the different impacts. During the QE period, countries with smaller spreads or higher stock correlation with the US have more significant impacts. However, stocks decline, or exchange rates depreciate more in countries with larger spreads or lower stock correlation with the US. Nevertheless, this study found that it might be incorrect to explain the different influence only based on the single factor, such as spreads or stock correlation. India with larger spread but higher stock correlation doesn’t suffer the same degree of stocks drop and exchange rate depreciation as other countries, such as Philippines, with larger spreads. Instead, during the QE stocks and exchange rate in China don’t rise and appreciate as much as those with smaller spreads, such as Taiwan and Hong Kong, since China has smaller spreads but lower stock correlation with America. Therefore, this study concludes that during the Quantitative Easing, the U.S. monetary base will have a relatively high degree of influence on the stock and exchange market in countries which have smaller spreads and higher stock correlation.參考文獻 中文文獻 [1] 汪震亞、蔡育儒（2013）美國量化寬鬆貨幣政策之分析 經濟研究年刊第13期，369–400。 [2] 李建璋 (2013) 美國量化寬鬆貨幣政策對台灣股票市場之影響-事件研究法之應用 淡江大學財務金融學系碩士在職專班學位論文, 1-59。 [3] 林金賢 (2011) 量化寬鬆貨幣政策的前因及後果 中興大學企管系。 [4] 林家慶 (2014) 美國量化寬鬆政策對金融市場及商品市場的影響 中央大學財務金融學系學位論文, 1-67。 英文文獻 [1] Bekaert, G., Hoerova, M., & Duca, M. L. (2013). Risk, uncertainty and monetary policy. Journal of Monetary Economics, 60(7), 771-788. [2] 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. [3] Farmer, R. E. (2012). The effect of conventional and unconventional monetary policy rules on inflation expectations: theory and evidence. Oxford Review of Economic Policy, 28(4), 622-639. [4] Fratzscher, M., Lo Duca, M., & Straub, R. (2018). On the international spillovers of US quantitative easing. The Economic Journal, 128(608), 330-377. [5] Hausman, J., & Wongswan, J. (2011). Global asset prices and FOMC announcements. Journal of International Money and Finance, 30(3), 547-571. [6] Joyce, M., Miles, D., Scott, A., & Vayanos, D. (2012). Quantitative easing and unconventional monetary policy–an introduction. The Economic Journal, 122(564). [7] 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. [8] Krishnamurthy, A., & Vissing-Jorgensen, A. (2011). The effects of quantitative easing on interest rates: channels and implications for policy (No. w17555). National Bureau of Economic Research. [9] Laeven, L., & Tong, H. (2012). US monetary shocks and global stock prices. Journal of Financial Intermediation, 21(3), 530-547. [10] 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. [11] Morgan, P. (2011). Impact of US quantitative easing policy on emerging Asia. [12] Ricci, O. (2015). The impact of monetary policy announcements on the stock price of large European banks during the financial crisis. Journal of Banking & Finance, 52, 245-255. [13] Ueda, K. (2012). Japan`s deflation and the Bank of Japan`s experience with nontraditional monetary policy. Journal of Money, Credit and Banking, 44(s1), 175-190. [14] Ueda, K. (2012). Deleveraging and Monetary Policy: Japan since the 1990s and the United States since 2007. Journal of Economic Perspectives, 26(3), 177-202. [15] Ueda, K. (2012). The Effectiveness Of Non‐Traditional Monetary Policy Measures: The Case Of The Bank Of Japan. The Japanese Economic Review, 63(1), 1-22. [16] Wright, J. H. (2012). What does monetary policy do to long‐term interest rates at the zero lower bound?. The Economic Journal, 122(564). 描述 碩士
國立政治大學
金融學系
