- 學位論文
美國升息對新興市場股價指數與匯率之相關性研究 : 以臺灣、韓國、印度為例
The Correlation Between U.S. Interest Rate Hikes and Emerging Market Stock Indices and Exchange Rates: A Case Study of Taiwan, South Korea, and India
摘要
自2020年疫情以來，全球實施大規模貨幣寬鬆政策，促使市場進入繁榮階段。然而，這也引發了嚴重的通貨膨脹問題。美國於2022年6月的CPI年增率達到9.1%，創下自1981年以來的最高水平。為了應對通膨壓力，美國聯邦準備理事會（Fed）於2022年3月17日進行了首次升息。由於美國是全球經濟的主要領導國，其經濟數據與貨幣政策往往對其他國家經濟體系產生重大影響，其中新興市場的影響程度尤為顯著。因此，本研究將採用ADF檢定、Granger因果檢定及回歸分析等方法，針對亞洲新興市場中的台灣、韓國與印度進行研究分析，試圖探討這三個國家的股市與匯市之間的關聯性。 本研究以美國聯邦準備理事會（Fed）於2022年3月17日進行首次升息時間點前後一年為時間切割點，分別利用ADF檢定、Granger因果檢定及回歸分析驗證股市與該國家貨幣兌美元是否相互影響與其關聯性。 本文實證發現:股市指數對匯率影響力有限，但匯率對股市指數影響力是顯著的，此外指數與其貨幣兌之間存在短期因果關係，且所有貨幣兌均領先於該國指數，同時股市指數對匯率具有負相關性。
並列摘要
Since the outbreak of the COVID-19 pandemic in 2020, large-scale monetary easing policies have been implemented globally, driving markets into a period of prosperity. However, this has also led to a severe inflation problem. In June 2022, the U.S. Consumer Price Index (CPI) recorded a year-on-year increase of 9.1%, the highest level since 1981. To address inflationary pressures, the Federal Reserve (Fed) implemented its first interest rate hike on March 17, 2022. As the United States is a leading global economic power, its economic data and monetary policies significantly impact other economies, with emerging markets being particularly affected. Therefore, this study employs methods such as the ADF test, Granger causality test, and regression analysis to analyze emerging markets in Asia, specifically Taiwan, South Korea, and India, aiming to explore the relationships between their stock markets and foreign exchange markets. This study uses the period one year before and one year after the Federal Reserve's first interest rate hike on March 17, 2022, as the timeframe for analysis. By applying the ADF test, Granger causality test, and regression analysis, it examines whether there is mutual influence and correlation between stock markets and the exchange rates of these countries' currencies against the U.S. dollar. The empirical findings of this study reveal that stock indices have limited influence on exchange rates, while exchange rates have a significant impact on stock indices. Furthermore, there is a short-term causal relationship between stock indices and their corresponding currency exchange rates, with all exchange rates leading the respective country's stock indices. Additionally, stock indices exhibit a negative correlation with exchange rates.