- 學位論文
負利率政策對股價指數影響之探討
The Impact of Negative Interest Rates Policies on Stock Market
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摘要
本文主旨在於探討負利率政策的實施對股票市場的影響。從2008年全球金融風暴之後，降息作為各國中央銀行刺激經濟體系的寬鬆貨幣政策，在經濟體系面對不景氣的時候，各國央行會下修利率來刺激經濟體系的復甦，自從瑞典開始實施負利率政策之後，至今已經有23個國家實施負利率政策，相當於全球三分之一GDP的國家，對全球金融市場是一個非常大的衝擊。 以往研究利率對股市影響之相關文獻，主要均為正利率或低利率的文獻，負利率相關文獻極為罕見，為了衡量負利率政策對全球金融市場可能的影響，本文選取領先經濟體系的股票市場作為測驗的標的，分析負利率政策對股市指數波幅的影響。 研究結果顯示歐元區大多數的國家股市均受負利率政策影響，使得股市指數波幅呈現正向反應，股市變得更為不穩定。除了歐元區之外，日本股市對於負利率政策的反應並不顯著，日本自從1990年代泡沫經濟破裂之後，已經有超過20年以上的低利率歷史，因此，負利率政策對日本經濟體系的衝擊反而比歐元區小許多，故並未對股市波幅造成顯著影響。
並列摘要
This paper explores the shock of negative interest rate policy into the local stock markets. In the post-2008 global financial crisis, central bankers cut interest rate to stimulate the economy system. At the same time, the policy authorities utilize the quantitative easing policy and makes the interest rate lower and lower. There were 23 countries, about global 1/3 GDP, followed, since Sweden firstly implemented negative interest rate policy. It was a huge impact for global financial markets. The major related literatures concerned about market reaction on positive or low interest rate and our research filled this gap. This paper uses GARCH model to analyze the local stock market index volatility reactions on negative interest rate policy. Based on empirical results, most countries in the Eurozone show the positive significantly impacts between negative interest rate and stock market volatility. And it will imply negative interest rate destabilize stock market. However, the negative interest rate policy underreacts in Japan. The Japan stock market has experienced the low interest rate regime over two decades after the bubble crash in 1990.
參考文獻
江慈華（2015）。日本量化寬鬆政策之總體經濟效果。未出版碩士論文，國立暨南國際大學經濟學系，南投。
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