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系統識別號 U0002-2806201317223400
中文論文名稱 寬鬆貨幣政策的金融市場外溢效果—GVAR模型分析
英文論文名稱 Easing monetary policy with financial market spillovers--a global VAR analysis
校院名稱 淡江大學
系所名稱(中) 產業經濟學系碩士班
系所名稱(英) Department of Industrial Economics
學年度 101
學期 2
出版年 102
研究生中文姓名 林耕宇
研究生英文姓名 Ken-Yu Lin
學號 600540222
學位類別 碩士
語文別 中文
口試日期 2013-06-13
論文頁數 144頁
口試委員 指導教授-胡登淵
委員-陳鎮洲
委員-洪小文
中文關鍵字 寬鬆貨幣政策  金融市場  主權信用違約交換  外溢效果  全球向量自我迴歸模型 
英文關鍵字 Easing monetary policy  financial market  sovereign credit default swaps  spillover effects  global VAR 
學科別分類
中文摘要 從2007年開始的次級房貸到近期歐債危機的爆發,促使世界經濟陷入嚴重衝擊,並引發大規模金融市場流動性緊縮,而隨著危機慢慢地擴散,各國為了因應金融海嘯帶來的衝擊,使政府相繼提高紓困金、失業補助和加強政府支出來提振景氣,但這也造成許多國家債務飆高。歐洲國家經濟體系債務惡化的現象立即浮上檯面, 其中希臘、義大利、西班牙、葡萄牙及愛爾蘭等俗稱的「歐豬五國」(PIIGS)的政府債務比例更是居高不下,倒債的危機一觸即發,造成這五國的主權信用違約交換(CDS,credit default swaps)惡化,再掀起新一輪的歐債危機。
為了對應一連串接踵而來的問題,各國央行紛紛祭出寬鬆貨幣政策,來舒緩市場流動性風險,並以「量化寬鬆」(quantitative easing)作為貨幣政策,而非傳統的貨幣政策工具。所以本篇研究以33國家資料,樣本期間為2008年12月到2013年1月,當中除了美國實施QE1到QE4以外,中間並涵蓋了歐債危機爆發與各國央行執行的量化寬鬆貨幣政策時間點,運用這樣的樣本期間,透過Pesaran,Schuermann and Weiner (2004)和 Dees,di Mauro,Pesaran and Smith (2007)以及 Dees,Holly,Pesaran and Smith (2007)等人所建構出的全球向量自我迴歸 (GVAR) 模型來做研究。其特點在於模型可明確捕捉全球化之下各國間政策的外溢效果,並有別於以往文獻,本篇結合模型與
議題上的發揮,將研究目的分為三點,第一、各國金融變數是否有外溢效果,並以美國近年的寬鬆貨幣政策作為衝擊反應對主要國家的影響;第二、並運用上點,將模型中的33國以地理區塊作為劃分,看投資者是否有轉移安全資產投資的現象;第三、最後觀察各變數對未來預測的解釋力,希望提供全球投資人較明確的市場動向。
研究結果發現各國金融變數有明顯的外溢效果,並當先進國家匯率市場熱潮降溫時,新興市場貨幣會有升值的壓力;並當歐洲地區債券市場利率或是倒債風險上升時,投資人有轉向投資的行為如:美國或是亞洲地區。在預測方面,平均而言,中國與英國在受到美國寬鬆貨幣政策之下,主要透過資產價格的管道傳遞;歐元區、日本與亞洲地區平均而言透過信用衍生工具市場的管道;而短期公債與長期公債平均來說解釋力較高的都出現在第零期的歐元區與第零期和第十期的歐豬五國,表示藉由利率管道傳遞;所以可以發現在不同地區,變數的預測解釋比例不盡然相同。綜合以上,可以發現美國從QE1到QE4確實有使市場債券違約的風險降低,並且當歐豬五國或是歐元區債券市場不好時,投資人有轉向安全資產的走勢,主要轉移美國與亞洲地區與拉丁美洲國家;並在匯率方面,拉丁美洲國家與亞洲地區在受美國寬鬆貨幣政策下,有面臨熱錢湧入貨幣升值的壓力。
英文摘要 From the US subprime mortgage crisis in 2007 to recent European sovereign debt crisis, a series of crises caused world panic and triggered the massive financial market liquidity crunch. As the time goes by, crisis spread all over the world. In order to deal with this financial turmoil, every government increased their bailout fund and unemployment subsidies and strengthen government spending to boost the economy, but it also caused many national debt skyrocketed. The debt deterioration country are emerging apparently especially in European economy, including Greece, Italy, Spain, Portugal and Ireland (so-called "PIIGS"). Their government debt ratios are high, the debt crisis on the verge resulting in the five countries sovereign credit default swap (CDS, credit default swaps) deteriorate, then set off a new round of European debt crisis.
In order to deal with a series of ensuing problems, central banks have resorted to easing monetary policy which using the "quantitative easing" (QE) as monetary policy, rather than the traditional monetary policy tools to soothe market liquidity risk. Hence, this study analyzes the 33 national data over the period from December 2008 to January 2013. The sample period covers not only the United States implementation of the QE1 to QE4 but also covers the European debt crisis and other central banks’ quantitative easing monetary policy implementation point of time. This study uses the global vector autoregressive (GVAR) model developed by Pesaran, Schuermann and Weiner (2004), Dees, di Mauro, Pesaran and Smith (2007) and Dees, Holly, Pesaran and Smith (2007). The GVAR model is capable of capturing explicit spillover effects and demonstrating global interaction among the countries. In contrast to the traditional literature, this study combines the model and theme and discusses three issues. First, it uses the US quantitative easing monetary policy as the impulse, observes the response of the main countries, and examines whether national financial market have the spillover effects. Second, it separates the country into the region which use the geographical division to see whether the investors have flight to safety phenomenon. Last thing is the observation of each variable to predict the explanatory power of the future and to provide global investors a define market trends.
The results indicate that the global financial variables have significant spillover
effects, and the emerging market exchange rate will have upward pressure when the advanced countries face depreciation. On the other hand, when the European bond market interest rates rise, investors have turned the investment behaviors such as: U.S. or Asia. In the forecast, on average, China, and the United Kingdom are affected by the U.S. quantitative easing monetary policy, mainly through asset prices channel, and Euro zone,Japan and the Asian on average through credit derivatives markets way. Short-term and long-term bonds on average have higher explanatory power in the zero phase of the Euro zone and in the zero and the tenth phase of the PIIGS, which means through interest rates channel. It shows that the variables explanatory power of the future does not hold explicit entirely the same in different regions. Based on the above, it can be found that the market does have a reduced risk of bond defaults while the United States implements the QE1 to QE4. When the prospects of PIIGS or euro zone bond markets are not optimistic, the investors have the flight to safety phenomenon, which appears primarily in the United States, Asia, and the Latin American countries. Under the U.S. quantitative easing monetary policy, Latin American countries and the Asian region will be confronted with the pressure of appreciation.

