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| Title: | 外匯市場壓力指標對股票市場與匯率市場的影響 : 以已開發國家與新興市場國家為例
The Impact of EMPI on Stock and Foreign Exchange Markets: A Comparative Study of Developed and Emerging Economies |
| Authors: | 朱庭萱
Chu, Ting-Hsuan |
| Contributors: | 林建秀
Lin, Chien-Hsiu
朱庭萱
Chu, Ting-Hsuan |
| Keywords: | 外匯市場壓力指數
股票大盤報酬
即期匯率報酬
向量自回歸模型
已開發國家
新興市場國家
Exchange Market Pressure Index
stock market returns
VAR
exchange rate return
developed countries
emerging market countries |
| Date: | 2024 |
| Issue Date: | 2025-03-03 13:50:02 (UTC+8) |
| Abstract: | 本研究利用向量自我迴歸模型（VAR）加入外生變數的延伸模型（Vector Autoregression with Exogenous Variables，VARX）分析外匯市場壓力指數（Exchange Market Pressure Index，EMPI）對股票大盤報酬和即期匯率報酬的影響，涵蓋20個已開發國家和新興市場國家的數據。結果顯示，外匯市場壓力指數對股票大盤報酬的衝擊反應持續期數普遍較外匯市場壓力指數對即期匯率報酬的衝擊反應持續期數長。其中，已開發國家在應對外匯市場壓力指數衝擊時表現出較高的一致性和穩定性，相反，新興市場國家的恢復平穩期數較為分散，反映出應對外部衝擊的回應速度和穩定性存在顯著差異。
VARX模型的結果顯示，在大部分國家中，外匯市場壓力指數指數對即期匯率報酬呈顯著正相關，表示貨幣壓力指數的上升會導致即期匯率報酬增加，亦即貶值；外匯市場壓力指數指數對股票大盤報酬則呈現負相關，當該國貨幣壓力上升時，股票大盤報酬下降，多數國家的衝擊反應函數結果與VARX模型一致，僅有少數國家表現相反。這些結果為理解不同經濟體系在面對外部金融壓力時的表現提供了有價值的洞見，並有助於政策制定者在應對金融風險時做出更準確的決策。未來研究應進一步探討經濟結構、政策反應及市場成熟度對外匯市場壓力指數影響的機制，並考慮其他可能影響金融市場穩定的變數，如政治風險和國際資本流動等。
This study utilizes a Vector Autoregression model with Exogenous Variables (VARX) to analyze the impact of the Exchange Market Pressure Index (EMPI) on stock market returns and spot exchange rate returns, covering data from 20 developed and emerging market countries. The results indicate that the duration of EMPI's impact on stock market returns is generally longer than on spot exchange rate returns. Developed countries show higher consistency and stability in response to EMPI shocks, while emerging markets exhibit more varied recovery periods, reflecting significant differences in their response speed and stability to external shocks.
The VARX model results show a significant positive correlation between EMPI and spot exchange rate returns in most countries, indicating that an increase in currency pressure leads to higher spot exchange rate returns, i.e., depreciation. Conversely, EMPI has a negative correlation with stock market returns, where increased currency pressure results in lower stock market returns. Most countries' impulse response functions align with the VARX model, with a few exceptions showing opposite trends.
These findings provide valuable insights into how different economic systems respond to external financial pressures, aiding policymakers in making more informed decisions when addressing financial risks. Future research should explore the mechanisms of economic structure, policy response, and market maturity on EMPI's impact, and consider other variables that may affect financial market stability, such as political risk and international capital flows. |
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| Description: | 碩士
國立政治大學
金融學系
111352009 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111352009 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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