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題名 美國正常化貨幣政策過程之全球股匯市研究
The Effects on Global Stock and Foreign Exchange Market under US Monetary Policy Normalization作者 曾致霖 貢獻者 林建秀
曾致霖關鍵詞 美國正常化貨幣政策過程
衝擊反應函數
金融市場
國家特有因子
US Monetary Policy Normalization
Impulse Response Function
Financial Market
Country-Specific Factor日期 2019 上傳時間 7-Aug-2019 16:14:08 (UTC+8) 摘要 金融海嘯過後，美國實行的量化寬鬆政策撼動整個金融市場結構，大量熱錢湧進市場、外溢其他國家，至今，全球已逐漸走出金融海嘯的陰霾。近幾年，美國也著手正常化貨幣政策，包括減債、升息以及縮表等舉措，目的在於，避免過度寬鬆的信用環境以及膨脹的央行資產負債表扭曲金融市場。本研究旨在研究美國正常化貨幣政策過程對於全球金融市場之影響，透過各國股市及匯市之報酬率，觀察資產市場的價格變化，亦藉由各國國際投資帳的資產與負債，衡量資本在國際間流動的動態過程。本研究除了探討美國貨幣政策的改變對金融市場的影響，同時在模型中加入VIX指數，捕捉投資市場風險事件造成的市場擾動；並加入美國工業生產指數，區分美國實質產出造成的衝擊；加入大宗商品價格指數，探討全球經濟供需及展望對金融市場的影響。本研究亦調整樣本國家數，將具有類似國家特性的樣本做為一個群集，以探討具有不同特性的國家在受到市場衝擊時是否會有程度不一的影響。自從美國宣告縮減量化寬鬆購債規模並採取漸進升息策略，市場大多認為，過去受惠於寬鬆金融環境的資產價格可能因此崩盤，活絡的投資市場亦可能產生泡沫破裂危機。本文實證研究證實，美國升息時，新興國家的金融市場明顯產生股匯市走跌以及資本流出的狀況；其中，亞洲新興市場在過去量化寬鬆期間吸引國際資金投入較多，整體經濟發展較為強健，因而受到的負向衝擊相對較小。同時，美國實質產出增加的排擠效果以及全球商品價格走跌擠壓出口獲利，皆使新興國家股市動能減緩，尤以仰賴大宗商品出口的新興國家股市跌幅最大。另外，隨著全球金融市場日漸一體化，各國經濟與政治層面的衝擊皆會擾動全球市場，導致近幾年相關黑天鵝事件頻傳，如全球股災、能源價格重挫、英國脫歐等等，本研究所納入的VIX指數亦闡明了這些風險事件對市場會產生立即且劇烈的影響。本文區分出不同變數衝擊對金融市場的影響，除了瞭解市場受到衝擊時做出的反應，更進一步觀察這些衝擊的大小與持續的時間。然而，聯準會的升息與縮表政策集中在最近幾年，故在資料蒐集上仍有一定的限制，並且在模型建立與估計上存在些許誤差，特別在衡量資本流動的變數方面有較多的資料缺漏，待未來資料涵蓋更長區間時，本研究將能更精確的檢驗美國貨幣政策正常化過程對市場的影響。
After the Financial Crisis of 2007-2008, the US quantitative easing policy has changed the structure of financial market. A large amount of capital flowed into the US market and spilled over to other countries. In recent years, the United States has begun to normalize monetary policy, including debt reduction, rate hiking, and balance sheet shrinking, with the aim of avoiding that over-loose credit market and expanding central bank balance sheets would distort financial markets. Our objective of this study is to detect the impact on global financial markets under US monetary policy normalization. Observe the price changes in the asset market through the returns of stock and foreign exchange, also measure the dynamic process of capital flow around the international market through the countries’ international investment accounts.In addition to discussing the impact of US monetary policy on financial markets, we also included the VIX index in the empirical model to capture market disruptions caused by risk events; included the US Industrial Production Index to measure the impact of US real output; and included the Commodity Price Index to estimate the impact of global economic supply, demand and prospect on financial markets. Under the same dependent and independent variables, we also adjust samples with similar national characteristics as a cluster to explore whether countries with different characteristics will have different response when they encounter shocks.Since the US has announced reducing the scale of quantitative easing and adopted a gradual rate-hiking strategy, most of the investors believes that the asset prices which have benefited from the QE policy may collapse, and the investment market may have a crisis of bubble burst. Our empirical research confirms that the emerging markets obviously have a decline in the stock market, exchange market and capital outflows when the US rises interest rates. Among them, Asia emerging markets have attracted more international capital investment during the past QE period, and the overall economic development is more robust. Thus, the negative impact is relatively small. At the same time, the squeeze-out effect of the increase in the US real output and the decline in global commodity prices crownd-out the export profit have all contributed to the slowdown in emerging market, especially in which highly rely on commodity exports. In addition, with the increasing integration of global financial markets, the economic and political shocks in various countries will disturb the global market, leading to the black swan events