摘要
美聯儲實施量化寬鬆貨幣政策對全球經濟發展具深遠影響力。國際投資客藉由低利環境進行利差交易，借出低利美元轉往投資高利率高收益貨幣，或因避險需求將資金轉投入低利率避險性貨幣之中，因而大量的美元流竄出美國本土，影響其他國家匯率與股價的波動。本文特別選取高利率國家南非、澳洲及低利率國家日本、瑞士2004/8/1-2013/5/31的股匯市日資料 ，對變數進行ADF 單根檢定、VAR模型檢測、透過Granger因果關係檢定，衝擊反應函數分析及預測誤差變異數分解，針對該事件發生前與發生期間對一國股匯市互動因果關係及動態資訊傳遞影響過程的變化做出分析。 比較美國QE政策實施前與實施期間，四國股價指數與匯率二變數的相互影響關係：Granger 因果關係檢定結果，在南非，二變數關係由原先無顯著相互影響關係改變成匯率對股價指數具有單向領先因果關係。在澳洲，二變數由具有雙向回饋之因果關係改變成匯率對股價指數具有單向領先之因果關係。在日本，二變數關係由原先匯率對股價指數具有單向領先之因果關係轉變成二變數呈現雙向的回饋關係。衝擊反應分析結果，南非及澳洲的股價指數與匯率的相互衝擊影響在第一期為正向反應，日本及瑞士的股價指數與匯率的相互衝擊影響在第一期為負向反應，在美國QE期間，四國的股價指數與匯率二變數間的衝擊干擾皆屬於短期效果。預測誤差變異數分解結果，四國的股價指數與匯率二變數，第一期自我的解釋能力均最高，二變數間的相互解釋能力隨期數的增加而增加。在南非與澳洲，匯率對股價指數的解釋能力有提高情形。在日本與瑞士，股價指數對匯率的解釋能力有提高情形。
並列摘要
The study investigates the variation between foreign exchange rates and stock indexes for four countries prior to and during U.S. monetary quantitative easing (QE). During the period of QE, an investor can make profits through loaning out U.S. dollars and investing in high-yield currencies such as South Africa dollar and Australia dollar. Also, they can invest in low-rate currencies such as Japanese yen and Switzerland dollar for hedge purpose. This study examines the relationship between exchange rates and stock prices in South Africa, Australia, Japan, and Switzerland, respectively, with daily data during two sample periods 2004/8/1-2008/12/23 (before QE) and 2008/12/24-2013/5/31 (during QE) via Augmented Dickey-Fuller unit root tests, Vector Autoregressive models, Granger causality tests, impulse responses, and variance decompositions. The result of the Granger causality test shows that, in South Africa, the relationship between the two variables changes from no causality to unidirectional causality. In Australia, the relationship between the two variables changes from bidirectional causality to unidirectional causality. In Japan, the relationship between the two variables changes from unidirectional causality to bidirectional causality. The result of impulse responses shows that, in South Africa and Australia, the two variables in one period are positively related, whereas, in Japan and Switzerland, the two variables in one period are negatively related. In the four countries, the impulse responses between the two variables have a short-run effect. The variance decomposition results suggest that, in South Africa and Australia, the sensitivity of stock index returns to exchange rates increased during QE, whereas, in Japan and Switzerland, the sensitivity of exchange rates to stock index returns increased during QE.