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研究生:王前崑
研究生(外文):Chien-Kun Wang
論文名稱:評估量化寬鬆政策之衝擊:對貨幣政策變數之緩長記憶和結構性改變之檢測
論文名稱(外文):An Empirical Evaluation of Quantitative Easing: Testing for LongMemory Effect and Structural Breaks
指導教授:陳若暉陳若暉引用關係
指導教授(外文):Jo-Hui Chen
學位類別:碩士
校院名稱:中原大學
系所名稱:企業管理研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:英文
論文頁數:59
中文關鍵詞:結構性改變量化寬鬆政策緩長記憶
外文關鍵詞:Structural breakLong memoryQuantitative Easing
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2008年由美國次級房貸市場所引發的全球金融風暴造成全球經濟環境的緊縮。為防止通貨緊縮和流動性危機的發生,許多國家的中央銀行紛紛祭出擴張性的貨幣政策來拯救經濟體系和舒緩流動性不足的危險,但傳統的貨幣政策不足以解決此問題。為此,聯準會、英格蘭銀行、日本銀行和歐洲中央銀行紛紛實施了量化寬鬆政策,量化寬鬆政策是透過資產購買計劃,向市場注入大量的資金以壓低長期利率,以此來舒緩市場對資金的需求以及避免經濟走向更緊縮的狀況。
本研究利用ARFIMA-FIGARCH模型對美國、英國、日本及歐洲的公債殖利率、通貨膨脹、貨幣供給及匯率作檢測,分析量化寬鬆政策是否對其時間序列變數造成緩長記憶的現象。本研究也利用ARFIMA-FIGARCH模型對全部的期間作檢測(1995.01-2011.07),也利用ICSS的檢測方法檢測量化寬鬆政策是否對時間序列變數造成結構性的改變,亦或者是多重的結構性改變。最後利用GARCH模型加上結構轉換之時間虛擬變數來檢測量化寬鬆政策是否有減少其時間序列變數的波動性。
實證的結果顯示緩長記憶的效果只存在日本和歐洲的通貨膨脹。量化寬鬆政策並沒有對公債殖利率、貨幣供給和匯率產生緩長記憶的效果。以全部期間作檢測的結果則顯示長期記憶存在於日本的通貨膨脹、歐洲的貨幣供給和歐元。在結構性改變的檢測上,量化寬鬆政策後,貨幣供給、通貨膨脹和匯率產生結構性的改變。但量化寬鬆政策的其中一個目標,即公債殖利率(歐洲)並沒有產生結構性的改變。另外,聯準會和英格蘭銀行曾執行過兩次的量化寬鬆政策,但實證結果顯示並沒有因此而產生兩次的結構性改變,意謂連續執行兩次的量化寬鬆政策的效果並不一定會比執行一次來得好。最後,GARCH模型的結果顯示透過長期傳統貨幣政策的調節(1995.01-2011.07),結果顯示美國、英國、日本和歐洲的通貨膨脹和歐洲的貨幣供給有變得更穩定。但當只有考慮在執行量化寬鬆政策的期間時,量化寬鬆政策在使時間序列穩定上,不如傳統貨幣政策長期的調節有效率。

