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題名 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
The Impact and Factor Analysis of Quantitative Easing on Stock Market, Exchange Market and Foreign Reserve: Evidence from Asia Region作者 林蓉萱
Lin, Jung-Hsuan貢獻者 林建秀
林蓉萱
Lin, Jung-Hsuan關鍵詞 美國量化寬鬆政策
Tail Event 分析法
資金流向探討
因素分析
Quantitative easing
Tail Event study
Analysis of capital flow
Factor analysis日期 2018 上傳時間 10-Jul-2018 15:34:34 (UTC+8) 摘要 自2008年金融海嘯後，聯準會在利率區間過低，無法透過降息手段刺激市場行情的情況下，推出非正常的寬鬆貨幣政策以搶救市場流動性危機，並衍伸出扭轉操作策略、縮減寬鬆政策及資金收回的縮表政策。 此篇研究分為三個主軸做說明，第一部分主要探討寬鬆、縮減、縮表三大政策下，每年八次聯準會開會及重要日期宣告對於亞洲十個國家股市、匯市立即性影響分析，測試各項宣告日是否造成亞洲市場一天、五天、十天顯著的波動程度，發現匯率在QE1及QE3宣告、縮減宣告前後一天下各有四個和五個國家顯著，而股市部分則在QE1宣告、QE3縮減有五個和三個國家顯著。本文並進一步觀察寬鬆政策造成的資金釋出，資金是否自美國竄流至亞洲地區推升各國的匯率、外匯準備、股價指數，並在縮減、縮表後流回美國，使各國的匯率貶值、外匯準備下降、股價指數受到影響，並加入資本推升指標一、資本推升指標二，綜合考量寬鬆政策下資金流向的狀況，結果顯示以QE1推升各國股市、匯率升值、外匯準備增加幅度最大，資金流出部分則以QE3縮減對匯率貶值、外匯準備減少影響較大。最後本文針對各國不同的市場狀況，對各國的總體經濟指標、市場大小、資本流入多寡及資本的敏感程度做回歸因素分析，探究哪些因素會造成寬鬆的資金較偏愛流入這些國家，並在縮減、縮表之後，資金優先由這些國家撤出回流美國，同時，本文也納入貨幣基數加入考量，考慮在資金撤出之後，各國匯率貶值、外匯準備減少的情況下，如何保持股市穩定成長，是否有透過釋出本國貨幣以穩定市場機制，研究結果為在QE1時期，匯率受國家因素中的資金流入多寡、資金敏感程度影響，股市部分則受資金敏感程度影響，並得出在QE3後期貨幣基數變數顯著，顯見亞洲各國有透過放大貨幣基數達到穩定股價市場的目的。
Since the financial crisis in 2008, the Fed’s interest rate was too low that they couldn’t use traditional means to stimulate market, instead, they introduced abnormally Quantitative Easing policy to rescue market from liquidity traps. This study divides into three parts. The first part mainly discusses the impact of FOMC’s eight annual meetings and the important dates of announcement on the stock and exchange markets of ten Asian countries. According to the analysis, the exchange rate is significant in four and five countries after announcement of QE1, QE3 and QE3 tapering, while the stock market is significant in five and three countries after the announcement of QE1 and QE3 tapering. This article further observes whether the funds has flowed to or outflowed from Asia after announcement of QE and reduction on balance sheet. It considers not only on the exchange rate, foreign exchange reserve, stock index, but the Capital Push Index I and II to examine capital flows of QE. We find out that QE1 and QE3 tapering has the largest effect on both of exchange, reserve and stock market, causing funds inflow after QE1 and funds outflow after QE3 tapering. Finally, this paper analyzes the different market conditions such as overall economic, market size, quantity of capital inflows or outflows, capital sensitivity and monetary base. This research uses regression methods to test which factors will result in preference of funds between countries. The result shows that quantity of capital inflows or outflows and capital sensitivity are two reasons in exchange rate market during QE1, with capital sensitivity in stock market. Meanwhile, monetary base factor is notable after QE3 tapering, which means some countries maintain stable growth of stock market by releasing domestic currency while exchange rates and reserve keep dropping.參考文獻 [1] Aizenman, J., Binici, M., & Hutchison, M. M. (2014). The transmission of Federal Reserve tapering news to emerging financial markets (No. w19980). National Bureau of Economic Research. [2] 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. [3] Bauer, M. D., & Neely, C. J. (2014). International channels of the Fed`s unconventional monetary policy. Journal of International Money and Finance, 44, 24-46. [4] Bekaert, G., Hoerova, M., & Duca, M. L. (2013). Risk, uncertainty and monetary policy. Journal of Monetary Economics, 60(7), 771-788. [5] 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. [6] Eichengreen, B., & Gupta, P. (2015). Tapering talk: The impact of expectations of reduced Federal Reserve security