美國量化寬鬆政策對亞洲新興股市的影響

The Spillover Effect for Asian Emerging Stock Market at Quantitative Easing Period

林歆庭(Xin-Ting Lin)

指導教授 ： 方世詮

朝陽科技大學/管理學院/財務金融系/碩士(2016年)

摘要

美國聯邦儲備局為了對抗全球金融大海嘯所引起之美國國內經濟問題，因而執行量化寬鬆貨幣政策 (Quantitative Easing)，簡稱QE政策。然而，美國為了解決國內經濟難題的量化寬鬆政策，卻在全球經濟體系引起廣泛的效果。本文以亞太新興股市為例，來試圖捕捉QE政策的外溢效果。資料均取自全球經濟與金融資料庫「Datastream」，使用高頻率的日資料。
為了強調條件波幅外溢效果，本文使用附加外生解釋變數之標準GARCH模型，來進行實證研究。基於本文實證結果，在股市條件波幅的角度上，亞太新興股市受到QE政策外溢效果有顯著的影響。

關鍵字

量化寬鬆 ； 外溢效果 ； 新興市場 ； 亞洲股市

並列摘要

The US Federal Reserve carried out quantitative easing (QE) program to mitigate some domestic economic problems induced from the global financial crisis of 2007–08. However, this domestic problem-solving program generally shocks the global economy system. This paper try to capture the QE spillover effect through the Asian emerging stock markets.

To stress the conditional volatility spillover effect, this paper use standard GARCH model with exogenous explanatory variables to capture the US QE spillover effects. Based on our empirical results, the Asian emerging stock markets suffered the US QE spillover effects on conditional volatility dimensions.

並列關鍵字

Quantitative Easing ； Spillover Effect ； Emerging Market ； Asian Stock Market

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