105352014資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105352014 資料類型 thesis dc.contributor.advisor 林建秀 zh_TW dc.contributor.advisor Lin, Chien-Hsiu en_US dc.contributor.author (Authors) 曾鉯雯 zh_TW dc.contributor.author (Authors) Tseng, Yi-Wen en_US dc.creator (作者) 曾鉯雯 zh_TW dc.creator (作者) Tseng, Yi-Wen en_US dc.date (日期) 2018 en_US dc.date.accessioned 3-Jul-2018 17:26:25 (UTC+8) - dc.date.available 3-Jul-2018 17:26:25 (UTC+8) - dc.date.issued (上傳時間) 3-Jul-2018 17:26:25 (UTC+8) - dc.identifier (Other Identifiers) G0105352014 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/118237 - 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) 105352014 zh_TW dc.description.abstract (摘要) 美國從2008年底開始執行量化寬鬆政策，直到2014年底才使其退場，為期近6年釋出的資金使美國Fed資產負債表膨脹至約4.5兆，美國大量增加其自身的貨幣基數，對國際市場而言是熱錢流入的契機，大量熱錢流入推升了資產價格，使得亞洲等國家的股匯市受到其相當程度的影響。 因此本研究以向量自我回歸模型去探討美國貨幣基數分別與韓國、台灣等亞洲十國的股匯市間關聯性，並且以F檢定去增加不同國家的模型解釋力。此外本研究也增加利差及股價連動性去探討各國股匯市受美國、日本及歐盟的貨幣基數影響差異原因分析。 本文研究結果說明美國量化寬鬆政策會使亞洲出現股市上漲及匯率升值的情形，而縮減量化寬鬆政策規模後則股市出現下跌與匯率貶值的情形，而股匯市上漲與升值情形會因亞洲國家與美的相對利差及股市連動性而出現影響程度的差異。 QE期間以相對利差小或與美股市連動性高的國家受到較高程度的影響，而縮減量化寬鬆政策規模後則以相對利差較大的國家股市下跌與貨幣貶值幅度較高。但本研究發現並不能僅考慮利差或股價連動性單一因素就說明該國股匯市受美國影響程度的高低。 印度雖本身對美國的利差較大，但因其股市與美股市連動性高，在縮減量化寬鬆政策規模後受到的股市下跌壓力會比其他相對利差大的國家小，而中國雖然與美國相對利差小，但因股價連動性低，所以受到美國貨幣基數影響程度低。因此本研究歸納出在量化寬鬆政策期間美國貨幣基數會對與美國利差小同時股價連動性高的國家股匯市產生較高程度影響。 zh_TW dc.description.abstract (摘要) The United States announced to implement the Quantitative Easing at the end of 2008 to ease the panic after the subprime mortgage crisis and the financial crisis. It was not until 2014 that the Fed decided to remove the Quantitative Easing. During the period, the Fed have swelled its balance sheet from 0.9 trillion to 4.5 trillion. The United States substantially increased its monetary base, and it is an opportunity that hot money inflowed into international markets. A large amount of hot money inflows had increased asset prices, which had affected stock and exchange market in Asia. Therefore, this paper is to investigate the correlation between American monetary base and Asian countries` stock prices and to examine the correlation between American monetary base and Asian countries` exchange rates with the vector autoregression and uses the F-test to test the explanatory power of our VAR model. Furthermore, to explore the reasons of different impact to the Asian countries, this paper takes spread and stock correlation into consideration. Our empirical results show that Asian countries’ stock prices rise, and Asian countries’ exchange rates appreciate during the Quantitative Easing. After the tapering speech, conversely, stock prices decline, and exchange rates depreciate in Asian market. In addition, spreads and stock correlation between Asian countries and America caused the different impacts. During the QE period, countries with smaller spreads or higher stock correlation with the US have more significant impacts. However, stocks decline, or exchange rates depreciate more in countries with larger spreads or lower stock correlation with the US. Nevertheless, this study found that it might be incorrect to explain the different influence only based on the single factor, such as spreads or stock correlation. India with larger spread but higher stock correlation doesn’t suffer the same degree of stocks drop and exchange rate depreciation as other countries, such as Philippines, with larger spreads. Instead, during the QE stocks and exchange rate in China don’t rise and appreciate as much as those with smaller spreads, such as Taiwan and Hong Kong, since China has smaller spreads but lower stock correlation with America. Therefore, this study concludes that during the Quantitative Easing, the U.S. monetary base will have a relatively high degree of influence on the stock and exchange market in countries which have smaller spreads and higher stock correlation. 