purchases on emerging markets. Emerging Markets Review, 25, 1-15. [7] 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. [8] Hausman, J., & Wongswan, J. (2011). Global asset prices and FOMC announcements. Journal of International Money and Finance, 30(3), 547-571. [9] 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. [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] 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. [12] Tillmann, P. (2013). Capital inflows and asset prices: Evidence from emerging Asia. Journal of Banking & Finance, 37(3), 717-729. [13] Tillmann, P. (2016). Unconventional monetary policy and the spillovers to emerging markets. Journal of International Money and Finance, 66, 136-156. [14] Ueda, K. (2012a). Japan`s deflation and the Bank of Japan`s experience with nontraditional monetary policy. Journal of Money, Credit and Banking, 44(s1), 175-190. [15] Ueda, K. (2012b). Deleveraging and Monetary Policy: Japan since the 1990s and the United States since 2007. Journal of Economic Perspectives, 26(3), 177-202. [16] Ueda, K. (2012c). The Effectiveness Of Non‐Traditional Monetary Policy Measures: The Case Of The Bank Of Japan. The Japanese Economic Review, 63(1), 1-22. [17] 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
105352015資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105352015 資料類型 thesis dc.contributor.advisor 林建秀 zh_TW dc.contributor.author (Authors) 林蓉萱 zh_TW dc.contributor.author (Authors) Lin, Jung-Hsuan en_US dc.creator (作者) 林蓉萱 zh_TW dc.creator (作者) Lin, Jung-Hsuan en_US dc.date (日期) 2018 en_US dc.date.accessioned 10-Jul-2018 15:34:34 (UTC+8) - dc.date.available 10-Jul-2018 15:34:34 (UTC+8) - dc.date.issued (上傳時間) 10-Jul-2018 15:34:34 (UTC+8) - dc.identifier (Other Identifiers) G0105352015 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/118536 - 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) 105352015 zh_TW dc.description.abstract (摘要) 自2008年金融海嘯後，聯準會在利率區間過低，無法透過降息手段刺激市場行情的情況下，推出非正常的寬鬆貨幣政策以搶救市場流動性危機，並衍伸出扭轉操作策略、縮減寬鬆政策及資金收回的縮表政策。 此篇研究分為三個主軸做說明，第一部分主要探討寬鬆、縮減、縮表三大政策下，每年八次聯準會開會及重要日期宣告對於亞洲十個國家股市、匯市立即性影響分析，測試各項宣告日是否造成亞洲市場一天、五天、十天顯著的波動程度，發現匯率在QE1及QE3宣告、縮減宣告前後一天下各有四個和五個國家顯著，而股市部分則在QE1宣告、QE3縮減有五個和三個國家顯著。本文並進一步觀察寬鬆政策造成的資金釋出，資金是否自美國竄流至亞洲地區推升各國的匯率、外匯準備、股價指數，並在縮減、縮表後流回美國，使各國的匯率貶值、外匯準備下降、股價指數受到影響，並加入資本推升指標一、資本推升指標二，綜合考量寬鬆政策下資金流向的狀況，結果顯示以QE1推升各國股市、匯率升值、外匯準備增加幅度最大，資金流出部分則以QE3縮減對匯率貶值、外匯準備減少影響較大。最後本文針對各國不同的市場狀況，對各國的總體經濟指標、市場大小、資本流入多寡及資本的敏感程度做回歸因素分析，探究哪些因素會造成寬鬆的資金較偏愛流入這些國家，並在縮減、縮表之後，資金優先由這些國家撤出回流美國，同時，本文也納入貨幣基數加入考量，考慮在資金撤出之後，各國匯率貶值、外匯準備減少的情況下，如何保持股市穩定成長，是否有透過釋出本國貨幣以穩定市場機制，研究結果為在QE1時期，匯率受國家因素中的資金流入多寡、資金敏感程度影響，股市部分則受資金敏感程度影響，並得出在QE3後期貨幣基數變數顯著，顯見亞洲各國有透過放大貨幣基數達到穩定股價市場的目的。 zh_TW dc.description.abstract (摘要) Since the financial crisis in 2008, the Fed’s interest rate was too low that they couldn’t use traditional means to stimulate market, instead, they introduced abnormally Quantitative Easing policy to rescue market from liquidity traps. This study divides into three parts. The first part mainly discusses the impact of FOMC’s eight annual meetings and the important dates of announcement on the stock and exchange markets of ten Asian countries. According to the analysis, the exchange rate is significant in four and five countries after announcement of QE1, QE3 and QE3 tapering, while the stock market is significant in five and three countries after the announcement of QE1 and QE3 tapering. This article further observes whether the funds has flowed to or outflowed from Asia after announcement of QE and reduction on balance sheet. It considers not only on the exchange rate, foreign exchange reserve, stock index, but the Capital Push Index I and II to examine capital flows of QE. We find out that QE1 and QE3 tapering has the largest effect on