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| Title: | 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 |
| Authors: | 曾致霖 |
| Contributors: | 林建秀
曾致霖 |
| Keywords: | 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 |
| Date: | 2019 |
| Issue Date: | 2019-08-07 16:14:08 (UTC+8) |
| Abstract: | 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. |
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| Description: | 碩士
國立政治大學
金融學系
106352024 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G1063520241 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU201900162 |
| Appears in Collections: | [金融學系] 學位論文
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