全球匯率市場外溢效果之探討

Spillover Effects on Global Foreign Exchange Markets

曾虹瑋(Hung-Wei Tseng)

指導教授 ： 何耕宇

國立臺灣大學/管理學院/財務金融學研究所/碩士(2016年)

https://doi.org/10.6342/NTU201610215

摘要

過往匯率波動外溢效果實證多聚焦地緣(如歐元區、亞洲區)或主要貨幣(如英鎊、日圓及歐元)間，將多國貨幣同時納入分析者相當有限，且分析角度多由各貨幣出發。本論文嘗試將全球交易活絡之貨幣，依地緣、經濟體開發程度、商品貨幣進行分類，編成貨幣群組，藉其經濟意函，作為大型資金流之代理變數，並依此估計VAR 模型及進行衝擊反應函數分析。此法，除可掌握大型資金流、精簡參數外，也可嘗試提供經濟意涵之解釋。
本論文實證結果顯示：日圓與商品貨幣存在負向關聯，且日圓走勢攸關市場風險胃納之變化。以較長期的角度觀察，東亞先進經濟體之匯率反應通常較接近多頭或空頭末端，除可藉由商品貨幣走勢進行預測外，亦可藉由監測先進或開發中經濟體商品貨幣強勢程度之差別，進行後續走勢之判斷，通常較有足夠的時間反應。臺灣雖未能進入全球交易前20 名貨幣，惟因與東亞先進經濟體匯率(特別是韓元)走勢相關性高，仍可藉由前述方法，達到預警效果。

關鍵字

匯率 ； 報酬率 ； 因果檢定 ； 向量自我迴歸模型 ； 衝擊反應函數分析

並列摘要

Previous empirical studies regarding spillover effects of exchange rate markets mostly focus on the perspective of geography; most of them start with currency-oriented aspect. This dissertation seeks to classify the world’s actively
traded currencies into groups. Based upon the economic implication of the classification, this dissertation uses these currency groups as proxy for large cash flows, estimates VAR model, and conducts analysis of impulse response functions
accordingly.

The empirical results show that Japanese Yen (JPY) and commodity currencies are negatively correlated, and JPY takes stake in the variation of market risk appetite.In the long-term, the exchange rate of developed economies in East Asia generally reacts closer to bull market or towards the end of bear market. It is suggested that the trend of commodity currency can be used for forecast. Besides, by monitoring the
different level of commodity currencies’ strength among developed or developing economies, future trend can be deduced and sufficient reaction time may at disposal.Although Taiwan does not make it to rank as the world’s top 20 trading currencies, its high correlation with developed economies in East Asia, especially South Korean Won (KRW), makes the aforementioned method handy in signaling early warnings.

並列關鍵字

exchange rate ； exchange rate returns ； Granger Causality Test ； VAR ； impulse- response function

參考文獻

王春源、王昭偉，2011，〈中、日、韓三國外匯市場之共同波動、聯合干預及溢出效果〉，南亞學報，第31 期，頁325-344。

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