both of exchange, reserve and stock market, causing funds inflow after QE1 and funds outflow after QE3 tapering. Finally, this paper analyzes the different market conditions such as overall economic, market size, quantity of capital inflows or outflows, capital sensitivity and monetary base. This research uses regression methods to test which factors will result in preference of funds between countries. The result shows that quantity of capital inflows or outflows and capital sensitivity are two reasons in exchange rate market during QE1, with capital sensitivity in stock market. Meanwhile, monetary base factor is notable after QE3 tapering, which means some countries maintain stable growth of stock market by releasing domestic currency while exchange rates and reserve keep dropping. 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 2 第二章 文獻探討 5 第三章 研究方法 7 第一節 研究資料 7 第二節 政策宣告立即性影響探討 8 第三節 資金流向探討 8 第四節 因素探討 9 第四章 實證結果 10 第一節 政策宣告立即性影響探討 10 第二節 資金流向探討 23 第三節 因素探討 39 第五章 結論 44 參考文獻 46 附錄 48 附錄一 政策宣告對匯率立即性分析 48 附錄二 政策宣告對股市立即性分析 55 附錄三 各國匯率受QE影響之因素分析 62 附錄三 各國股市受QE影響之因素分析 66 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105352015 en_US dc.subject (關鍵詞) 美國量化寬鬆政策 zh_TW dc.subject (關鍵詞) Tail Event 分析法 zh_TW dc.subject (關鍵詞) 資金流向探討 zh_TW dc.subject (關鍵詞) 因素分析 zh_TW dc.subject (關鍵詞) Quantitative easing en_US dc.subject (關鍵詞) Tail Event study en_US dc.subject (關鍵詞) Analysis of capital flow en_US dc.subject (關鍵詞) Factor analysis en_US dc.title (題名) 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 zh_TW dc.title (題名) The Impact and Factor Analysis of Quantitative Easing on Stock Market, Exchange Market and Foreign Reserve: Evidence from Asia Region en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) [1] Aizenman, J., Binici, M., & Hutchison, M. M. (2014). The transmission of Federal Reserve tapering news to emerging financial markets (No. w19980). National Bureau of Economic Research. [2] 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. [3] Bauer, M. D., & Neely, C. J. (2014). International channels of the Fed`s unconventional monetary policy. Journal of International Money and Finance, 44, 24-46. [4] Bekaert, G., Hoerova, M., & Duca, M. L. (2013). Risk, uncertainty and monetary policy. Journal of Monetary Economics, 60(7), 771-788. [5] 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. [6] Eichengreen, B., & Gupta, P. (2015). Tapering talk: The impact of expectations of reduced Federal Reserve security purchases on emerging markets. Emerging Markets Review, 25, 1-15. [7] 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. [8] Hausman, J., & Wongswan, J. (2011). Global asset prices and FOMC announcements. Journal of International Money and Finance, 30(3), 547-571. [9] 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. [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] 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. [12] Tillmann, P. (2013). Capital inflows and asset prices: Evidence from emerging Asia. Journal of Banking & Finance, 37(3), 717-729. [13] Tillmann, P. (2016). Unconventional monetary policy and the spillovers to emerging markets. Journal of International Money and Finance, 66, 136-156. [14] Ueda, K. (2012a). Japan`s deflation and the Bank of Japan`s experience with nontraditional monetary policy. Journal of Money, Credit and Banking, 44(s1), 175-190. [15] Ueda, K. (2012b). Deleveraging and Monetary Policy: Japan since the 1990s and the United States since 2007. Journal of Economic Perspectives, 26(3), 177-202. [16] Ueda, K. (2012c). The Effectiveness Of Non‐Traditional Monetary Policy Measures: The Case Of The Bank Of Japan. The Japanese Economic Review, 63(1), 1-22. [17] 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.015.2018.F06 -
