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    Title: 後量化寬鬆時代對新興亞洲股匯市的影響 : 以東協五國為例
    Other Titles: The effect on emerging Asian stock and exchange rate markets after quantitative easing : evidence from the five Southeast Asian nations
    Authors: 廖銀河;Liao, Yin-Ho
    Contributors: 淡江大學財務金融學系碩士在職專班
    李沃牆;李喬銘;Lee, Wo-chiang;Lee, Joe-Ming
    Keywords: 量化寬鬆;扭轉操作;次貨風暴;copula函數;東協;ASEAN countries;Operation Twist;Quantitative easing;copula function;Subprime Mortgage Crisis
    Date: 2015
    Issue Date: 2016-01-22 14:46:50 (UTC+8)
    Abstract: 美國於次級房貸危機後於2008至2013年間實施了3次QE與1次扭轉操作,釋出4兆美元以上的資金,穩定了美國金融市場。QE政策不僅促成資金大量流向亞洲等新興市場,龐大的國際資金對新興亞洲股市有非常明顯的激勵作用。 2014年10月30日美國聯邦準備理事會宣布停止貨幣寬鬆(QE)政策,結束了長達6年的資金釋出計畫
    本研究透過Copula函數研究方法討論美國QE退場前後,國際資金流動概念與非傳統貨幣政策對東協五國(印尼、馬來西亞、泰國、菲律賓、新加坡)的股市及匯市等影響。本文透過五種靜態的Copula函數分析結果發現,QE時期資金的大量移入與撤離及美國股市的漲跌,造成東協五國的匯市與股市大震盪,關聯程度較高,而QE退場後,其關聯程度則明顯下降。
    The Fed conducted three QEs and one Operation Twist and released more than $4 trillion of funds, stabilize the US financial markets after US subprime mortgage crisis during year 2008-2013. The QE policy is not only led to a lot of capital flows to Asia and other emerging markets and the large international funds to emerging Asian markets also has a very significant incentive effect. On October 30, 2014, the Federal Reserve Board announced the end of monetary easing (QE) policy and ending a six-year released funding plan.
    The research aims at before and after the US QE exiting, how the concept of international capital flows and non-traditional monetary policy impacted on the five ASEAN countries (Indonesia, Malaysia, Thailand, Philippines, Singapore) through the stock market and foreign exchange.
    The empirical study applies five static Copula functions to calculate the rank correlations between these variables. The results show that there is high rank correlation in the ASEAN countries due to the foreign exchange market and stock market during the QE and After QE exit, associate degree is decreased.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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