臺灣博碩士論文加值系統

美國聯準會（Federal Reserve Board，FED）因2008年，次級房屋貸款危機（Subprime Mortgage Crisis）發生，實施三次量化寬鬆政策（Quantitative Easing，QE）來穩定金融市場。以提供低利率環境幫助景氣復甦，來控制經濟體系受金融危機的影響範圍，而在全球貿易國際化的時代，利率、匯率為眾多總體經濟指標中的重要指標之一。本論文以1999年後至2017年全期間，美元、歐元與新台幣之間的利率、匯率月資料，運用VAR模型來探討美國實施量化寬鬆政策前後，匯率、利率之間的關係。實證結果如下：(1)實施量化寬鬆政策前、後利率變動存在差異性。(2)實施量化寬鬆政策前、後匯率變動存在差異性。(3)實施量化寬鬆政策會影響利率與匯率的相關聯性。(4)不同國家因量化寬鬆政策對利率與匯率影響效果不同。

Due to the subprime mortgage crisis in 2008, the Federal Reserve Board conduced three rounds of quantitative easing (QE) to stabilize the financial market. This measure provided a low interest rate environment to accelerate the recovery of the economic cycle and control the extent to which economic systems were affected by the financial crisis. In this era of globalized trading, interest rates and exchange rates are critical indicators among numerous macroeconomics indicators. This thesis uses the monthly interest rates and exchange rates of the US dollar, Euro, and New Taiwan dollar from late 1999 to 2017 and adopts the vector autoregression model to discuss the relationship between exchange rates and interest rates before and after the United States implemented the QE policy. The empirical results are as follows: (1) interest rates differed before and after the implementation of the QE policy; (2) exchange rates differed before and after the implementation of the QE policy; (3) implementation of the QE policy affects the correlation between interest rates and exchange rates; and (4) the QE policy has different degrees of influence on interest rates and exchange rates in different countries.

目錄
目錄I
表目錄II
圖目錄III
第一章 緒論1
第一節 研究動機與目的1
第二節 研究架構4
第二章 文獻探討5
第一節 研究量化寬鬆相關文獻5
第二節 研究量化寬鬆與利率相關文獻6
第三節 研究量化寬鬆與匯率相關文獻10
第三章 研究方法12
第一節 研究假說與流程12
第二節 模型與方法14
第四章 實證結果與分析21
第一節 樣本資料說明21
第二節 單根檢定24
第三節 向量自我迴歸模型26
第四節 Granger因果關係檢定31
第五節 衝擊反應函數33
第六節 變異數分析45
第五章 結論49
參考文獻53

表目錄
表4-1 資料說明21
表4-2 原始序列敘述統計表22
表4-3 1999-2017相關係數表23
表4-4 ADF單根檢定結果24
表4-5 PP單根檢定結果25
表4-6 全期1999-2017 VAR迴歸結果26
表4-7 前期1999-2008 VAR迴歸結果28
表4-8 後期2009-2017 VAR迴歸結果29
表4-9 Granger 因果關係實證結果(樣本全期：1999-2017)31
表4-10 Granger 因果關係實證結果(前期樣本：1999-2008)32
表4-11 Granger 因果關係實證結果(後期樣本：2009-2017)32
表4-12 影響歐元兌新台幣匯率比例(1999-2017)45
表4-13 影響美元兌新台幣匯率比例(1999-2017)46
表4-14 影響美國基本利率比例(1999-2017)47
表4-15 影響歐元區官方存款利率比例(1999-2017)48
表5-1 向量自我迴歸模型結果關係統計表50

圖目錄
圖3-1 研究流程圖 13
圖4-1 歐元兌新台幣匯率對美元兌新台幣匯率33
圖4-2 歐元兌新台幣匯率對美國基本利率34
圖4-3 歐元兌新台幣匯率對歐元區官方存款利率35
圖4-4 美元兌新台幣匯率對歐元兌新台幣匯率36
圖4-5 美元兌新台幣匯率對美國基本利率37
圖4-6 美元兌新台幣匯率對歐元區官方存款利率38
圖4-7 美國基本利率對歐元兌新台幣匯率39
圖4-8 美國基本利率對美元兌新台幣匯率40
圖4-9 美國基本利率對歐元區官方存款利率41
圖4-10 歐元區官方存款利率對歐元兌新台幣匯率42
圖4-11 歐元區官方存款利率對美元兌新台幣匯率43
圖4-12 歐元區官方存款利率對美國基本利率44

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