中美兩國與臺灣貿易額極高，臺灣企業與投資人亦持有大量兩種貨幣，兩種匯率現貨價大幅波動將對企業與投資人資產造成風險，匯率指數提供相對簡單的避險方式，本研究旨係探討美元匯率指數與人民幣匯率指數報酬跳躍相關性，討論兩指數遭遇事件衝擊時動態跳躍與波動特徵，使用Chan(2003)提出之CBP-GARCH(correlated bivariate Poisson with GARCH)模型，樣本期間自2010年6月21日至2019年1月11日美元匯率指數與人民幣匯率指數日資料捕捉兩種匯率指數報酬率序列之共同跳躍與波動，觀察共同跳躍衝擊事件前後期共同跳躍係數變化，再以2018中美貿易戰切割樣本，觀察貿易戰對兩種匯率指數報酬率相關係數、共變異數與波動的影響。研究發現，人民幣匯率指數與美元匯率指數皆有波動叢聚與共同跳躍現象，兩種匯率指數之本身報酬率波動小，美元匯率指數波動對於人民幣匯率指數有影響，反之則無；衝擊事件對兩種匯率指數產生共同跳躍現象但強度遞減；貿易戰開始後，兩者共同跳躍強度降低且匯率指數報酬率呈現負相關，具有避險意義。

Taiwan’s economy, to a large extent, is dependent on trading with China and the United States. The fluctuations in the exchange rates between USD and NTD as well as RMB and NTD may lead to potential losses of corporations and investors in Taiwan. The exchange rate index provides a simple method for hedging. The purpose of this study is to explore the correlation between the dollar index's and the renminbi index's dynamic behavior and to discuss the dynamic jump as well as the volatility of the two indices when certain events shock the market. This can be achieved by utilizing the CBP-GARCH (Correlated Bivariate Poisson with GARCH) model proposed by Chan (2003). In this study, the sampling period for both the RMB index and the USD index is from June 21, 2010, to January 11, 2019, from which data capture the correlation jumps and fluctuations between the two index returns and, the changes in the correlated jump can be observed before and after the shock event. Using the “2018 China-United States trade war” starting date and separate the sample into the two periods. Proceed to observe the impact of the warfare looking at the before and after of the correlation coefficients, covariance, and dynamic jumps of the two indices. The study found that both the RMB index and the USD index have volatility clustering and correlated jumps. However, both had some independent jumps. The fluctuation of the US dollar index has an impact on the RMB index, but not vice versa. The events' shock produces correlated jumps, but the intensity decreases as time passes. When the trade war started, the correlated jump's strength of the two index decreases and presents a negative correlation, creating an opportunity for hedging.

目  次
謝  辭	I
目  次	IV
表  次	V
圖  次	V
第一章　緒論	1
第一節 研究動機	1
第二節 研究目的	8
第三節 研究架構與流程	9
第二章　文獻探討	11
第一節 人民幣與美元相關文獻探討	11
第二節 CBP-GARCH模型相關文獻	13
第三章　研究方法	16
第一節 單根檢定	16
第二節 CBP-GARCH模型	20
第三節 資料來源與處理	24
第四章　實證結果與分析	25
第一節 基本統計量	25
第二節 單根檢定	29
第三節 CBP-GARCH模型實證結果分析	31
第四節 共同跳躍強度共移事件分析	37
第五節 中美貿易戰事件分析	43
第五章　結論與建議	47
參考文獻	49

 
表  次
表 1 美元匯率指數與人民幣匯率指數報酬率基本敘述統計	26
表 2 ADF單根檢定法	29
表 3 PP單根檢定法	30
表 4 CBP-GARCH模型實證估計結果	34
表 5 共同跳躍強度共移事件指數報酬率共同跳躍強度平均數	42
表 6 人民幣與美元匯率指數貿易戰前後比較	46

圖  次
圖 1 研究流程圖	10
圖 2 樣本期間美元匯率指數趨勢	27
圖 3 樣本期間人民幣匯率指數趨勢	27
圖 4 樣本期間美元匯率指數日報酬率	28
圖 5 樣本期間人民幣匯率指數日報酬率	28
圖 6 美元匯率指數報酬率跳躍強度	35
圖 7 人民幣匯率指數報酬率跳躍強度	35
圖 8 美元匯率指數與人民幣匯率指數報酬率共同跳躍強度	36
圖 9 貿易戰後美元匯率指數與人民幣匯率指數走勢與貨幣政策	46

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