frequently happen, such as global stock collapse, energy price tumble, British Brexit, etc. The VIX index included in the study also clarifies that these risk events have an immediate and dramatic impact on the market.This paper distinguishes the impact of different shocks on financial markets. Not only detect the response of the market but observe the magnitude and duration of their response. However, the FED`s interest rate hiking and balance sheet shrinking policies have begun in recent years, so there are still some restrictions on data collection, especially in measuring the capital flows. While the future data covers a longer period, this study will be able to more accurately test the impact of the US monetary policy normalization process.參考文獻 1.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, 8–28.2.Adler, G., & Tover, C. E. (2013). Global financial shocks and their economic impact on emerging market economies. Journal of International Commerce, Economics and Policy, 4(2), 1-27.3.Antonakakis, N., Chatziantoniou, I., & Filis, G. (2013). Dynamic co-movements of stock market returns, implied volatility and policy uncertainty. Economics Letters, 120, 87-92.4.Arellano, M., & Olympia, B. (1990). Another look at the instrumental variable estimation of error-components models. Journal of Econometrics, 68, 29-51.5.Armelius, H., Bertsch, C., Hull, I., & Zhang, X. (2018). Spread the Word: International Spillovers from Central Bank Communication. Working Paper Series, 357.6.Chari, A., Stedman, K. D., & Lundblad, C. (2016). Taper Tantrums: QE, its Aftermath and Emerging Market Capital Flows. NBER Working Paper, 234747.Estrada, G. B., Park, D., & Ramayandi, A. (2015). Taper Tantrum and Emerging Equity Market Slumps. Journal Emerging Markets Finance and Trade, 52(5), 1060-1071.8.Iacoviello, M., & Navarro, G. (2018). Foreign effects of higher U.S. interest rates. International Finance Discussion Papers, 1227, 1-41.9.Love, I., & Zicchino, L. (2006). Financial development and dynamic investmentbehavior: Evidence from panel VAR. The Quarterly Review of Economics and Finance, 46, 190–210.10.Manzi, T. M. (2015). Lessons Learned from Past Federal Reserve Tightening Cycles. Cammack Retirement Group11.Sahay, R., Arora, V., Arvanitis, T., Faruqee, H., N`Diaye, P., Mancini-Griffoli, T., & IMF Team. (2014). Emerging market volatility: lessons from the taper tantrum. IMF Staff Discussion Note, 1-29.12.Suryanarayanan, R. (2015). The FED Rate Hike: Implications for U.S. and Global Multi-Asset Class Portfolios. MSCI Inc.13.Terhune, C. L. (2016). The Taper Tantrum of 2013: Momentum-Driven or a Return to Fundamentals? Finance Undergraduate Honors Theses, 26.14.Tillmann, P. (2013). Capital inflows and asset prices: Evidence from emerging Asia. Journal of Banking & Finance, 37(3), 717-729.15.Tillmann, P. (2016). Unconventional monetary policy and the spillovers to emerging markets. Journal of International Money and Finance, 66, 136-156.16.Quinn, D., Schindler, M., & Toyoda, A. M. (2011). Assessing Measures of Financial Openness and Integration. IMF Economic Review, 59, 488–522.17.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。18.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。淡江大學財務金融財務金融系碩士在職專班學位論文，1-59。19.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，1-128。 描述 碩士
國立政治大學
金融學系