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 3 第三節 研究流程與步驟 6 第二章 文獻回顧 7 第三章 研究方法 9 第一節 研究範圍與期間 9 第二節 向量自我回歸模型(VAR模型) 10 第四章 資料分析 12 第一節 資料敘述統計分析 12 第二節 資料實證分析 18 第五章 結論與建議 70 第一節 研究結論 70 第二節 後續研究建議 71 參考資料 75 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105352014 en_US dc.subject (關鍵詞) 量化寬鬆 zh_TW dc.subject (關鍵詞) 貨幣基數 zh_TW dc.subject (關鍵詞) 向量自我回歸模型 zh_TW dc.subject (關鍵詞) Quantitative easing en_US dc.subject (關鍵詞) Monetary base en_US dc.subject (關鍵詞) Vector autoregression en_US dc.title (題名) 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 zh_TW dc.title (題名) The Effects of US Monetary Policy on Asian Stock Prices and Exchange Rates：A Case Study of US Quantitative Easing Policy en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文文獻 [1] 汪震亞、蔡育儒（2013）美國量化寬鬆貨幣政策之分析 經濟研究年刊第13期，369–400。 [2] 李建璋 (2013) 美國量化寬鬆貨幣政策對台灣股票市場之影響-事件研究法之應用 淡江大學財務金融學系碩士在職專班學位論文, 1-59。 [3] 林金賢 (2011) 量化寬鬆貨幣政策的前因及後果 中興大學企管系。 [4] 林家慶 (2014) 美國量化寬鬆政策對金融市場及商品市場的影響 中央大學財務金融學系學位論文, 1-67。 英文文獻 [1] Bekaert, G., Hoerova, M., & Duca, M. L. (2013). Risk, uncertainty and monetary policy. Journal of Monetary Economics, 60(7), 771-788. [2] 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. [3] Farmer, R. E. (2012). The effect of conventional and unconventional monetary policy rules on inflation expectations: theory and evidence. Oxford Review of Economic Policy, 28(4), 622-639. [4] Fratzscher, M., Lo Duca, M., & Straub, R. (2018). On the international spillovers of US quantitative easing. The Economic Journal, 128(608), 330-377. [5] Hausman, J., & Wongswan, J. (2011). Global asset prices and FOMC announcements. Journal of International Money and Finance, 30(3), 547-571. [6] Joyce, M., Miles, D., Scott, A., & Vayanos, D. (2012). Quantitative easing and unconventional monetary policy–an introduction. The Economic Journal, 122(564). [7] 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. [8] Krishnamurthy, A., & Vissing-Jorgensen, A. (2011). The effects of quantitative easing on interest rates: channels and implications for policy (No. w17555). National Bureau of Economic Research. [9] Laeven, L., & Tong, H. (2012). US monetary shocks and global stock prices. Journal of Financial Intermediation, 21(3), 530-547. [10] 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. [11] Morgan, P. (2011). Impact of US quantitative easing policy on emerging Asia. [12] Ricci, O. (2015). The impact of monetary policy announcements on the stock price of large European banks during the financial crisis. Journal of Banking & Finance, 52, 245-255. [13] Ueda, K. (2012). Japan`s deflation and the Bank of Japan`s experience with nontraditional monetary policy. Journal of Money, Credit and Banking, 44(s1), 175-190. [14] Ueda, K. (2012). Deleveraging and Monetary Policy: Japan since the 1990s and the United States since 2007. Journal of Economic Perspectives, 26(3), 177-202. [15] Ueda, K. (2012). The Effectiveness Of Non‐Traditional Monetary Policy Measures: The Case Of The Bank Of Japan. The Japanese Economic Review, 63(1), 1-22. [16] Wright, J. H. (2012). What does monetary policy do to long‐term interest rates at the zero lower bound?. The Economic Journal, 122(564). zh_TW dc.identifier.doi (DOI) 10.6814/THE.NCCU.MB.007.2018.F06 -
