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題名 COVID-19期間美國貨幣政策衝擊對台灣的傳遞效果: 以事件研究法分析
Pass-Through of U.S. Monetary Policy Shocks on Taiwan During the COVID-19 Pandemic: Event Study Analysis作者 鄭家佶
Zheng, Jia-Ji貢獻者 荒井夏來
Natsuki, Arai
鄭家佶
Zheng, Jia-Ji關鍵詞 COVID-19 危機
貨幣政策
衝擊傳遞效果
事件研究法
台灣經濟日期 2021 上傳時間 1-Dec-2021 14:28:34 (UTC+8) 摘要 2020年COVID-19席捲全球，聯邦基金利率自2008年全球金融危機以來再次觸底，美國量化寬鬆政策回歸，對世界經濟產生外溢效果。本文運用事件研究法，選定COVID-19期間重要的貨幣政策公告時點，通過台灣公司債券與公債殖利率、匯率、股價三個管道，分析美國整體貨幣政策與非傳統貨幣政策衝擊對台灣的傳遞效果是否存在，並使用日內資料 (Intraday data)，以認定純粹的衝擊效果。而本文研究結果為:1. 美國整體擴張貨幣政策衝擊對台灣公司債殖利率、台美交叉匯率沒有顯著傳遞效果，存在降低台灣公債殖利率以及使台灣股價下挫的微小傳遞效果，效果在債市與股市之間有替代關係。2. 美國非傳統貨幣政策衝擊存在使台幣相對美元升值的微小傳遞效果。然而非傳統衝擊通過美國公債殖利率對台灣股價並沒有傳遞效果，唯通過MBS指數使台灣股價下挫的傳遞效果存在，顯示美國QE政策主要透過風險證券衝擊台灣股市，但效果可能非常有限。3. 相較於整體貨幣政策，美國非傳統貨幣政策衝擊致使台灣公債殖利率下降之傳遞效果較大。 參考文獻 王凱立, 林卓民, & 王美智. (2010). 總體經濟因素與資訊傳遞效果於美國與台灣債券市場動態過程之研究. 管理與系統, 17(4), 611-636.Arai, N. (2017). The effects of monetary policy announcements at the zero lower bound. International Journal of Central Banking, 13(2), 159-196.Bauer, M. D., & Rudebusch, G. D. (2016). Monetary policy expectations at the zero lower bound. Journal of Money, Credit and Banking, 48(7), 1439-1465.Bernanke, B. S. (2018). The real effects of disrupted credit: evidence from the global financial crisis. Brookings Papers on Economic Activity, 2018(2), 251-342.Craine, R., & Martin, V. L. (2008). International monetary policy surprise spillovers. Journal of International Economics, 75(1), 180-196.Fama, E. F., Fisher, L., Jensen, M., & Roll, R. (1969). The adjustment of stock prices to new information. International economic review, 10(1).Fleming, M. J., & Remolona, E. M. (1999). Price formation and liquidity in the US Treasury market: The response to public information. The journal of Finance, 54(5), 1901-1915.Gagnon, J., Raskin, M., Remache, J., & Sack, B. (2011). The financial market effects of the Federal Reserve’s large-scale asset purchases. International Journal of Central Banking, 7(1), 45-52.Gürkaynak, R. S., & Wright, J. H. (2013). Identification and Inference Using Event Studies. The Manchester School, 81, 48-65. https://doi.org/10.1111/manc.12020Inoue, A., & Rossi, B. (2019). The effects of conventional and unconventional monetary policy on exchange rates. Journal of International Economics, 118, 419-447. https://doi.org/10.1016/j.jinteco.2019.01.015Krishnamurthy, A., & Vissing-Jorgensen, A. (2011). The effects of quantitative easing on interest rates: channels and implications for policy.Kuttner, K. N. (2018). Outside the box: Unconventional monetary policy in the great recession and beyond. Journal of Economic Perspectives, 32(4), 121-146.Mamaysky, H. (2020). Financial markets and news about the coronavirus. Available at SSRN 3565597.Miranda-Agrippino, S., & Ricco, G. (2021). The transmission of monetary policy shocks. American Economic Journal: Macroeconomics, 13(3), 74-107.Nakamura, E., & Steinsson, J. (2018). High-frequency identification of monetary