- 學位論文
美國匯率操縱國指證對被指證國家匯率與股市的影響
Impact of US currency manipulator allegations on designated4 countries’ exchange rates and stock markets
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摘要
美國匯率操縱國報告為行之有年且最具影響力的匯率干預措施之一，但該報告的型式與效力皆於不同時期持續變化，本研究嘗試以通用的標準判別各期報告的指證程度，在不同情境下對被指證國家的匯率和股市的影響。 本論文實證結果發現匯率操縱國指證對於被指證國家匯率的影響為程度最為嚴厲的對台灣匯率造成顯著升值效果，對比指證於不同時間段的效力後發現，2016年之前的指證於大部分國家效力較2016後的更為強烈。本部分也將市場對指證結果的預期與政治因素納入考量，發現程度較預期更嚴重的指證對曾被直接指認的國家匯率升值效力更明顯，並且美國共和黨執證時期的指證通常較美國民主黨執政時期更為有效。另外本研究也發現匯率操縱國指證對目標國股市的影響為程度嚴重的指證對大部分國家造成股價報酬率下滑的效果，而在將市場報酬率與匯率變動率納入控制變數後，使股價報酬率下滑的影響不再顯著，並且將市場對指證結果的預期納入考量後發現，超出預期程度的指證可能造成股價報酬率上升，但此效果於將市場報酬率與匯率變動率納入控制變數後不再顯著。
並列摘要
The US exchange rate manipulator report is one of the most influential exchange rate intervention measures, but the format and effectiveness of the report changed over time. This study attempts to use a common standard to judge the severity of the allegations in each report and measure the impact of these reports under different circumstances. Results show that the the most severe allegations have a significant appreciation effect on Taiwan's exchange rate. Comparing the effects of the allegations in different periods, we found that the allegations before 2016 are more effective in most countries than those after 2016. We also take into account the market’s expectations of the allegations and political factors and found that the more serious unexpected allegation leads to appreciations of the exchange rate of countries that have been directly identified as currency manipulators, and allegations during the Republican Party administrations is usually more effective than the allegation of the Democratic Party. The empirical results also show that more severe allegation decreased the stock prices in most countries. When market return and exchange rate change are included as control variables, the effect of price returns disappears in countries that have not been directly accused of being currency manipulators. And after taking into account the market’s expectations, we found that the more serious unexpected allegation leads to appreciations of the stock prices, but his effect is no longer significant after the market return rate and the exchange rate change are included as control variables.
參考文獻
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