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| Title: | 美國量化寬鬆政策對商業銀行股價之影響- 暨資產負債表傳遞效果
The impact of the US QE policy on commercial bank stock returns - balance sheet channel |
| Authors: | 彭仲豪
Peng, Chung Hau |
| Contributors: | 江彌修
彭仲豪
Peng, Chung Hau |
| Keywords: | 論文
政大
量化寬鬆
商業銀行
資產負債表
thesis
NCCU
quantitative easing
commercial banks
balance sheet |
| Date: | 2014 |
| Issue Date: | 2015-07-01 14:44:37 (UTC+8) |
| Abstract: | 本研究致力於探討美國聯準會(FED)實施量化寬鬆政策(QE)與否，商業銀行資產負債表對於股價的影響。本文藉由總經指標(工業生產指數、製造業採購經理人指數)、利差變數(公司債利差、10年期公司債利差)，以及資產負債表變數(存款、貸款等)，對商業銀行股價進行解釋。並透過量化寬鬆政策(QE)的虛擬變數，了解該政策對股價的影響，以及實施該政策是否能夠改善資產負債表變數的顯著程度和影響方向。方法上，本文採用迴歸分析的方式進行實證分析。首先，研究以總經指標以及利差變數對股價進行解釋，且期間限定為量化寬鬆政策期間，藉此確認這兩類變數對股價的影響。後續則以加入資產負債表變數、量化寬鬆(QE)虛擬變數等，並將期間延伸至15年，以進一步釐清實施量化寬鬆(QE)政策的影響。本文實證結果顯示，美國量化寬鬆政策對於商業銀行股的股價有負面影響，且活期存款對股價的影響亦為負向。
The thesis focuses on the FED policy – Quantitative Easing (QE) and how the policy affect the S&P 500 commercial bank sub-index return. Based on past researches, the article includes macroeconomic variables (IP, PMI), term structure variables, bank balance sheet variables (deposits and loans), and a QE dummy variable. With these variables, the outcomes are generated by regression. It can be observed that with the implementation of QE policy, stock returns are negative on average. Moreover, large banks would benefit from provide more commercial loans; on the other hand, small banks would obtain a positive return by lending more consumer loans. Demand deposits are another significant variable which would have negative impact on stock returns. |
| Reference: | Ben S. Bernanke, and Kenneth N. Kuttner, (2005), “What Explains the Stock Market’s Reaction to Federal Reserve Policy,” Journal of Finance.
David Bowman, Fang Cai, Sally Davies, and Steven Kamin, (2011), “Quantitative Easing and Bank Lending: Evidence from Japan.”
Francisco Nunes Moutinho Salgado Ruano, (2013), “The Impact of the Quantitative Easing Programs on the North American Equity Market.”
Jorge A. Chan-Lau, Estelle X. Liu, and Jochen M. Schmittmann, (2012), “Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis.”
Jens H. E. Christensen, and James M. Gillan, (2013), Does Quantitative Easing Affect Market Liquidity.”
Mansor H. Ibrahim, (2006), “Stock Prices and Bank Loan Dynamics in a Developing Country: the Case of Malaysia,” Journal of Applied Economics.
Marco Spaltro, (2013), “The Impact of Quantitative Easing and Capital Requirements on Bank Lending: an Econometric Analysis,” 12-101
Nick Butt, Rohan Churm, Michael McMahon, Arpad Morotz, and Jochen Schanz, (2014), “QE and the Bank Lending Channel in the United Kingdom.”
Norbert Michel, and Stephen Moore, (2014), “Quantitative Easing, the Fed’s Balance Sheet, and Central Bank Insovency.”
Takeshi Kobayashi, Mark Spiegel, and Nobuyoshi Yamori, (2006), “Quantitative Easing and Japanese Bank Equity Values.” |
| Description: | 碩士
國立政治大學
金融研究所
101352032
103 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0101352032 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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Files in This Item:
| File |
Size | Format | |
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| 203201.pdf | 1339Kb | Adobe PDF2 | 610 | View/Open |
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