聯準會的量化寬鬆政策對於外匯市場交易量之影響

The Effect of FED’s Quantitative Easing Policy on Foreign Exchange Turnover

陳怡君(I-Chun Chen)

指導教授 ： 蕭榮烈

國立臺北大學/商學院/國際企業研究所/碩士(2013年)

摘要

自2007年次級房貸風暴和2008年全球金融海嘯後，全球經濟陷入低迷，美國聯準會為了挽救美國金融機構和金融體系，提高就業水平及幫助經濟走出通縮陰影，開始實施一連串的貨幣寬鬆政策。本研究參考國際清算銀行每三年一度對於外匯交易量之研究分析，使用追蹤資料模型和近似無關迴歸模型，利用總體經濟變數及量化寬鬆政策效果來探討其對於外匯期貨市場交易量之影響。

本研究結果顯示，利率差和匯率波動對於外匯期貨交易量具有顯著正向關係，推測當利率差和匯率波動越大，將會產生有利可圖的套利行為，誘使國際熱錢和投資人的資金流入外匯市場，造成交易量增加。而股價指數和10年期政府債殖利率對於外匯期貨交易量則為顯著反向關係，可能的解釋為熱錢往往流向報酬率較高的地方，因此當股市或債市報酬率較高時，外匯期貨交易量會因此減少。另外本研究利用虛擬變數進行分析，其結果顯示外匯期貨交易量具有顯著之量化寬鬆效果。

關鍵字

量化寬鬆 ； 外匯期貨交易量 ； 追蹤資料模型 ； 近似無關迴歸模型

並列摘要

After the subprime mortgage crisis in 2007 and the global financial crisis in 2008, FED began to use the quantitative easing monetary policy in order to save American financial institutions and the financial system. This study according to BIS triennial survey used Panel model and SUR model to discuss the effect of macroeconomic variables and QE policy on foreign exchange turnover.

Our results show that interest differential and exchange rate variation have positive relationship on FX turnover because of the international enterprises’ hedging activity and leveraged players’ arbitrage behavior. The stock index return and bond yields have negative relationship on FX turnover because when returns on stocks and bonds reduced, investors will find the currency strategies in the foreign exchange to be quite profitable. Besides, we use the dummy variable in our panel model and the result show that the FX turnover had “QE effect.”

並列關鍵字

Quantitative Easing ； QE Policy ； Foreign exchange turnover ； Panel data Model ； Seemingly unrelated regressions model

參考文獻

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