The global financial crisis resulted by the U.S. sub-prime mortgage caused global economic deflation n 2008. Thus, many central banks were forced to implement expansionary monetary policy to rescue the economic system and deal with the liquidity risk. But the effect of convention monetary policy is ineffective. For solving that, the Fed, Bank of England, Bank of Japan and European Central Bank implemented the unconventional monetary policy – the Quantitative Easing (QE). Through large-scale asset purchase programs to decrease the long-term interest rate, the implementation of the QE relieved the pressure of demand of capital market and avoided deflation.
This study testes bond yield, inflation, money supply and exchange rate including the U.S., U.K., Japan and Europe. Using ARFIMA –FIGARCH (Autoregressive Fractional Integrated Moving Average- Fractional Integrated Generalized Autoregressive Conditional Heteroskedasticity) models to examine whether the time series before and after the QE and the whole period (1995.01-2011.07) have long memory effect. Then, this study also applies the iterated cumulative sums squares test (ICSS) to examine whether the QE results in the time series structural break or even multiple structural breaks. Finally, through GARCH model with the time dummy variable for structural break, this paper checks whether the QE decreased the volatility.
The results showed that QE had resulted in long memory only existed in inflation of Japan and Europe. Other factors like bond yield, money supply and exchange rate didn’t show the importance of modeling long memory effect. In the whole period, the long memory existed in the inflation of Japan, money supply for Europe and exchange rate for Europe. In structural break test, the QE had let money supply, inflation and exchange rate produced structural breaks. However, one of major goal of the QE, reducing the long term bond yield didn’t produce structural break in Europe. And there wasn’t happened multiple structural breaks, meaning the effect of twice QEs is not better than single impact of the QE. Finally, compared the whole period and the QE-period, through a conventional monetary policy in long term, the inflation for the US, UK, Japan and Europe and the money supply for Europe had became more stable. But when only considering the QE-period, the effect of unconventional monetary policy of the QE implementation is less effective than usual.

Index
摘要 I
Abstract II
誌謝辭 III
Index IV
Table List V
Figure List VI
Chapter 1. Introduction 1
1.1 Research background and motivation 1
1.2 Research goal 4
1.3 Research flow path 5
Chapter 2. Literature review 6
2.1 Introduce for the Quantitative Easing (QE) 6
2.2 Literature review of The Quantitative Easing 12
2.3 Literature review of monetary policy 15
2.4 Literature review of structural break 16
2.5 Literature review of Long memory 18
Chapter 3. Data Selection and Methodology 21
3.1 Defining Variables 21
3.2 Empirical Methodology 23
Chapter 4. Empirical Result 28
4.1 The data 28
4.2 Summary Statistics 32
4.3 ARFIMA and ARFIMA-FIGARCH models 35
4.4 Structural breaks with the ICSS method 39
4.5 GARCH model with structural breaks for asymmetrical effect 43
4.6 The result of testing the QE 46
Chapter 5. Conclusion and Suggestion 47
5.1 Conclusion 47
5.2 Research contribution 48
5.3Research restriction and suggestion 49
Reference 51

Table List
Table 2-1 The difference between Open Market Operation and the QE 7
Table 2-5 Literature review of Quantitative Easing 14
Table 2-6 Literature review of monetary policy 15
Table 2-7 Literature review of single structural break 17
Table 2-8 Literature review of multiple structural breaks 18
Table 2-9 Literature review of long memory 20
Table 3-1 Definition of money supply 22
Table 4-1 The descriptive statistics of variables. 29
Table 4-2 Summary Statistics of Unit root, ARMA, LM, ARCH-LM and GARCH. 34
Table 4-3 Summary Statistics of ARFIMA and ARFIMA-FIGARCH models with all period 36
Table 4-4 The result of ARFIMA model with the QE-period 38
Table 4-6 The effect of structural breaks with whole period 44
Table 4-7 The effect of structural breaks with the QE-period 45
Table 4-8 The result of testing the QE 46

Figure List
Figure 1-1 The U.S. economic data 2
Figure 1-2 Flow path of this study 5
Figure 2-1 Delivery channel of the QE 6
Figure 2-2 M2 of the U.S. (billion) 8
Figure 2-3 US Nominal GDP growth rate, inflation and 10-year bond yield 8
Figure 2-4 M4 of United Kingdom (billion) 9
Figure 2-5 United Kingdom Inflation rate, nominal GDP growth rate and 20-year bond yield 10
Figure 2-6 M3 of Europe (billion) 10
Figure 2-7 Europe Nominal GDP growth rate, inflation rate and 10-year bond yield 11
Figure 2-8 M1 of Japan (trillion) 11
Figure 2-9 Japan nominal GDP growth rate, inflation rate and 10-year government bond yield 12
Figure 4-1 The US and UK historical data. 30
Figure 4-2 Japan &; Europe historical data. 31
Figure 4-3 Money supply (change rate). 32
Figure 4-4 The figure related to the values calculated by the ICSS. 41
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