- 學位論文
EPU對加密貨幣與法定貨幣波動性影響之研究
Empirical Study of EPU Impact on the Volatility of Cryptocurrency and Fiat Currency
摘要
近年來 學界已見蓬勃發展的研究探討經濟政策不確定性 (Economic Policy Uncertainty，簡稱EPU) 與多樣金融及經濟變數之間的關聯。投資者、政策制定者以及市場參與者深刻瞭解不確定性如何在經濟多方位產生影響，因此這一議題備受關注。例如，Abid（2020）1的研究專注於政治不確定性對韓國匯率預期所造成的影響，揭示了政治事件與貨幣波動間錯綜複雜的互動關係。而Yen和Cheng（2020）34的研究則深入探討EPU與加密貨幣，特別針對比特幣(Bitcoin)進行了關聯性的探究。同時，Almeida和Gonçalves（2022 ）2則着重指出不確定性在塑造數位資產市場的投資決策方面扮演著重要的角色。 在這樣的背景下，本研究專注於探究經濟政策不確定性（EPU）與加密貨幣市場，以及韓元（KRW）匯率波動之間的連結。透過採用多種回歸模型，研究揭示了韓國EPU指數對於市場上交易量最龐大的加密貨幣，包含比特幣（BTC）、乙太坊（ETH）、狗狗幣（DOGE）、瑞波幣（XRP）以及泰達幣（USDT）等，所產生之影響。此外，研究同樣探討了韓元波動性與韓國EPU指數之間的相關性。研究結果清晰呈現，韓國EPU指數與韓元波動性之間呈現出明顯的正向關聯。 研究進一步顯示，韓國EPU對於比特幣、乙太坊以及狗狗幣的波動性有著顯著的影響，然而在瑞波幣和泰達幣方面則未能發現相顯著的關聯性。鑑於此，投資者可於韓國經濟政策不確定性上升時，將USDT和XRP列為潛在的獲利機會。 本研究在加密貨幣市場背景下，為當前關於經濟政策不確定性對金融市場影響的研究補充了寶貴的一環。透過提供實證證據和深入洞見，本研究不僅對未來相關調查搭建了堅實的基礎，同時亦鼓勵後續學者更深入地剖析EPU、加密貨幣 場以及貨幣 率之間錯綜複雜的動態關聯。
並列摘要
There has been a growing body of research examining the relationship between economic policy uncertainty (EPU) and various financial and economic variables over recent years. It is imperative that investors, policymakers, and market participants understand how uncertainty affects different aspects of the economy. For instance, Abid (2020)1 examined the impact of political uncertainty on Korean exchange rate expectations, shedding light on the intricate dynamics between political events and currency movements. Yen and Cheng (2020)38 investigated the link between EPU and cryptocurrency volatility, particularly focusing on Bitcoin. Almeida & Gonçalves (2022)2 underscore the significance of uncertainty in shaping investment decisions in the digital asset market. The present study analyzes the relationship between economic policy uncertainty (EPU) and volatility in the cryptocurrency market as well as the South Korean won (KRW) exchange rate. Through analysis of the empirical results of various regression models, this study sheds light on the effects of South Korea's EPU on the most heavily traded cryptocurrencies, including Bitcoin (BTC), Ethereum (ETH), Dogecoin (DOGE), Ripple (XRP), and Tether (USDT). Additionally, it investigates the correlation between KRW volatility and South Korea's EPU. The findings reveal significant and positive correlations between South Korea's EPU index and the volatility of the South Korea Won (KRWV). Moreover, the results demonstrate that South Korea's EPU exerts a significant impact on the volatility of BTC, ETH, and DOGE, while no significant relationship is observed between EPU and the volatility of XRP and USDT. To capitalize on the observed relationship between EPU and cryptocurrency volatility, investors may consider USDT and XRP as potential options for generating profits during periods of rising economic policy uncertainty in South Korea. This research contributes to the existing literature on the impact of economic policy uncertainty on financial markets, particularly in the context of cryptocurrencies. By offering empirical evidence and insights, this study provides a foundation for further investigation and encourages future scholars to delve deeper into the intricate dynamics between EPU, cryptocurrency markets, and currency exchange rates.