106352024資料來源 http://thesis.lib.nccu.edu.tw/record/#G1063520241 資料類型 thesis dc.contributor.advisor 林建秀 zh_TW dc.contributor.author (Authors) 曾致霖 zh_TW dc.creator (作者) 曾致霖 zh_TW dc.date (日期) 2019 en_US dc.date.accessioned 7-Aug-2019 16:14:08 (UTC+8) - dc.date.available 7-Aug-2019 16:14:08 (UTC+8) - dc.date.issued (上傳時間) 7-Aug-2019 16:14:08 (UTC+8) - dc.identifier (Other Identifiers) G1063520241 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124746 - 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) 106352024 zh_TW dc.description.abstract (摘要) 金融海嘯過後，美國實行的量化寬鬆政策撼動整個金融市場結構，大量熱錢湧進市場、外溢其他國家，至今，全球已逐漸走出金融海嘯的陰霾。近幾年，美國也著手正常化貨幣政策，包括減債、升息以及縮表等舉措，目的在於，避免過度寬鬆的信用環境以及膨脹的央行資產負債表扭曲金融市場。本研究旨在研究美國正常化貨幣政策過程對於全球金融市場之影響，透過各國股市及匯市之報酬率，觀察資產市場的價格變化，亦藉由各國國際投資帳的資產與負債，衡量資本在國際間流動的動態過程。本研究除了探討美國貨幣政策的改變對金融市場的影響，同時在模型中加入VIX指數，捕捉投資市場風險事件造成的市場擾動；並加入美國工業生產指數，區分美國實質產出造成的衝擊；加入大宗商品價格指數，探討全球經濟供需及展望對金融市場的影響。本研究亦調整樣本國家數，將具有類似國家特性的樣本做為一個群集，以探討具有不同特性的國家在受到市場衝擊時是否會有程度不一的影響。自從美國宣告縮減量化寬鬆購債規模並採取漸進升息策略，市場大多認為，過去受惠於寬鬆金融環境的資產價格可能因此崩盤，活絡的投資市場亦可能產生泡沫破裂危機。本文實證研究證實，美國升息時，新興國家的金融市場明顯產生股匯市走跌以及資本流出的狀況；其中，亞洲新興市場在過去量化寬鬆期間吸引國際資金投入較多，整體經濟發展較為強健，因而受到的負向衝擊相對較小。同時，美國實質產出增加的排擠效果以及全球商品價格走跌擠壓出口獲利，皆使新興國家股市動能減緩，尤以仰賴大宗商品出口的新興國家股市跌幅最大。另外，隨著全球金融市場日漸一體化，各國經濟與政治層面的衝擊皆會擾動全球市場，導致近幾年相關黑天鵝事件頻傳，如全球股災、能源價格重挫、英國脫歐等等，本研究所納入的VIX指數亦闡明了這些風險事件對市場會產生立即且劇烈的影響。本文區分出不同變數衝擊對金融市場的影響，除了瞭解市場受到衝擊時做出的反應，更進一步觀察這些衝擊的大小與持續的時間。然而，聯準會的升息與縮表政策集中在最近幾年，故在資料蒐集上仍有一定的限制，並且在模型建立與估計上存在些許誤差，特別在衡量資本流動的變數方面有較多的資料缺漏，待未來資料涵蓋更長區間時，本研究將能更精確的檢驗美國貨幣政策正常化過程對市場的影響。 zh_TW dc.description.abstract (摘要) After the Financial Crisis of 2007-2008, the US quantitative easing policy has changed the structure of financial market. A large amount of capital flowed into the US market and spilled over to other countries. In recent years, the United States has begun to normalize monetary policy, including debt reduction, rate hiking, and balance sheet shrinking, with the aim of avoiding that over-loose credit market and expanding central bank balance sheets would distort financial markets. Our objective of this study is to detect the impact on global financial markets under US monetary policy normalization. Observe the price changes in the asset market through the returns of stock and foreign exchange, also measure the dynamic process of capital flow around the international market through the countries’ international investment accounts.In addition to discussing the impact of US monetary policy on financial markets, we also included the VIX index in the empirical model to capture market disruptions caused by risk events; included the US Industrial Production Index to measure the impact of US real output; and included the Commodity Price Index to estimate the impact of global economic supply, demand and prospect on financial markets. Under the same dependent and independent variables, we also adjust samples with similar national characteristics as a cluster to explore whether countries with different characteristics will have different response when they encounter shocks.Since the US has announced reducing the scale of quantitative easing and adopted a gradual rate-hiking strategy, most of the investors believes that the asset prices which have benefited from the QE policy may collapse, and the investment market may have a crisis of bubble burst. Our empirical research confirms that the emerging markets obviously have a decline in the stock market, exchange market and capital outflows when the US rises interest rates. Among them, Asia emerging markets have attracted more international capital investment during the past QE period, and the overall economic development is more robust. Thus, the negative impact is relatively small. At the same time, the squeeze-out effect of the increase in the US real output and the decline in global commodity prices crownd-out the export profit have all contributed to the slowdown in emerging market, especially in which highly rely on commodity exports. In addition, with the increasing integration of global financial markets, the economic and political shocks in various countries will disturb the global market, leading to the black swan events frequently happen, such as global stock collapse, energy price tumble, British Brexit, etc. The VIX index included in the study also clarifies that these risk events have an immediate and dramatic impact on the market.This paper distinguishes the impact of different shocks on financial markets. Not only detect the response of