經濟數據公佈對商品貨幣匯率的影響研究

A Study of the Effects of the Economic Indicators Releasing on the Commodity Currencies Exchange Rates.

施文堯(Wen-Yao Shih)

指導教授 ： 林建甫

國立臺灣大學/社會科學院/經濟學研究所/碩士(2014年)

https://doi.org/10.6342/NTU.2014.01382

摘要

本文目的在於研究經濟數據公佈，是否對於商品貨幣匯率的波動產生影響。我們先透過計算2008年1月至2014年5 月Intraday 每五分鐘離散時間匯率的變動，經由 z 值檢定，檢視匯率是否產生波動（jump）。透過中國、澳洲、加拿大及南非等五國，經濟數據公佈經過結果，與市場預期兩者的差異，與匯率是否波動建立迴歸模型，並藉由t檢定，檢視經濟數據對於匯率波動的影響是否顯著，最後藉由 Probit Model 估算當經濟數據超乎市場預期時，匯率波動的機率。
實證結果得知中國經濟數據當中，以匯豐銀行所公佈的中國製造業採購經理人指數最具代表性，當數據超乎市場預期時，公佈後的五分鐘，各商品貨幣均產生顯著波動，而中國官方的所公佈的製造業採購經理人指數次之，相較於其他同屬商品貨幣的四個國家所公佈的經濟數據，對於市場的影響更為廣泛，顯示中國的經濟數據在國際市場具有一定的影響力，但民間機構的經濟數據較官方所公佈的經濟數據更受信賴。

關鍵字

中國 ； 經濟數據 ； 匯率 ； 商品貨幣 ； 波動

並列摘要

This thesis investigated the effects of the economic indicators releasing on the commodity currencies exchange rates. We analyzed the intraday rate fluctuations at five-minute increment from the January of 2008 to the May of 2014. Then the jump of exchange rates was determined via z-value method. Based on the commodity currencies of Australia, Canada, and South Africa, we developed a regressive model to correlate the occurrence of exchange rate jump to the discrepancy between the announced China’s economic indicators and market expectation. Whether the effect of these economic indicators on the exchange rate jump was significant was determined by using t-value test. Finally, the probability of the exchange rate jump was estimated if these economic indicators exceeded marker expectation.
The analysis in this these shows that the HSBC Manufacturing Purchasing Managers Index（PMI）is the most representative among all given China economic indicators. When the HSBC PMI was announced and exceeded market expectation, all the commodity currencies significantly jumped at five minutes later. The PMI published by the China’s officials is the second representative indicator. It has more prominent influence on the market in comparison with the PMI’s published by the other four countries that also issue commodity currencies. The results indicator that Chinese economic indicators have substantial influence on the global market. But the indicators published by non-government institution are more trustworthy than official ones.

並列關鍵字

China ； economic indicator ； Foreign exchange rate ； commodity currency ； jump

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