non-neutrality: the information effect. The Quarterly Journal of Economics, 133(3), 1283-1330.Rebucci, A., Hartley, J. S., & Jiménez, D. (2020). An event study of COVID-19 central bank quantitative easing in advanced and emerging economies.Rigobon, R. (2003). Identification through heteroskedasticity. Review of Economics and Statistics, 85(4), 777-792.Rogers, J. H., Scotti, C., & Wright, J. H. (2014). Evaluating asset-market effects of unconventional monetary policy: a multi-country review. Economic Policy, 29(80), 749-799.Swanson, E. T., Reichlin, L., & Wright, J. H. (2011). Let`s Twist Again: A High-Frequency Event-Study Analysis of Operation Twist and Its Implications for QE2 [with Comments and Discussion]. Brookings Papers on Economic Activity, 151-207.Wu, J. C., & Xia, F. D. (2016). Measuring the macroeconomic impact of monetary policy at the zero lower bound. Journal of Money, Credit and Banking, 48(2-3), 253-291. 描述 碩士
國立政治大學
國際經營與貿易學系
108351027資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108351027 資料類型 thesis dc.contributor.advisor 荒井夏來 zh_TW dc.contributor.advisor Natsuki, Arai en_US dc.contributor.author (Authors) 鄭家佶 zh_TW dc.contributor.author (Authors) Zheng, Jia-Ji en_US dc.creator (作者) 鄭家佶 zh_TW dc.creator (作者) Zheng, Jia-Ji en_US dc.date (日期) 2021 en_US dc.date.accessioned 1-Dec-2021 14:28:34 (UTC+8) - dc.date.available 1-Dec-2021 14:28:34 (UTC+8) - dc.date.issued (上傳時間) 1-Dec-2021 14:28:34 (UTC+8) - dc.identifier (Other Identifiers) G0108351027 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/137999 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 108351027 zh_TW dc.description.abstract (摘要) 2020年COVID-19席捲全球，聯邦基金利率自2008年全球金融危機以來再次觸底，美國量化寬鬆政策回歸，對世界經濟產生外溢效果。本文運用事件研究法，選定COVID-19期間重要的貨幣政策公告時點，通過台灣公司債券與公債殖利率、匯率、股價三個管道，分析美國整體貨幣政策與非傳統貨幣政策衝擊對台灣的傳遞效果是否存在，並使用日內資料 (Intraday data)，以認定純粹的衝擊效果。而本文研究結果為:1. 美國整體擴張貨幣政策衝擊對台灣公司債殖利率、台美交叉匯率沒有顯著傳遞效果，存在降低台灣公債殖利率以及使台灣股價下挫的微小傳遞效果，效果在債市與股市之間有替代關係。2. 美國非傳統貨幣政策衝擊存在使台幣相對美元升值的微小傳遞效果。然而非傳統衝擊通過美國公債殖利率對台灣股價並沒有傳遞效果，唯通過MBS指數使台灣股價下挫的傳遞效果存在，顯示美國QE政策主要透過風險證券衝擊台灣股市，但效果可能非常有限。3. 相較於整體貨幣政策，美國非傳統貨幣政策衝擊致使台灣公債殖利率下降之傳遞效果較大。 zh_TW dc.description.tableofcontents 第一章 緒論 1第二章 文獻探討 5第三章 研究方法 7第一節 事件研究法與主要模型設定 7第二節 資料與背景 8第四章 實證結果與分析 23第一節 日資料分析 23第二節 日內資料分析 33第五章 結論與建議 44參考文獻 46附錄一、FED與貨幣政策工具 48附錄二、研究限制 50 zh_TW dc.format.extent 2777012 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108351027 en_US dc.subject (關鍵詞) COVID-19 危機 zh_TW dc.subject (關鍵詞) 貨幣政策 zh_TW dc.subject (關鍵詞) 衝擊傳遞效果 zh_TW dc.subject (關鍵詞) 事件研究法 zh_TW dc.subject (關鍵詞) 台灣經濟 zh_TW dc.title (題名) COVID-19期間美國貨幣政策衝擊對台灣的傳遞效果: 以事件研究法分析 zh_TW dc.title (題名) Pass-Through of U.S. Monetary Policy Shocks on Taiwan During the COVID-19 Pandemic: Event Study Analysis en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 王凱立, 林卓民, & 王美智. (2010). 總體經濟因素與資訊傳遞效果於美國與台灣債券市場動態過程之研究. 