the market but observe the magnitude and duration of their response. However, the FED`s interest rate hiking and balance sheet shrinking policies have begun in recent years, so there are still some restrictions on data collection, especially in measuring the capital flows. While the future data covers a longer period, this study will be able to more accurately test the impact of the US monetary policy normalization process. en_US dc.description.tableofcontents 壹、緒論 1一、研究背景 1二、研究動機與目的 5貳、相關文獻 7參、研究方法 9一、樣本與變數說明 9二、資料處理 11三、實證模型 11肆、資料敘述統計分析 17一、 金融市場指標變數 17二、 金融市場影響因子 27伍、實證結果分析 33一、貨幣政策衝擊 33二、其他衝擊分析 39三、資本流動 44陸、結論與建議 49參考資料 51附錄 53附錄一 53附錄二 56 zh_TW dc.format.extent 3113272 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1063520241 en_US dc.subject (關鍵詞) 美國正常化貨幣政策過程 zh_TW dc.subject (關鍵詞) 衝擊反應函數 zh_TW dc.subject (關鍵詞) 金融市場 zh_TW dc.subject (關鍵詞) 國家特有因子 zh_TW dc.subject (關鍵詞) US Monetary Policy Normalization en_US dc.subject (關鍵詞) Impulse Response Function en_US dc.subject (關鍵詞) Financial Market en_US dc.subject (關鍵詞) Country-Specific Factor en_US dc.title (題名) 美國正常化貨幣政策過程之全球股匯市研究 zh_TW dc.title (題名) The Effects on Global Stock and Foreign Exchange Market under US Monetary Policy Normalization en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1.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, 8–28.2.Adler, G., & Tover, C. E. (2013). Global financial shocks and their economic impact on emerging market economies. Journal of International Commerce, Economics and Policy, 4(2), 1-27.3.Antonakakis, N., Chatziantoniou, I., & Filis, G. (2013). Dynamic co-movements of stock market returns, implied volatility and policy uncertainty. Economics Letters, 120, 87-92.4.Arellano, M., & Olympia, B. (1990). Another look at the instrumental variable estimation of error-components models. Journal of Econometrics, 68, 29-51.5.Armelius, H., Bertsch, C., Hull, I., & Zhang, X. (2018). Spread the Word: International Spillovers from Central Bank Communication. Working Paper Series, 357.6.Chari, A., Stedman, K. D., & Lundblad, C. (2016). Taper Tantrums: QE, its Aftermath and Emerging Market Capital Flows. NBER Working Paper, 234747.Estrada, G. B., Park, D., & Ramayandi, A. (2015). Taper Tantrum and Emerging Equity Market Slumps. Journal Emerging Markets Finance and Trade, 52(5), 1060-1071.8.Iacoviello, M., & Navarro, G. (2018). Foreign effects of higher U.S. interest rates. International Finance Discussion Papers, 1227, 1-41.9.Love, I., & Zicchino, L. (2006). Financial development and dynamic investmentbehavior: Evidence from panel VAR. The Quarterly Review of Economics and Finance, 46, 190–210.10.Manzi, T. M. (2015). Lessons Learned from Past Federal Reserve Tightening Cycles. Cammack Retirement Group11.Sahay, R., Arora, V., Arvanitis, T., Faruqee, H., N`Diaye, P., Mancini-Griffoli, T., & IMF Team. (2014). Emerging market volatility: lessons from the taper tantrum. IMF Staff Discussion Note, 1-29.12.Suryanarayanan, R. (2015). The FED Rate Hike: Implications for U.S. and Global Multi-Asset Class Portfolios. MSCI Inc.13.Terhune, C. L. (2016). The Taper Tantrum of 2013: Momentum-Driven or a Return to Fundamentals? Finance Undergraduate Honors Theses, 26.14.Tillmann, P. (2013). Capital inflows and asset prices: Evidence from emerging Asia. Journal of Banking & Finance, 37(3), 717-729.15.Tillmann, P. (2016). Unconventional monetary policy and the spillovers to emerging markets. Journal of International Money and Finance, 66, 136-156.16.Quinn, D., Schindler, M., & Toyoda, A. M. (2011). Assessing Measures of Financial Openness and Integration. IMF Economic Review, 59, 488–522.17.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。18.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。淡江大學財務金融財務金融系碩士在職專班學位論文，1-59。19.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，1-128。 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900162 en_US