論文目次 目錄
第一章 緒論....... 1
第一節 前言......1
第二節 研究動機 ......4
第三節 研究目的......6
第二章 文獻回顧.......7
第一節 各國央行寬鬆貨幣政策的背景......7
第二節 主題相關文獻...... 17
第三節 信用違約交換相關文獻......21
第三章 實證模型設定.......24
第一節 實證模型說明...... 24
第二節 單根檢定......30
第三節 落後期階數的選擇......31
第四節 弱外生性檢定.......32
第五節 國外變數對國內變數同期相關檢定......33
第四章 實證資料.......35
第一節 樣本選取國家......35
第二節 資料來源與處理......36
第三節 模型變數定義......40
第四節 模型變數之敘述統計......42
第五章 實證結果.......61
第一節 單根檢定結果.......61
第二節 國內變數與國外變數落後期選定.......65
第三節 弱外生性檢定.......66
第四節 同期相關檢定.......68
第五節 衝擊反映函數......80
第六節 預測變異數分解......88
第六章 結論.......96
第七章 研究限制及未來研究方向........100
參考文獻.......101
中文部分.......101
英文部分.......102
附錄.......106


圖目錄
圖 1-1-1 主要國家的中央政府流通在外的債務佔GDP的比重......3
圖 1-1-2 歐元區主要國家中央政府流通在外的債務佔GDP的比重...3
圖 1-2-1 歐元區主要國家五年期信用違約交換(美元計價)...... 5
圖 1-2-2希臘五年期信用違約交換(美元計價)....... 5
圖 5-5-1 來自美國實質貨幣供給(M1)成長率一單位正標準誤衝擊對主要國家主權信用違約交換成長率之影響.......85
圖 5-5-2 來自美國實質貨幣供給(M1)成長率一單位正標準誤衝擊對主要國家名目匯率成長率之影響 ......85
圖 5-5-3 來自美國實質貨幣供給(M1)成長率一單位正標準誤衝擊對主要國家實質股價成長率之影響......86
圖 5-5-4 來自美國實質貨幣供給(M1)成長率一單位正標準誤衝擊對主要國家短期公債殖利率的成長率之影響......86
圖 5-5-5 來自美國實質貨幣供給(M1)成長率一單位正標準誤衝擊對主要國家長期公債殖利率的成長率之影響......87
圖 5-5-6 來自美國實質貨幣供給(M1)成長率一單位正標準誤衝擊對主要國家實質貨幣供給 (M1)成長率之影響......87
圖 5-6-1 來自第零期下美國實質貨幣供給(M1)成長率正一單位的標準誤衝擊對主要國家變數之預測變異數分解 ......94
圖 5-6-2 來自第四期下美國實質貨幣供給(M1)成長率正一單位的標準誤衝擊對主要國家變數之預測變異數分解......94
圖 5-6-3來自第十期下美國實質貨幣供給(M1)成長率正一單位的標準誤衝擊對主要國家變數之預測變異數分解......95