管理與系統, 17(4), 611-636.Arai, N. (2017). The effects of monetary policy announcements at the zero lower bound. International Journal of Central Banking, 13(2), 159-196.Bauer, M. D., & Rudebusch, G. D. (2016). Monetary policy expectations at the zero lower bound. Journal of Money, Credit and Banking, 48(7), 1439-1465.Bernanke, B. S. (2018). The real effects of disrupted credit: evidence from the global financial crisis. Brookings Papers on Economic Activity, 2018(2), 251-342.Craine, R., & Martin, V. L. (2008). International monetary policy surprise spillovers. Journal of International Economics, 75(1), 180-196.Fama, E. F., Fisher, L., Jensen, M., & Roll, R. (1969). The adjustment of stock prices to new information. International economic review, 10(1).Fleming, M. J., & Remolona, E. M. (1999). Price formation and liquidity in the US Treasury market: The response to public information. The journal of Finance, 54(5), 1901-1915.Gagnon, J., Raskin, M., Remache, J., & Sack, B. (2011). The financial market effects of the Federal Reserve’s large-scale asset purchases. International Journal of Central Banking, 7(1), 45-52.Gürkaynak, R. S., & Wright, J. H. (2013). Identification and Inference Using Event Studies. The Manchester School, 81, 48-65. https://doi.org/10.1111/manc.12020Inoue, A., & Rossi, B. (2019). The effects of conventional and unconventional monetary policy on exchange rates. Journal of International Economics, 118, 419-447. https://doi.org/10.1016/j.jinteco.2019.01.015Krishnamurthy, A., & Vissing-Jorgensen, A. (2011). The effects of quantitative easing on interest rates: channels and implications for policy.Kuttner, K. N. (2018). Outside the box: Unconventional monetary policy in the great recession and beyond. Journal of Economic Perspectives, 32(4), 121-146.Mamaysky, H. (2020). Financial markets and news about the coronavirus. Available at SSRN 3565597.Miranda-Agrippino, S., & Ricco, G. (2021). The transmission of monetary policy shocks. American Economic Journal: Macroeconomics, 13(3), 74-107.Nakamura, E., & Steinsson, J. (2018). High-frequency identification of monetary non-neutrality: the information effect. The Quarterly Journal of Economics, 133(3), 1283-1330.Rebucci, A., Hartley, J. S., & Jiménez, D. (2020). An event study of COVID-19 central bank quantitative easing in advanced and emerging economies.Rigobon, R. (2003). Identification through heteroskedasticity. Review of Economics and Statistics, 85(4), 777-792.Rogers, J. H., Scotti, C., & Wright, J. H. (2014). Evaluating asset-market effects of unconventional monetary policy: a multi-country review. Economic Policy, 29(80), 749-799.Swanson, E. T., Reichlin, L., & Wright, J. H. (2011). Let`s Twist Again: A High-Frequency Event-Study Analysis of Operation Twist and Its Implications for QE2 [with Comments and Discussion]. Brookings Papers on Economic Activity, 151-207.Wu, J. C., & Xia, F. D. (2016). Measuring the macroeconomic impact of monetary policy at the zero lower bound. Journal of Money, Credit and Banking, 48(2-3), 253-291. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202101727 en_US
