本研究目的在於探討東協五國貨幣與人民幣及日圓之間在日本實施寬鬆貨幣政策前後是否存在競貶效果。實證上透過ARMAX-GJR-GARCH-Copula模型檢視日本寬鬆貨幣政策前後日圓、新加坡幣、印尼盾、林吉特、披索、泰銖、人民幣之相關變化。實證結果顯示，安倍晉三實施寬鬆貨幣政策前後，日圓對人民幣及東協五國貨幣匯率均數方程式影響皆呈現顯著影響。 本文繼續透過五種不同的Copula函數，包含Normal Copula、Student Copula、Clayton Copula、Gumbel Copula及Frank Copula分別來進行配適，並進一步求出列相關係數。 結果發現日本在實施寬鬆政策前，日圓對於大多數的貨幣幾乎呈現正向且顯著，即呈現對美元升值的現象，但相關性不大。而實施寬鬆政策後，東協五國貨幣對日圓幾乎呈現正向且顯著，即對美元呈現貶值現象，相關性基本上也都提升許多，但人民幣與日圓呈現顯著的負向關係。鑑於每個國家的經濟背景、與日本之間的貿易關係程度也不同，加上央行適時的政策干預、限制，這些因素都被視為是影響到彼此匯率關聯性的原因。 The aim of this study is to investigate the existence of competition and reduce effect of ASEAN countries currency and RMB and YEN before and after using Quantitative easing by Japan. We use ARMAX-GJR-GARCH-Copula to view the correlation of Yen, Singapore dollar, Rupiah, Ringgit, Peso, Thai Baht and RMB. Empirical results show that there has the significant effects in mean equation of RMB , ASEAN countries currency and Yen before and after using QE by Abe. This article continues using the Copula functions, including Normal Copula, Student Copula, Clayton Copula, Gumbel Copula and Frank Copula, respectively for the match, and further find out the rank correlation coefficient. The results showed that yen has positive and significant effect for most currencies before using QE, but the correlation is not high. After using QE , the Yen has positive and significant effect for all ASEAN currencies and the correlation is more higher. But there has negative relationships of RMB and Yen. In view of the economic context and policy of Central bank of each country , these factors are seems to be the reason for affecting correlation of each other''s exchange rate.
