美國量化寬鬆政策對台灣匯率市場之外溢效果

The Spillover Effects of United States Unconventional Monetary Policy on the Exchange Rate Market of Taiwan

陳冠潔(Kuan-Chieh Chen) ； 張興華(Hsing-Hua Chang)

《中國統計學報》 57卷1期 (2019/03) Pp. 71-86

摘要

2008年金融風暴影響全球金融市場，美國聯邦準備理事會（The Federal Reserve System, Fed）調降利率的同時，資金也大量釋出於國際市場，進而影響各國之金融市場。本研究發現，美國10年公債殖利率的調降對台灣匯率市場沒有直接的影響，而是間接關係，其原因是本國利率高於外國利率，吸引投資人將資金移轉，導致國內外匯存底大量增加，使新台幣承受升值的壓力。因此，在量化寬鬆（Quantitative easing, QE）政策期間，外匯存底扮演極重要的角色。除此之外，中央銀行對匯率市場的干預程度沒有顯著影響，其結果與我們一般的認知有所出入，推論可能的原因是本國貨幣在面臨升值壓力時，中央銀行雖然進場調整以穩定匯率，但仍無法將超額外匯供給消除，使得干預沒有達到預期的效果。

關鍵字

外溢效果 ； 中央銀行干預 ； 量化寬鬆政策

並列摘要

Due to the severity of the 2008 financial crisis, the Federal Reserves of the United States aggressively lowered policy rate to zero and adopted several ＂unconventional＂ monetary policies, including ＂Quantitative Easing＂. Literatures have long suggested that US monetary policies had strong spillover effects on foreign countries. The results show that indeed US monetary policies exert significant impacts on the Taiwanese economy. We also discuss the Taiwan's central bank's responses to these spillover effects. This study finds that the U.S. 10-year bond yield has no direct impact on the Taiwan exchange rate market. The reason is that the domestic interest rate is higher than the United States, it attracts investors to transfer funds, which makes the domestic foreign exchange reserves increase and the Taiwan dollar appreciates. Therefore, foreign exchange reserves play a very important role during the Quantitative easing (QE) policy. In addition, the central bank has no significant influence on the intervention of the exchange rate market. The result is different from our general perception. I conjecture that although the central bank adjusts to stabilize the exchange rate, it is still impossible to eliminate the extra excess supply, so that the intervention did not achieve the expect effect.

並列關鍵字

Spillover effect ； Central bank intervention ； Quantitative easing policy

參考文獻

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