歐洲央行資產購買計劃與歐洲指數之間的關係

Relationships Between ECB Asset Purchase Programme and Index Return in European Union

梁宇軒(YU-HIN LEUNG)

指導教授 ： 李瑞琳

朝陽科技大學/管理學院/財務金融系/碩士(2017年)

摘要

歐洲央行與英國，日本和美國的央行發起量化寬鬆政策。本文研究了歐洲央行非常規政策行動對歐元區的宏觀經濟影響，並重點關注歐元區（法國，英國，德國，希臘，愛爾蘭，葡萄牙，意大利和西班牙）的八個歐元區。我們討論資產購買計劃（APP）對股票市場的影響。我們利用ECB APP的增長率來捕捉非常規的影響。由於德國和法國經濟體將影響其他歐盟國家，所以我們使用VAR模型來討論歐洲央行資產購買計劃（APP）的變化與歐洲股市回報之間的關係，方法是控制德國和（或）法國股票市場回報。通過控制德國股市的格蘭傑因果關係測試的結果，歐洲央行APP的變化會導致法國，英國和意大利的股票市場回報。另外，通過控制法國，我們在德國股票市場也有類似的結果。最後，通過控制法國和德國，我們發現歐洲央行APP的變化僅在意大利引起股市回報。

關鍵字

資產購買計劃 ； 格蘭傑因果關係 ； 歐洲中央銀行 ； 股票市場

並列摘要

The ECB launched a quantitative easing (QE) program, following its peers in Britain, Japan and the United States. This thesis examines the macroeconomic impact of European Central Bank unconventional policy actions in the euro area and we focus on eight euro-countries in the euro area (French, U.K., Germany, Greece, Ireland, Portugal, Italy, and Spain). We discuss the effect of asset purchase programmes (APP) on the stock market. We use a growth rate of ECB APP to capture the unconventional effect. Because German and French economies will affect other EU countries, we use the VAR model to discuss the relation between changes in ECB asset purchase programme(APP) and stock markets returns in the EU by control both (either) German and (or) French stock markets returns. Results for the Granger causality test by controlling German stock market documents that a change in ECB APP leads stock market returns in French, U.K., and Italy. Additionally, by controlling French, we have similar result in German stock market. Finally, by controlling both French and German, we find that a change in ECB APP leads stock market returns only in Italy.

並列關鍵字

Asset purchase programme ； Granger causality ； ECB ； stock market

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