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題名 經濟基本面與市場預測分歧對匯率變動的影響
The Impact of Economic Fundamentals and Survey-Based Forecast Dispersion on Exchange Rate Movements作者 鄭鈺靜
Cheng, Yu-Jing貢獻者 林建秀
Lin, Chien-Hsiu
鄭鈺靜
Cheng, Yu-Jing關鍵詞 經濟基本面
脆弱度指數
預期分歧
外匯
Economic fundamentals
Vulnerability index
Forecast dispersion
Exchange rate日期 2025 上傳時間 1-七月-2025 15:16:00 (UTC+8) 摘要 本研究探討各國經濟基本面脆弱度、市場匯率預期與分歧程度，對新冠疫情與利率上升時期匯率變動的解釋力差異，並進一步區分非常規貨幣政策(量化寬鬆)與常規貨幣政策(利率調整)下的傳導機制。樣本涵蓋24個國家，採用Ahmed等人(2017)的方法建構各國的經濟基本面脆弱度指標，結合市場預測資料(計算預期值與分歧程度)與控制變數進行實證分析。 實證結果顯示: 一、代表常規貨幣政策之利率上升時期的經濟基本面對匯率變動的解釋力高於非常規貨幣政策之新冠疫情時期，但其顯著性主要受單一變數(外匯存底變動)驅動；二、在控制各國經濟基本面後，市場預測資料能提升模型解釋力，且在兩個期間皆成立；三、迴歸結果顯示市場參與者在形成匯率預期時，可能並非僅依賴傳統經濟基本面資訊，而是受到其他市場資訊或投資人行為的影響。
This research intends to investigate the relationship among countries’ macroeconomic vulnerability, survey-based exchange rate expectations, disagreement, and exchange rate performance during two distinct monetary policy episodes: the COVID-19 pandemic and the period of interest rate hikes. In particular, this research differentiates between the transmission mechanisms under unconventional monetary policy (quantitative easing) and conventional monetary policy (interest rate hikes). Based on a sample of 24 countries, we build countries’ vulnerability indexes following Ahmed et al. (2017). We then conduct panel regressions by incorporating survey-based exchange rate expectations (mean and disagreement) while conditioning on a set of control variables. The empirical results reveal three main findings. First, macroeconomic fundamentals exhibit stronger explanatory power for exchange rate movements during the interest rate hiking period—representing conventional monetary policy—compared to the COVID-19 pandemic period. However, this explanatory power is primarily driven by a single variable: changes in foreign exchange reserves. Second, after controlling for countries’ macroeconomic fundamentals, the inclusion of survey-based exchange rate expectations significantly enhances the explanatory power of the model in both periods. Finally, the results of the regression suggest that when forming exchange rate expectations, market participants may not rely solely on traditional macroeconomic information, but are also influenced by other market informations or investor behavior.參考文獻 Ahmed, S., Coulibaly, B. and Zlate, A. (2017). International financial spillovers to emerging market economies: How important are economic fundamentals? Journal of International Money and Finance 76, 133-152. Aizenman, J., Binici, M. and Hutchison, M. (2016). The transmission of federal reserve tapering news to emerging financial markets. International Journal of Central Banking 12 (2), 318–356. Anderson, E., Ghysels, E. and Juergens, J. (2005). Do heterogenous beliefs matter for asset pricing? Review of Financial Studies 18, 875–924. Basak, S. (2000). A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk. Journal of Economic Dynamics and Control 24, 63–95. Basak, S. (2005). Asset pricing with heterogenous beliefs. Journal of Banking and Finance 29, 2849–2881. Beber, A., Breedon, F. and Buraschi, A. (2010). Differences in beliefs and currency risk premiums. Journal of Financial Economics 98, 415-438. Buraschi, A. and Jiltsov, A. (2006). Model uncertainty and option markets with heterogenous agents. Journal of Finance 61, 2841–2897. Chari, A., Stedman, K. D. and Lundblad, C. (2021). Taper tantrums: quantitative easing, its aftermath, and market capital flows. The Review of Financial Studies 34 (3), 1445–1508. Detemple, J. and Murthy, S. (1994). Intertemporal asset pricing with heterogeneous beliefs. Journal of Economic Theory 62, 294–320. Diether, K., Malloy, C. and Scherbina, A. (2002). Differences of opinion and the crosssection of stock returns. Journal of Finance 57, 2113–2141. Eichengreen, B. and Gupta, P. (2015). Tapering talk: the impact of expectations of reduced federal reserve security purchases on emerging markets. Emerging Markets Review 25, 1–15. Kaminsky, G. L., Lizondo, C. M. and Reinhart, S.