| dc.contributor.advisor | 張元晨 | zh_TW |
| dc.contributor.advisor | JHANG,YUAN-CHEN | en_US |
| dc.contributor.author (Authors) | 林謙 | zh_TW |
| dc.contributor.author (Authors) | Lin, Chien | en_US |
| dc.creator (作者) | 林謙 | zh_TW |
| dc.creator (作者) | Lin, Chien | en_US |
| dc.date (日期) | 2022 | en_US |
| dc.date.accessioned | 1-Aug-2022 17:19:53 (UTC+8) | - |
| dc.date.available | 1-Aug-2022 17:19:53 (UTC+8) | - |
| dc.date.issued (上傳時間) | 1-Aug-2022 17:19:53 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0109357026 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/141026 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理學系 | zh_TW |
| dc.description (描述) | 109357026 | zh_TW |
| dc.description.abstract (摘要) | 美國匯率操縱國報告為行之有年且最具影響力的匯率干預措施之一，但該報告的型式與效力皆於不同時期持續變化，本研究嘗試以通用的標準判別各期報告的指證程度，在不同情境下對被指證國家的匯率和股市的影響。本論文實證結果發現匯率操縱國指證對於被指證國家匯率的影響為程度最為嚴厲的對台灣匯率造成顯著升值效果，對比指證於不同時間段的效力後發現，2016年之前的指證於大部分國家效力較2016後的更為強烈。本部分也將市場對指證結果的預期與政治因素納入考量，發現程度較預期更嚴重的指證對曾被直接指認的國家匯率升值效力更明顯，並且美國共和黨執證時期的指證通常較美國民主黨執政時期更為有效。另外本研究也發現匯率操縱國指證對目標國股市的影響為程度嚴重的指證對大部分國家造成股價報酬率下滑的效果，而在將市場報酬率與匯率變動率納入控制變數後，使股價報酬率下滑的影響不再顯著，並且將市場對指證結果的預期納入考量後發現，超出預期程度的指證可能造成股價報酬率上升，但此效果於將市場報酬率與匯率變動率納入控制變數後不再顯著。 | zh_TW |
| dc.description.abstract (摘要) | The US exchange rate manipulator report is one of the most influential exchange rate intervention measures, but the format and effectiveness of the report changed over time. This study attempts to use a common standard to judge the severity of the allegations in each report and measure the impact of these reports under different circumstances.Results show that the the most severe allegations have a significant appreciation effect on Taiwan`s exchange rate. Comparing the effects of the allegations in different periods, we found that the allegations before 2016 are more effective in most countries than those after 2016. We also take into account the market’s expectations of the allegations and political factors and found that the more serious unexpected allegation leads to appreciations of the exchange rate of countries that have been directly identified as currency manipulators, and allegations during the Republican Party administrations is usually more effective than the allegation of the Democratic Party.The empirical results also show that more severe allegation decreased the stock prices in most countries. When market return and exchange rate change are included as control variables, the effect of price returns disappears in countries that have not been directly accused of being currency manipulators. And after taking into account the market’s expectations, we found that the more serious unexpected allegation leads to appreciations of the stock prices, but his effect is no longer significant after the market return rate and the exchange rate change are included as control variables. | en_US |
| dc.description.tableofcontents | 第一章 緒論 8第一節 研究背景及動機 8第二節 研究目的 9第三節 研究架構 9第二章 文獻回顧 10第三章 研究方法 12第一節 匯率操縱指證樣本描述 12第二節 匯率操縱指證對匯率影響及其有效性 14第三節 匯率操縱指證預期效應對有效性影響 15第四節 政治因素對匯率操縱指證有效性影響 16第五節 匯率操縱指證對股市影響 16第四章 實證結果 18第一節 匯率影響有效性實證結果 18第二節 預期效應對有效性影響實證結果 21第三節 政治因素對有效性影響實證結果 21第四節 股市影響實證結果 22第五章 結論與建議 25第一節 結論 25第二節 未來研究建議 26第六章 附錄 28第七章 參考文獻 29 | zh_TW |
| dc.format.extent | 1220633 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0109357026 | en_US |
| dc.subject (關鍵詞) | 匯率 | zh_TW |
| dc.subject (關鍵詞) | 匯率操縱國 | zh_TW |
| dc.subject (關鍵詞) | Exchange rate | en_US |
| dc.subject (關鍵詞) | US exchange rate manipulator report | en_US |
| dc.title (題名) | 美國匯率操縱國指證對被指證國家匯率與股市的影響 | zh_TW |
| dc.title (題名) | Impact of US currency manipulator allegations on designated4 countries’ exchange rates and stock markets | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | Bergsten, C. F., & Gagnon, J. E. (2012). Currency manipulation, the US economy, and the global economic order. Washington, DC: Peterson Institute for International Economics, 12-25.Frankel, J. A., & Wei, S. J. (2007). Assessing China`s exchange rate regime. Economic Policy, 22(51), 576-627.Gadanecz, B., Mehrotra, A. N., & Mohanty, M. S. (2014). Foreign exchange intervention and the banking system balance sheet in emerging market economies. BIS Working PapersGriswold, D. (2006). Who`s Manipulating Whom?: China`s Currency and the US Economy. Cato Institute`s Center for Trade Policy Studies.Henning, C. R. (2007). Congress, Treasury, and the accountability of exchange rate policy: How the 1988 Trade Act should be reformed. Peterson Institute for International Economics Working Paper, (07-8).Jorion, P. (1990). The exchange-rate exposure of US multinationals. Journal of Business, 331-345.Madeira, C., & Madeira, J. (2019). The effect of FOMC votes on financial markets. Review of Economics and Statistics, 101(5), 921-932.Mishra, P., N’Diaye, P., & Nguyen, L. (2018). Effects of Fed announcements on emerging markets: What determines financial market reactions?. IMF Economic Review, 66(4), 732-762.Noland, M. (1997). Chasing phantoms: The political economy of USTR. International Organization, 51(3), 365-387.Rosa, C. (2013). The financial market effect of FOMC minutes, FRBNY Economic Policy Review.Sikarwar, E. (2020). Forex interventions and exchange rate exposure: Evidence from emerging market firms. Economic Modelling, 93, 69-81. | zh_TW |
| dc.identifier.doi (DOI) | 10.6814/NCCU202200818 | en_US |
