日本首相安倍的寬鬆政策下-台幣、日圓、韓元 之關聯結構分析

The Copula Relationship of Taiwan, Japan and Korea’s Foreign Exchange Market under Quantitative Easing Policy of Japan

朱珈瑩(Chia-Ying Chu)

指導教授 ： 李沃牆

共同指導教授 ： 林惠娜

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2014年)

https://doi.org/10.6846/TKU.2014.01191

摘要

本研究的目的在於檢驗台幣、日圓、韓元之間在實施寬鬆貨幣政策前後是否存在競貶效果。 實證上透過ARMAX-GJR-GARCH-Copula Type模型檢視日本寬鬆貨幣政策前後日圓、台幣、韓元之相關變化。
實證結果顯示，無論是全樣本或安倍實施寬鬆貨幣政策前後，日圓對台幣及韓元匯率均數方程式影響皆呈現顯著效果且為正向影響。變異數方程式參數估計而言，在全樣本、寬鬆貨幣政策前亦呈顯著影響，意涵不同消息面對市場衝擊，除了安倍實施寬鬆貨幣政策前，韓元匯率的不對稱性不顯著外，其餘皆具顯著性。
本文繼續透過五種不同的Copula函數，包含Normal Copula、Student Copula、Clayton Copula、 Gumbel Copula及Frank Copula　分別來配適全樣本、安倍實施寬鬆政策前、後，日圓與台幣、日圓與韓元及台幣與韓元三組的匯率關聯結構，並進一步求出列相關係數( Kendall’s tau)。結果發現，日圓與台幣、日圓與韓元的相關程度無論在全樣本、安倍實施寬鬆政策前、後均很小；意涵台灣央行及韓國央行均能力守匯率的穩定性，不受日圓貶值而隨之競貶。但安倍實施寬鬆政策後，其相關性稍微提高。然而，台幣與韓元的關聯程度無論在全樣本、安倍實施寬鬆政策前、後均很高，顯示台灣與韓國之出口貿易競爭關係非常激烈，而匯率是影響出口的重要關鍵。

關鍵字

寬鬆貨幣 ； 安倍經濟學 ； 競貶效果 ； Copula關聯結構

並列摘要

The study aims to examine whether the NTD, YEN, and KRW have the depreciation effect before and after implementation of the quantitative easing policy. In empirical study, we apply the asymmetric ARMAX-GJR-GARCH-Copula Type model to test the correlation between the YEN, NTD, and KRW before and after the quantitative easing policy in Japan.
The empirical results show that both the front and rear full sample or after the Abe accommodative monetary policy. The YEN had showed a positive significant effect on NTD and KRW in the mean equation. Parameter estimation variance equation, in the former All samples also found a significant effect of quantitative easing policy, meaning different messages in addition to the front face of market shocks Abe implementing quantitative easing policy, no significant asymmetry effect in KRW exchange rate, the other remaining significant.
This thesis further fit the copula function of the JPY and the TWD, the JPY and the KRW and the NT and KRW exchange rate-related structures in whole sample, before and after Abe ‘s quantitative easing policy through five different Copula functions, including the Normal Copula, Student Copula, Clayton Copula, Gumbel Copula and Frank Copula, respectively.
According the correlation coefficient (Kendall's tau), the results showed that, the JPY and the TWD, the JPY and the KRW's relevance is small in terms of the full sample, before and after Abe’s quantitative easing policy. Which means that Taiwan　and Koera’s central banks have the ability to keep the exchange rate stability, along with competing against the JPY and banished. But after Abe implement easing slightly increase its relevance. However, the degree of association NT and KRW both in the full sample, Abe implemented before easing back are high, showing export trade relations between Taiwan and South Korea's competition is fierce, but the exchange rate is the key to influence exports.

並列關鍵字

Quantitative Easing ； Copula ； abenomics ； depreciation effect

參考文獻

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