(1997). Leading indicators of currency crises. IMF Working Paper No. 1997/79. Meese, R. A. and Rogoff, K. (1983). Empirical exchange rate models of the seventies: do they fit out of sample? Journal of International Economics 14, 3-24. Miller, E. (1977). Risk, uncertainty, and divergence of opinion. Journal of Finance 32, 1151–1168. Mishra, P., Moriyama, K., N’Diaye, P. M. and Nguyen, L. (2014). Impact of Fed tapering announcements on emerging markets. IMF Working Paper No. 2014/109. Qu, S., Starks, L. and Yan, H. (2003). Risk, dispersion of analyst forecasts and stock returns. Unpublished working paper, University of Texas Austin. Zapatero, F. (1998). Effects of financial innovations on market volatility when beliefs are heterogeneous. Journal of Economic Dynamics and Control 22, 597–626. 描述 碩士
國立政治大學
金融學系
112352003資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112352003 資料類型 thesis dc.contributor.advisor 林建秀 zh_TW dc.contributor.advisor Lin, Chien-Hsiu en_US dc.contributor.author (作者) 鄭鈺靜 zh_TW dc.contributor.author (作者) Cheng, Yu-Jing en_US dc.creator (作者) 鄭鈺靜 zh_TW dc.creator (作者) Cheng, Yu-Jing en_US dc.date (日期) 2025 en_US dc.date.accessioned 1-七月-2025 15:16:00 (UTC+8) - dc.date.available 1-七月-2025 15:16:00 (UTC+8) - dc.date.issued (上傳時間) 1-七月-2025 15:16:00 (UTC+8) - dc.identifier (其他 識別碼) G0112352003 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/157828 - 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) 112352003 zh_TW dc.description.abstract (摘要) 本研究探討各國經濟基本面脆弱度、市場匯率預期與分歧程度，對新冠疫情與利率上升時期匯率變動的解釋力差異，並進一步區分非常規貨幣政策(量化寬鬆)與常規貨幣政策(利率調整)下的傳導機制。樣本涵蓋24個國家，採用Ahmed等人(2017)的方法建構各國的經濟基本面脆弱度指標，結合市場預測資料(計算預期值與分歧程度)與控制變數進行實證分析。 實證結果顯示: 一、代表常規貨幣政策之利率上升時期的經濟基本面對匯率變動的解釋力高於非常規貨幣政策之新冠疫情時期，但其顯著性主要受單一變數(外匯存底變動)驅動；二、在控制各國經濟基本面後，市場預測資料能提升模型解釋力，且在兩個期間皆成立；三、迴歸結果顯示市場參與者在形成匯率預期時，可能並非僅依賴傳統經濟基本面資訊，而是受到其他市場資訊或投資人行為的影響。 zh_TW dc.description.abstract (摘要) This research intends to investigate the relationship among countries’ macroeconomic vulnerability, survey-based exchange rate expectations, disagreement, and exchange rate performance during two distinct monetary policy episodes: the COVID-19 pandemic and the period of interest rate hikes. In particular, this research differentiates between the transmission mechanisms under unconventional monetary policy (quantitative easing) and conventional monetary policy (interest rate hikes). Based on a sample of 24 countries, we build countries’ vulnerability indexes following Ahmed et al. (2017). We then conduct panel regressions by incorporating survey-based exchange rate expectations (mean and disagreement) while conditioning on a set of control variables. The empirical results reveal three main findings. First, macroeconomic fundamentals exhibit stronger explanatory power for exchange rate movements during the interest rate hiking period—representing conventional monetary policy—compared to the COVID-19 pandemic period. However, this explanatory power is primarily driven by a single variable: changes in foreign exchange reserves. Second, after controlling for countries’ macroeconomic fundamentals, the inclusion of survey-based exchange rate expectations significantly enhances the explanatory power of the model in both periods. Finally, the results of the regression suggest that when forming exchange rate expectations, market participants may not rely solely on traditional macroeconomic information, but are also influenced by other market informations or investor behavior. 