負利率政策對匯率影響之研究-馬可夫轉換模型之應用

本研究主要係探討負利率政策對匯率的影響，採用共6個國家(丹麥、瑞典、瑞士、日本、歐元區、美國)之相關數據，以泰勒法則(Taylor’s Rule)模型為基礎，運用時序變異特性的馬可夫轉換模型(Markov Regime Switching with Time Varying Transition Probabilities; MS-TVTP)，利用Matlab統計軟體進行分析，研究丹麥、瑞典、瑞士及日本四個國家施行負利率政策對匯率升貶之影響，以瞭解並驗證負利率政策對匯率升貶所造成的效果。實證結果發現，丹麥和瑞典施行負利率政策對有效匯率發生貶值效果，而瑞士及日本則不發生貶值影響，施行負利率後，甚至還發生升值情形。另外，從研究中也可以發現，以時序變異特性的馬可夫轉換模型大致可分析匯率升貶轉換之情形，於負利率施行當下，均可發現匯率較大幅升貶變動。而時序變異特性的馬可夫轉換模型所預測之平滑機率亦可明顯看出機率轉換的情形，可見此模型用以估計匯率變動轉換可觀察到較明顯的效果。

關鍵字

負利率；時序變異特性馬可夫轉換模型；泰勒法則；匯率

並列摘要

This study focuses on the impact of negative policy rates on the exchange rates. I use the data of six countries, including Denmark, Sweden, Switzerland, Japan, the euro area, and the United States. The study is based on Taylor's Rule model and Markov Regime Switching with Time Varying Transition Probabilities model(MS-TVTP), and using Matlab to analyze the influences of negative interest rate policy on the exchange rate in Denmark, Sweden, Switzerland and Japan. In order to understand the effect of the negative interest rate policy. The result shows that the negative policy rate in Denmark and Sweden has an effect on the depreciation of the currency, while Switzerland and Japan do not have the same effect. On the other hand, the result shows the appreciation situation in Switzerland and Japan. In addition, the study shows that the Markov Regime Switching with Time Varying Transition Probabilities model has pretty good analysis ability of the depreciation or appreciation of the currency. When going into the negative interest rate situation, it can be found a substantial increase or decrease in exchange rate, and it can also be found that significant regime switching in the movements of the currency. So we can use this model to estimate the impact on the change of the exchange rate.

並列關鍵字

Negative policy rates ； Markov regime switching with time varying transition probabilities model ； MS-TVTP ； Exchange rate

參考文獻

沈中華，2016，「負利率的時代」，兩岸金融季刊，4(3)，91-108。

Blinder, A. S., 2012, “Revisiting monetary policy in a low inflation and low utilization environment”, Journal of Money, Credit and Banking, 44(1), 141-146.

Buiter, W. H., 2009, “Negative nominal interest rates: Three ways to overcome the zero lower bound”, The North American Journal of Economics and Finance, Elsevier, 20(3), 213-238.

Buiter, W. H. and Panigirtzoglou, N., 2003, “Overcoming the zero bound on nominal interest rates with negative interest on currency: Gesell’s solution”, The Economic Journal, 113, 723-746.

Callesen, P., 2013, Speech, ICMA Conference.

國際替代計量

負利率政策對匯率影響之研究-馬可夫轉換模型之應用

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