| 摘要: | 美國聯準會（Fed）在2015年12月17日，宣告將聯邦資金利率調升一碼，結束7年的「零利率時代」政策。隨著美國景氣逐漸復甦，升息議題受到全球關注。而身為世界最大經濟體之美國，其貨幣政策與利率之改變，對於其他經濟體而言常具有相當的影響力，尤其對新興市場將受到較嚴重的衝擊。因此本研究藉由Copula研究方法，針對八個亞洲新興市場國家，包括台灣、中國、韓國、泰國、馬來西亞、菲律賓、印尼以及印度，實證分析Fed升息對亞洲新興市場國家股市與匯市的影響。
本研究以Fed在2015年12月17日決定升息一碼作為時間之切割點，分別利用GARCH和Copula模型驗證升息前、後期間，美國道瓊工業指數及美元指數對八個亞洲新興市場股價指數和匯率波動等金融變數間的相互影響與關聯性。
本文實證結果發現：Fed在2015年底之升息事件，對於八個亞洲新興市場之股市普遍存在短期之正向影響，尤其在升息事件日後幾天有明顯之波動影響，其中在台灣和菲律賓之股市則有提前反應現象；而對於八個亞洲新興市場之匯市則普遍存在正相關影響，在升息事件日後幾天的短期間存在顯著的貶值影響。
On December 17, 2015, the Federal Reserve raised the range of its federal funds rate by a quarter of a percentage point. This announcement ended the seven-year policy of zero interest rate. With the gradual recovery of the US economy, raising interest rates become a global concerned issue. As the world''s largest economy, the US monetary policy often has considerable influence for other economies, especially emerging markets. As a result, this study according to the rising interest rate by Fed on Dec. 17, 2015, divided the time into two periods. Through the Copula function for the eight Asian emerging markets (Taiwan, China, Korea, Thailand, Malaysia, Philippines, Indonesia, and India) analyzed the impact of rising interest rate policy by Fed on stock markets and exchange rate markets.
The empirical results show that the rising interest rate by Fed at the end of 2015 has a positive impact on the eight Asian emerging stock markets. Especially, there are significantly short-term fluctuations after the day of rising interest rate. And there are advanced reaction on Taiwan and Philippines stock markets. Moreover, the rising interest rate by Fed has a positive impact on the eight Asian emerging exchange rate markets, and there are significantly short-term devaluation after the day of rising interest rate. |
