東京、倫敦、紐約，日圓兌美元通貨市場共整合關係之研究

The Cointegration Among Tokyo, London, New York Yen/Dollar currency Market

許志山(Chih-Shan Hsu)

指導教授 ： 俞海琴

中原大學/商學院/國際貿易研究所/碩士(2012年)

https://doi.org/10.6840/cycu201200052

摘要

摘要
　　本研究以日圓兌美元匯率報酬率在東京、倫敦、紐約外匯市場間之共整合關係為研究目的，研究期間1994年1月4日至2011年4月27日，使用向量自我迴歸模型(Vector Au-toregressions model)、衝擊反應函數分析、預測誤差變異數分解、Johansen共整合檢定實證分析亞洲金融風暴、日本實施寬鬆外匯管制、次級房貸危機三個事件，以三個事件為本研究時空背景，並將事件分為九個模式時段，探討各事件發生前後時段，對不同時區東京、倫敦、紐約外匯市場間所存在價格傳遞、資訊不對稱、領先及落後訊息、Granger因果關係及共整合關係為實證分析研究。
　　經實證分析結果，發現研究結果如下：
一、在金融風暴前，市場上對訊息敏感度皆較低，而風暴後敏感度皆提高，實施貨幣政策或資金挹注後，又恢復原來水準。
二、受金融風暴衝擊後，投資人或貿易商或避險者反應訊息，快速傳遞後，在落後4期至5期後為收斂。
三、在東京外匯市場受紐約外匯市場的影響較倫敦外匯市場可解釋比例為低。
四、在亞洲金融風暴後，倫敦、紐約外匯市場的共整合程度更高；而日本實施寬鬆外匯管制後，因正是亞洲金融風暴期間，倫敦與紐約共整合程度較不顯著；在次級房貸危機期間，歐美兩大匯市共整合關係較弱，長期仍會回到均衡水準，則表示具有高度共整合關係。
五、發現以紐約外匯市場較其他二個外匯市場為強勢及具效率性，較不受市場上任何落後或領先訊息所影響，而東京外匯市場上，易受到市場上落後或領先訊息所影響，倫敦次之，歸納本研究結果，紐約外匯市場屬於強勢，倫敦外匯市場屬於半強勢、東京外匯市場屬於弱勢。
綜上所述，當金融風暴發生時，東京外匯市場較其他市場容易受領先或落後訊息傳遞，而影響日圓匯率報酬率，紐約外匯市場具效率性，不易受其他市場所影響，且倫敦與紐約外滙市場共整合關係較高。

關鍵字

亞洲金融風暴 ； Japan's Deregulation ； 次級房貸危機 ； 共整合 ； 向量自我迴歸模型

並列摘要

The main purposes of research are the co-integration of return of the yen - dollar exchange rate among Tokyo, London, New York FX market. The research period from Jan. 4, 1994 to Apr. 27, 2011, using the empirical analysis of Vector Autoregressions Model, Impulse Response function analysis, Forecast Error Variance Decomposition, Johansen co-integration test for three events of the Asian financial crisis, Japanese deregulation and Subprime mortgage crisis. The research background is structure three events, and separate events into nine patterns. We investigate to exist price transmissions, information asymmetry, leading and lagging message, Granger causality and co-integration relationship between pre-event and post-event in Tokyo, London, New York FX market. The empirical analysis found that the results are as follows:
1. Before the financial crisis, the market’s sensitivity was relatively low. After the financial crisis, the market became more sensitive. After the implementation of monetary policy or increase the money supply, it was recovered the original level.
2. After Asian Financial Crisis, investors or traders or hedgers passed information very quickly. However, after four to five times-periods, the speed of information transmission was slow down.
3. The Tokyo FX market was affected by London FX market could be explained more clearly than Tokyo FX market was affected by the New York FX market.
4. After Asian Financial Crisis, the co-integration between London and New York FX market be-came higher. After Japan’s deregulation, it happened at the same time during the Asian Financial Crisis, the co-integration of London and New York FX market was not significant. During Sub-prime Mortgage Crisis, the weak co-integration between London and New York FX market was relatively lower. It still returns to the long-term balance level. It means that higher co-integration relations.
5. We found that the New York FX market was more strong and more efficient than the other. The New York FX market is not affected by leading or lagging information. The Tokyo FX market was affected by leading or lagging information more than London FX market. Summarized the conclusion of the research, New York FX market is strong, London FX market is semi-strong, and Tokyo FX market is weak.
The summary of this paper, when financial crisis happened, the return of yen-dollar in Tokyo FX market would be easily effected by leading or lagging information. The New York FX market was efficient, and it would not be affected by leading or lagging information easily. Also, the co-integration of New York and London FX markets is relatively higher.

並列關鍵字

Japan's Deregulation ； subprime mort-gage crisis ； Asian financial crisis ； Co-integration ； Vector Autoregressions Model

參考文獻

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