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    Title: 美國QE退場前後對境內投資市場之關聯分析
    Other Titles: The copula analysis of American domestic investment market before and during QE exit
    Authors: 陳慶銘;Chen, Ching-Min
    Contributors: 淡江大學財務金融學系碩士在職專班
    李沃牆;Lee, Wo-Chiang
    Keywords: Copula;量化寬鬆;西德州原油;債券;黃金;QE;Crude oil;Yield;Gold
    Date: 2015
    Issue Date: 2016-01-22 14:46:52 (UTC+8)
    Abstract: 為了驗證美國貨幣政策對於美國市場投資的影響力,本文主要研究動機乃針對美國實施量化寬鬆(Quantitative easing,簡稱QE)的後期QE4-2012年12月至2014年10月期間和2014年10月量化寬鬆結束到2015年4月這兩段時間美國投資市場上的股價、利率、油價、黃金、美債的關聯結構分析。在實證研究上,本文應用五種靜態的Copula函數來進行不同變數間的列相關分析,包括Normal,Student-t,Clayton,Gumbel及Frank五種靜態模型。整體而言,各相關變數在QE退場前的列相關高於QE退場後。但若考量最佳的Copula模型則發現,不論是QE退場前後,各相關變數間的最佳配適函數並不具一致性;但集中於Normal copula、Gumbel copula及Clayton copula三個函數。而由列相關係數判斷,卻發現僅有道瓊指數與西德州原油在QE退場前較退場後為大,其他則較小。
    In order to verify the influence of US monetary policy for investment in the US market, This thesis aims at the United States to implement quantitative easing (Quantitative easing, called QE) late QE4- 2012 December to October 2014 and October 2014 to quantify loose end until April 2015 these two time stock prices, interest rates, oil prices, gold, associated with the structure of US debt US investment market analysis. In empirical study, we apply five static copula functions to calculate the rank correlation between different variables, namely normal, student-t, clayton, gumbel and frank copula model. Overall, the rank correlation of relevant variables before QE exit is higher than QE exit. However, if consider the best copula model and found that both before and after the QE exit, the best copula function among all relevant variables are not consistency, but concentrated on normal copula, gumbel copula and clayton copula. We also find that the rank correlation coefficient appears large difference between the Dow Jones index and West Texas crude oil, others are small.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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