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研究生:陳家力
研究生(外文):CHEN, CHIA-LI
論文名稱:經濟政策不確定性對匯率共移現象之研究: 以全球外匯市場為例
論文名稱(外文):The Impact of Economic Policy Uncertainty on Exchange Rate Co-movements: Evidence from Global Foreign Exchange Markets
指導教授:蕭榮烈蕭榮烈引用關係
指導教授(外文):HSIAO, JUNG-LIEH
口試委員:蕭榮烈邱建良劉祥熹郭淑惠王傳慶
口試委員(外文):HSIAO, JUNG-LIEHCHIU, CHIEN-LIANGLIU, HSIANG-HSIKUO, SHEW-HUEIWANG, CHUAN-CHIN
口試日期:2020-05-29
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:國際企業研究所
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:2020
畢業學年度:108
語文別:英文
論文頁數:85
中文關鍵詞:經濟政策不確定性匯率共移外匯市場DCC-GARCH 模型
外文關鍵詞:Economic Policy UncertaintyExchange Rate Co-movementsForeign Exchange MarketsDCC-GARCH Model
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本文為近年全球經濟與政治環境不確定性的背景下,以全球外匯市場為研究對象,研究其匯率之間的共移現象,研究期間為2008年1月1日至2019年12月31日,調查人民幣、歐元、英鎊、日元、韓元和新加坡元之兩兩外匯即期匯率之動態條件相關性是否能被當地的經濟政策不確定性指數所解釋,並在我們的迴歸模型中加入各別匯率報酬率之波動度和布蘭特原油之波動度來加以衡量,根據我們的實證結果指出經濟政策不確定性指數對兩兩匯率之間的共移現象有顯著的影響,這說明投資人能根據經濟政策不確定性指數做出進一步的投資決策,我們也發現另一個重要的總體經濟變數-布蘭特原油價格的波動度與匯率的共移現象有負相關,當原油價格波動上升,兩兩匯率之間的動態相關係數會下降,反之則動態相關係數上升。在我們的實證結果中顯示經濟政策不確定性指數為一個關鍵性的指標,對於投資人在投資策略上有極大的參考價值。
This paper aims to investigate the dynamic conditional correlations between CNY, EUR, GBP, JPY, KRW and SGD these six exchange rates , so we have fifteen sets of exchange rates in our sample. Through the Economic Policy Uncertainty (EPU) proposed by Baker, Bloom and Davis (2016) we find that under the economic and political uncertainty, the phenomenon of exchange rate co-movements between these six exchange rates can be clearly explained by EPU index. The evidence indicates that the local EPU is more explanatory than the exchange rate volatility. Furthermore, we find another important macro-economic variable, the volatility of Brent oil price, which can also explain significantly the exchange rates co-movements between these six currencies. Overall, our findings show that the foreign exchange rate market is affected by local EPU. Thus, EPU can be used as a reference indicator for investors and financial institutions.
Contents
Chapter 1 Introduction 1
1.1 Research Background and Motivation 1
1.2 Research Purposes 6
1.3 Research Process 8
Chapter 2 Literature Review 9
2.1 Exchange rate co-movement 9
2.2 Economic Policy Uncertainty 12
Chapter 3 Methodology 15
3.1 Unit Root test 16
3.1.1 PP Test 16
3.1.2 KPSS Test 17
3.2 Serial Correlation Test and Heteroscedasticity Test 17
3.3 Asymmetric test 18
3.4 EGARCH 20
3.5 DCC GARCH 21
3.6 Hypotheses and Empirical Method 22
3.6.1 Hypotheses 22
3.6.2 Empirical Model 23
3.6.3 Variance Inflation Factor 25
Chapter 4 Empirical Results 27
4.1 Descriptive Statistics 27
4.2 Results 40
4.2.1 Unit root test 40
4.2.2 Serial Correlation Test and Heteroscedasticity Test 46
4.2.3 Asymmetric Test 47
4.2.4 Dynamic Conditional Correlation 49
4.2.5 Results of Empirical Model 54
4.2.6 Results of Variance Inflation Factor 70
Chapter 5 Conclusions and Suggestion 71
Reference 75
Appendix A 81
Sensitivity test 81


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