貨幣政策對市場情緒指標之影響

The Effect of Monetary Policy on Sentiment Indicators

張雯華(Wen-Hua Chang)

指導教授 ： ARRAY(0xaa38308)

中原大學/商學院/企業管理研究所/碩士(2010年)

https://doi.org/10.6840/cycu201000761

摘要

摘要
本研究探討貨幣政策對情緒指標的影響，貨幣政策以重貼現率的變動率、存款準備率的變動率及公開市場操作為變數，分別以ARCH(1)及GARCH(1,1)模型來討論央行貨幣政策對市場情緒指標波動率指數(VIX)、賣買權比率(Put_Call ratio)、短線交易指數(TRIN)及多空市場指數(Bull_Bear spread)的影響，並且將貨幣政策區分為緊縮或寬鬆的政策，分別檢驗貨幣政策不同方向是否對投資人情緒會產生預期之效果。
利用ARCH(1)及GARCH(1,1)分析，結果發現央行的調降重貼現率與存款準備率，皆無法降低投資者的恐慌，而在央行的公開市場操作上，僅有在GARCH(1,1)模型下，估計到短期附買回交易操作對VIX有正向顯著的影響，表示央行短期的寬鬆公開市場操作反而會使VIX指數上升，亦即央行寬鬆貨幣政策非但無效，反而造成反效果。
而Fed長期的公開市場操作工具買賣斷交易淨額，則在ARCH與GARCH(1,1)模型下，發現其對賣買權比率有負向顯著影響，表示央行採取有效的寬鬆貨幣政策，將可有效使市場上賣買權比率的比率下降。在金融風暴期間，投資者仍對市場有信心，可見Fed長期的公開市場操作工具買賣斷交易是有效的貨幣政策，足以提供決策單位執行貨幣政策時重要之參考。

關鍵字

公開市場操作 ； 投資者情緒指標 ； 貨幣政策

並列摘要

Abstract
This research studies the effects of monetary policy on emotional index. By adopting the changes of re-discounted rates, the changes of deposit-reserve rates and open market operations as variables, this study examines monetary effect on VIX, Put Call Ratio, TRIN and Bull Bear Spread by means of ARCH and GARCH(1,1) models, respectively. Besides, the monetary policy is categorized into tight and loose ones, thereby figuring out whether or not different implementation may cause expectation on emotional index for investors.
Through ARCH (1) and GARCH (1,1) analyses, the result demonstrated that the decreases of re-discounted rate and deposit-reserve rate could not lower the panic of investors. Under the open market operation, the results of GARCH model showed that the positive significance relationship between short-run repurchase agreement on VIX, This represents that the loose open market operation conversely increases VIX, reflecting that loose monetary policy is not only ineffective, but also causes adverse result.
Fed’s long-term open market operation for outright purchase (OR) and outright sell (OS) contributed to the adverse effects on Put Call Ratio by using ARCH and GARCH models, This demonstrates that the loose monetary policy will effectively lower the Put Call ratio. During the period of financial crisis, investors still have confidence in the market; therefore, the Fed’s long-term market operation of OR and OS is an effective monetary tool providing a crucial reference for the adoption of monetary policy for policy makes.

並列關鍵字

Open Market ； Sentiment Indicators of Investor ； Monetary Policy

參考文獻

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