2008年的次貸風暴後，美國於2008年底開始實施一系列的大規模購買公債及量化寬鬆(Quantitative Easing)貨幣政策，不斷把大量美元貨幣供給注入全球市場，特別是新興國家市場影響最受顯著。本研究透過國際資本流動概念與非傳統貨幣政策理論為基礎，經由Copula研究方法，針對東協五國 (印尼、泰國、馬來西亞、菲律賓以及新加坡)分析QE對亞洲新興市場的國家股市、匯市及總體經濟變數共8個變數的影響。 本研究以依美國三次QE實施為時間點劃分四個時期，分別探討美國M2對各國變數間的相關性變動。透過Copula函數與利用大概似函數值、AIC及BIC值判斷出最適Copula函數之靜態分析，並對各國各變數進行QE期間Copula動態分析的關聯結構探討。 本文實證結果發現，QE前與後所導致的資金外流對新興國家的東協五國各有不同的影響性。各國金融市場的股票指數普遍受到美國QE的衝擊最多，匯率方面各國則呈現波動現象，而作為匯率之推手的外匯存底以及短期市場利率與十年公債利率皆顯示出美國量化寬鬆政策對特定國家如菲律賓的總體經濟變數有影響性。反觀製造業生產指數及消費者物價指數只在印尼和泰國有強烈衝擊性，隱含兩國在QE所來的經濟成長的效果亦陷入停滯性通貨膨脹的窘境。 After the 2008 subprime mortgage crisis, the United States in late 2008 began a series of large-scale purchase of government bonds and Quantitative Easing (QE) monetary policy. The money supply continue to injected a lot of dollars into the global market, especially in emerging countries which market impact is the most significant . This study based on the concept of international capital flows and non-traditional monetary policy theory, and the research methods via Copula for the five ASEAN countries (Indonesia, Thailand, Malaysia, Philippines and Singapore) analyzed the impact of QE for stock market, currency and macreconomic variables of eight variables in emerging markets in Asia. In this study, according to the United States three times QE is implemented as time division four periods, using the variable of U.S. M2 to explore the correlation between changes with the variables in every country. Through the Copula function, the value of likelihood function value, AIC and BIC values determined the optimal Copula function of static analysis. We discuss the associatrion of each variable via Copula structural dynamic analysis during the QE. The empirical results found funding outflow before and after QE caused have different affect to ASEAN5. Financial markets stock index widespread impact of QE most. The countries are showing fluctuation in the exchange rate, and foreign exchange reserves as well as short-term market interest rates and bond interest rate showes that overall impact of the economic variables in Philippines. In contrast, the manufacturing production index and the consumer price index only in Indonesia and Thailand have a strong impact, implicit the effect of economic growth has stalled inflation dilemma.