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 2 第二章 文獻探討 3 第一節 國家脆弱度與金融狀況之間的關係 3 第二節 市場匯率預測資料對預期報酬的解釋力 4 第三章 研究方法 5 第一節 研究資料 5 第二節 資料敘述統計 8 第三節 迴歸分析 12 第四章 研究結果 16 第一節 經濟基本面與匯率變動關係 16 第二節 匯率變動的預測在加入市場預測資料後的變化 21 第三節 市場預測資料與經濟基本面之間的關係 31 第五章 結論 35 參考文獻 37 附錄 39 zh_TW dc.format.extent 2082966 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112352003 en_US dc.subject (關鍵詞) 經濟基本面 zh_TW dc.subject (關鍵詞) 脆弱度指數 zh_TW dc.subject (關鍵詞) 預期分歧 zh_TW dc.subject (關鍵詞) 外匯 zh_TW dc.subject (關鍵詞) Economic fundamentals en_US dc.subject (關鍵詞) Vulnerability index en_US dc.subject (關鍵詞) Forecast dispersion en_US dc.subject (關鍵詞) Exchange rate en_US dc.title (題名) 經濟基本面與市場預測分歧對匯率變動的影響 zh_TW dc.title (題名) The Impact of Economic Fundamentals and Survey-Based Forecast Dispersion on Exchange Rate Movements en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Ahmed, S., Coulibaly, B. and Zlate, A. (2017). International financial spillovers to emerging market economies: How important are economic fundamentals? Journal of International Money and Finance 76, 133-152. Aizenman, J., Binici, M. and Hutchison, M. (2016). The transmission of federal reserve tapering news to emerging financial markets. International Journal of Central Banking 12 (2), 318–356. Anderson, E., Ghysels, E. and Juergens, J. (2005). Do heterogenous beliefs matter for asset pricing? Review of Financial Studies 18, 875–924. Basak, S. (2000). A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk. Journal of Economic Dynamics and Control 24, 63–95. Basak, S. (2005). Asset pricing with heterogenous beliefs. Journal of Banking and Finance 29, 2849–2881. Beber, A., Breedon, F. and Buraschi, A. (2010). Differences in beliefs and currency risk premiums. Journal of Financial Economics 98, 415-438. Buraschi, A. and Jiltsov, A. (2006). Model uncertainty and option markets with heterogenous agents. Journal of Finance 61, 2841–2897. Chari, A., Stedman, K. D. and Lundblad, C. (2021). Taper tantrums: quantitative easing, its aftermath, and market capital flows. The Review of Financial Studies 34 (3), 1445–1508. Detemple, J. and Murthy, S. (1994). Intertemporal asset pricing with heterogeneous beliefs. Journal of Economic Theory 62, 294–320. Diether, K., Malloy, C. and Scherbina, A. (2002). Differences of opinion and the crosssection of stock returns. Journal of Finance 57, 2113–2141. Eichengreen, B. and Gupta, P. (2015). Tapering talk: the impact of expectations of reduced federal reserve security purchases on emerging markets. Emerging Markets Review 25, 1–15. Kaminsky, G. L., Lizondo, C. M. and Reinhart, S.(1997). Leading indicators of currency crises. IMF Working Paper No. 1997/79. Meese, R. A. and Rogoff, K. (1983). Empirical exchange rate models of the seventies: do they fit out of sample? Journal of International Economics 14, 3-24. Miller, E. (1977). Risk, uncertainty, and divergence of opinion. Journal of Finance 32, 1151–1168. Mishra, P., Moriyama, K., N’Diaye, P. M. and Nguyen, L. (2014). Impact of Fed tapering announcements on emerging markets. IMF Working Paper No. 2014/109. Qu, S., Starks, L. and Yan, H. (2003). Risk, dispersion of analyst forecasts and stock returns. Unpublished working paper, University of Texas Austin. Zapatero, F. (1998). Effects of financial innovations on market volatility when beliefs are heterogeneous. Journal of Economic Dynamics and Control 22, 597–626. zh_TW