表目錄
表2-1-1 美國聯準會寬鬆貨幣時間表......8
表2-1-2 歐元區寬鬆貨幣整理表......10
表2-1-3 英國央行寬鬆貨幣政策整理表......12
表2-1-4 日本央行寬鬆貨幣整理表......13
表2-1-5 四大央行量化寬鬆時間點......15
表4-1-1 資料中的國家與區域劃分......35
表4-2-1 資料中的國內變數與全球變數的來源......37
表4-2-2 資料中國家變數的遺漏項......37
表4-2-3 資料額外計算變數來源 ......39
表4-4-1 原始主權信用違約交換值的敘述統 ......48
表4-4-2 取自然對數差分後的主權信用違約交換值的敘述統計... 49
表4-4-3 原始匯率的敘述統計.....50
表4-4-4 取自然對數差分後的名目匯率的敘述統計......51
表4-4-5 名目股價的敘述統計......52
表4-4-6 取自然對數差分後與經通膨調整後的股價敘述統計......53
表4-4-7 短期公債殖利率的敘述統計.......54
表4-4-8 取成長率後短期公債殖利率的敘述統計......55
表4-4-9 長期公債殖利率的敘述統計......56
表4-4-10 取自然對數差分後長期公債殖利率的敘述統計......57
表4-4-11 名目貨幣供給(M1)的敘述統計......58
表4-4-12 取自然對數差分與經通貨膨脹調整後貨幣供給(M1)的敘述
統計......59
表4-4-13 名目石油價格的敘述統計.......60
表4-4-14 取自然對數差分後石油價格的敘述統計......60
表5-1-1 國內變數單根檢定......61
表5-2-1 國內變數與國外變數落後期選定.......65
表5-3-1 變數弱外生檢定......66
表5-4-1國外變數對本國變數的同期效果......73
表 5-6-1來自美國實質貨幣供給(M1)成長率正一單位的標準誤衝擊對中國預測變異數分解......91
表 5-6-2來自美國實質貨幣供給(M1)成長率正一單位的標準誤衝擊對歐元區預測變異數分解......91
表 5-6-3來自美國實質貨幣供給(M1)成長率正一單位的標準誤衝擊對日本預測變異數分解......92
表 5-6-4來自美國實質貨幣供給(M1)成長率正一單位的標準誤衝擊對歐豬五國預測變異數分解......92
表 5-6-5來自美國實質貨幣供給(M1)成長率正一單位的標準誤衝擊對拉丁美洲預測變異數分解......92
表 5-6-6來自美國實質貨幣供給(M1)成長率正一單位的標準誤衝擊對亞洲預測變異數分解......93
表 5-6-7來自美國實質貨幣供給(M1)成長率正一單位的標準誤衝擊對英國預測變異數分解 ......93
表 5-6-8 來自美國實質貨幣供給(M1)成長率正一單位的標準誤衝擊對美國預測變異數分解......93



參考文獻 參考文獻
中文部分
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梁嘉芳(2008),「信用違約交換與股票動態共變性之實證研究:以日本市場為例」,碩士論文,中華大學,經營管理研究所。
楊文曄(2007),「股票市場行為與信用違約交換之關係」,碩士論文,元智大學財務金融研究所。
莊文智(2011),「歐元區PIIGS五國主權債務危機與金融市場發展之探討」,碩士論文,實踐大學, 財務金融與保險研究所。
何宜璇(2011),「主權債信危機與金融市場蔓延效果之探討」,碩士論文,銘傳大學,會計學研究所。
林劭杰(2011),「金融海嘯期間美國金融業信用違約交換(CDS)價差變化之實證分析」,博士論文,國立政治大學,財務管理學系。






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