美國量化寬鬆政策的實施自2008年11月起至2014年10月結束，推出QE1、QE2、QE3共3輪寬鬆政策，對於經常帳赤字嚴重的脆弱五國股匯市來說，是否造成顯著的影響是本研究主要探討的議題。本研究以南非、印度、巴西、印尼以及土耳其等五個國家為研究對象，主要透過ARJI模型配適美國量化寬鬆貨幣政策實施期間與脆弱五國股匯市報酬，以捕捉其波動跳躍行為。結果顯示實施了三輪的量化寬鬆政策對於脆弱五國股匯市確有較大的跳躍行為。就各國股市而言，量化寬鬆貨幣政策在非QE期間的影響較QE期間顯著，但對各國匯市來說，該政策則對於印尼及印度等亞洲國家的匯率，在QE期間的影響較非QE期間來得顯著，而且以QE1的影響最為顯著。由此可知脆弱五國的股匯市以及經濟成長，皆受到美國量化寬鬆貨幣政策所創造出的資金狂潮所影響，只是各國的影響程度不盡相同。 The US quantitative easing policy was implemented QE1, QE2 and QE3 from November 2008 until the end of October 2014, for the five major emerging markets if it caused significant effect that is the major issue in this study. In this study, South Africa, India, Brazil, Indonesia and Turkey are researched by ARJI model fit the US quantitative easing policy with the stock and exchange markets reward of the fragile five to figure out the market volatility behavior in the fragile five. The results indicate that the implementation of the three rounds of the quantitative easing policy for the fragile five do have greater effect on stock and exchange markets of the fragile five market volatility. According to stock markets, the impact of quantitative easing monetary policy during the non-QE have more significant change than the QE, but for all of countries currency markets, the policy of exchange rates in Indonesia, India and some Asia counties are impacted significantly during the QE more than the non-QE. Especially, the effect of QE1 is the most significant. In conclusion, the stock and currency markets and economic growth of the fragile five are affected by the US quantitative easing monetary policy to create a financial frenzy, but the impact varies by countries.
