政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/111734

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/111734

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政大典藏 > College of Commerce > Department of Finance > Theses > Item 140.119/111734

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/111734

Title:	市場對政治的反應: 美國總統大選對墨西哥幣的影響 Market responses to politics: The impact of U.S. presidential elections on the Mexican Peso
Authors:	吳艾庭 Wu, Ai Ting
Contributors:	張元晨吳艾庭 Wu, Ai Ting
Keywords:	墨西哥幣川普希拉蕊美國總統大選 Mexican Peso Donald Trump Hillary Cliton U.S. presidential election
Date:	2016
Issue Date:	2017-08-10 09:44:24 (UTC+8)
Abstract:	許多文獻已經研究過政治事件和外匯市場之間的關聯性。然而，較少研究聚焦在一個國家的政治事件是如何影響另外一個國家的匯率。因此，本文章主要在探討2016美國總統大選如何影響墨西哥幣兌美元的走勢。我們使用EGARCH 模型來衡量美國總統候選人的民調對匯率的平均或波動所造成的影響。實證結果發現美國總統大選會對墨西哥幣兌美元產生較大的波動，希拉蕊的民調增加也會造成墨西哥幣的升值。因此，本文檢驗政治活動會對外匯市場產生影響的假說，也進一步提出實證結果支持一國的匯率會受到他國政治因素牽動的看法。 Many articles have shown the relationship between political events and currency markets. Nevertheless, few studies provide empirical evidence on how one country’s political elections have impact on movements of exchange rate in other country. In this paper, we attempt to provide some empirical results by analyzing the impact of the 2016 United States presidential election on Mexico’s currency market. We use EGARCH models to estimate the influence of recent U.S. presidential candidates have on the mean and the variance of the Mexican foreign exchange market. We find statistically significant evidence that U.S. presidential election is associated with higher volatility of Mexico’s currency market, and the increase in the chance for a Clinton to win has positive impact on mean return of the peso-dollar exchange rate. These findings offer important insights into the expected impact of the United States presidential elections on the Mexican peso and more generally, the relationship between political events and foreign exchange market.
Reference:	Bachman, D. (1992). The effect of political risk on the forward exchange bias: The case of elections. Journal of International Money and Finance 11, 208-219. Bernhard, W., and Leblang, D. (2006a). Polls and pounds: Public opinion and exchange rate behavior in Britain. Quarterly Journal of Political Science 1, 25-47. Bernhard, W., and Leblang, D. (2006b). Parliamentary politics and foreign exchange markets: The world according to GARCH. International Studies Quarterly 50, 69-92. Blomberg, S.B., and Hess, G.D. (1997). Politics and exchange rate forecasts. Journal of International Economics 43, 189-205. Freeman, J.R., Hays, J.C., and Stix, H. (2000). Democracy and Markets: The case of exchange rates. American Journal of Political Science 44 (3), 449-468. Fornari, F., Monticelli, C., Pericoli, M., and Tivegna, M. (2002). The impact of news on the exchange rate of the lira and long-term interest rates. Economic Modelling 19 (4), 611-639. Glosten, L.R., Jagannathen, R., and Runkle, D.E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance 48 (5), 1779-1801. Hanna, R., Rohm, A., and Crittenden, V.L. (2001). We’re all connected: The power of the social media ecosystem. Business Horizons 54(3), 265-273. Herron, C.M.., Lavin, J., Cram, D., and Silver, J. (1999). Measurement of political effects in the United States economy: A study of the 1992 presidential election. Economics and Politics 11(1), 51-81. Jensen, N.M., and Schmith, S. (2005). Market responses to politics: The rise of Lula and the decline of the Brazilian stock market. Comparative Political Studies 38(10), 1245-1270. Kim, S.J. (1998). Do Australian and the US macroeconomic news announcements affect the USD/AUD exchange rate? Some evidence from E-GARCH estimations. Journal of Multinational Financial Management 8, 233-248. Lobo, B.J., and Tufte, D. (1998). Exchange rate volatility: Does politics matter? Journal of Macroeconomics 20(2), 351-365. Roberts, B.E. (1990). Political institutions, policy expectations and the 1980 election: A financial market perspective. American Journal of Political Science 43, 289-310. Sabherwal, S., Sarkar, S.K., and Uddin, M.R. (2016). Political party affiliation of the president, majority in congress, and sin stock returns. Financial Management, forthcoming.
Description:	碩士國立政治大學財務管理研究所 104357004
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0104357004
Data Type:	thesis
Appears in Collections:	[Department of Finance] Theses

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