外匯市場流動性及共性分析

Foreign exchange liquidity and commonality analysis

詹曜瑛(Chan Yao-Ying)

指導教授 ： 林建秀

國立政治大學/商學院/金融學系/碩士(2020年)

https://doi.org/10.6814/NCCU202000577

摘要

在過去學者的研究中，關於流動性的主題大多還是集中於股票及債券市場上，因此本論文主要針對外匯市場流動性做探討，研究外匯流動性與需求面、供給面、市場面因素之關係，以及外匯流動性共性與國家特性之關係。
首先利用36個國家在1997年1月到2018年12月期間內外匯市場的匯率報價，計算出外匯流動性指標，根據縱橫資料迴歸的結果顯示，在需求面因素中，外匯流動性隨著美國總資本流動及VIX指數上升而下降；在供給面因素中，外匯流動性隨著TED利差、美國商業票據利差及美國銀行存款上升而下降；在市場面因素中，波動性變數對外匯流動性的解釋能力最好，外匯流動性隨著股票波動率及債券波動率上升而下降。
接著進一步利用外匯流動性指標，建構出外匯流動性共性指標，與代表國家特性的變數進行簡單迴歸及複迴歸，根據迴歸結果顯示，外匯存底越低、外匯報酬波動率越高、貨幣市場利率越高以及央行透明度越高的國家，外匯流動性共性越高，此外，已開發國家共性又比新興國家高。

關鍵字

外匯流動性 ； 流動性指標 ； 共性 ； 共性指標

並列摘要

In the past studies of scholars, most of the topics on liquidity are still concentrated on the stock and bond markets, so this paper mainly discusses the liquidity of the foreign exchange market, studying the relationship between foreign exchange liquidity and the demand-side, supply-side, market-side factors, and the relationship between the commonality of foreign exchange liquidity and country characteristics.
First, we use the exchange rate quotes of the foreign exchange market in the period from January 1997 to December 2018 in 36 countries to calculate the foreign exchange liquidity measure. According to the results of panel regressions : among demand-side factors, foreign exchange liquidity declines when U.S. capital flows and the VIX index rise; among supply-side factors, foreign exchange liquidity declines when TED spread, U.S. commercial paper spread, and U.S. bank deposits rise; among market-side factors, volatility variables have the best ability to explain foreign exchange liquidity, and foreign exchange liquidity declines when stock volatility and bond volatility increase.
Then, we further use the foreign exchange liquidity measure to construct an indicator of commonality in foreign exchange liquidity, and perform simple regression and multiple regression with variables representing the characteristics of the country. According to the results of regressions, countries with lower foreign reserve, higher volatility of foreign exchange rate returns, higher local money market interest rate and higher central bank transparency are positively related with commonality. In addition, developed countries have higher commonality than emerging countries.

並列關鍵字

Foreign exchange liquidity ； Liquidity measure ； Commonality ； Commonality indicator

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