英國首相卡麥隆宣布於2016年06月23日舉辦英國脫歐公投。投票結果出爐,脫歐派勝出,當日英國股市重挫,英鎊重貶。觀察該段期間,英國脫歐公投確實對遠在亞洲的東亞各國貨幣匯率(日圓、台幣、人民幣、港幣、韓元)產生明顯的衝擊。 藉由此次英國通過脫歐公投事件,本研究欲探討英鎊與日圓、人民幣、港幣、新台幣、韓元之互動關係。綜合本文實證結果,所得結論如下:一、由共整合檢定及向量自我迴歸模型估計結果得知英鎊與各幣別間並未存在長期均衡關係,且向量自我迴歸模型之估計結果較無一致性的結論。二、由因果關係檢定、衝擊反應分析結果顯示,日圓與英鎊的互動關係與其餘幣別相異。三、由變異數分解實證結果得知英鎊自身即擁有良好的自我解釋能力,其餘幣別中,則以日圓與新台幣擁有較高的解釋能力。 綜觀本研究之實證結果可知,與英鎊的互動關係中,日圓之表現與其餘幣別相異,此一實證結果將可提供予市場參與者於規畫匯率避險策略或投資組合時之參考,以期能夠得到較佳之匯率避險效果與提升投資組合績效。
Because the political, economic, historical and cultural factors, British Prime Minister Cameron announced on June 23, 2016 held the Brexit referendum. When the result of the vote was released, British stock market fell and the devaluation of GBP. At the same time, yen was substantial appreciation. Observe the period, Brexit referendum led to the devaluation of the GBP indeed have a significant impact on East Asian currencies exchange rate (JPY, TWD, CNY, HKD and KRW). Britain has close economic activities with Japan, China, Taiwan, Hong Kong, and South Korea. Through the Brexit referendum, we want to discuss the relationship among GBP, JPY, TWD, CNY, HKD and KRW. Conclusions obtained are as follows: 1.We do not find the long- tern equilibrium relationship among currencies. 2.From VAR, we can not sort out the specific interactivity among exchange rates. 3.The results of Granger causality test and impulse response function between GBP and JPY is unique. It is different from others currencies. 4.The result of variance decomposition shows that GBP has very good self explanatory ability. Besides, JPY and TWD have better explanatory ability than other currencies. Overview the results in our research, we think JPY is unique in East Asian currencies. This empirical result can provide guidance to market participants in planning exchange rate hedging strategies or portfolios to achieve better performance.