博碩士論文 994409001 詳細資訊



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姓名 張雅婷(Ya-Ting Chang)  查詢紙本館藏   畢業系所 經濟學系
論文名稱
(Liquidity in the Foreign Exchange Market)
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摘要(中) 本文旨在研究流動性風險對貨幣的影響。第一篇論文研究在2008-2009全球金融危機和2009-2011歐洲主權債務危機期間，各個貨幣對流動性共變的動態現象。研究發現，在危機期間或新聞公告期間所引發的市場不確定性時，個別貨幣對的流動性與系統性的流動性之間存在較強的流動性共變的現象。 這一發現意味著在金融危機時期新聞公告具有重要作用。第二篇論文調查不同貨幣之間流動性風險如何發生以及為何會產生流動性風險的現象。透過向量自回歸的研究方法，本文發現在市場不確定時期有很強的溢出效應。此時市場之間流動性風險有明顯增長的趨勢，突顯了危機期間崩盤風險的作用。此外本文發現流動性外溢的強度與總體經濟面的因素有關。
摘要(英) In this dissertation, I investigate the effect of liquidity risk on currency. The first essay study dynamics in liquidity commonality across currencies during the 2008-2009 global financial crisis and the 2009-2011 European sovereign debt crisis. This study found that during the crisis period or the uncertainty triggered by the news release, there exist stronger comovement between liquidity in individual currency pairs and the aggregate systematic liquidity among many currency pairs. This finding implies that that news releases have important functions in times of financial crisis. The second essay investigates how and why liquidity risks spread across currencies. In the framework of vector auto-regression, I discovered strong spillovers during market uncertainty period. Liquidity risk among markets increases obviously at this time highlighting the role of crash risk during the crises. In addition, I find that the strength of liquidity spillovers is related to the macroeconomic economy.
關鍵字(中) ★ 外匯市場
★ 流動性		 關鍵字(英) ★ Foreign Exchange Market
★ Liquidity
論文目次 1 Introduction 1
2 Liquidity Commonality in the Foreign Exchange Market 3
2.1 Introduction . . . . . . . . . . . . . . . . . . . 3
2.2 Literature Reviews . . . . . . . . . . . . . . . . 7
2.3 Data . . . . . . . . . . . . . . . . . . . . . . . 8
2.3.1 The EBS Data . . . . . . . . . . . . . . . . . . 8
2.3.2 The Macroeconomic Announcements Data . . . . . . 9
2.4 Liquidity Commonality . . . . . . . . . . . . . . 12
2.4.1 Liquidity Measures . . . . . . . . . . . . . . 12
2.4.2 Commonality liquidity across exchange rates . . 18
2.5 Empirical Result . . . . . . . . . . . . . . . . 21
2.5.1 Liquidity commonality for FX market . . . . . . 21
2.5.2 Liquidity commonality around macroeconomic economic announcements . . . . . . . . . . . . . . . . . . . . 26
2.5.3 Liquidity commonality around monetary policy announcements . . . . . . . . . . . . . . . . . . . . 32
2.5.4 Determinants of FX global-wide systematic liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
2.6 Conclusions . . . . . . . . . . . . . . . . . . . 43
3 Liquidity Spillover in the Foreign Exchange Market. 45
3.1 Introduction . . . . . . . . . . . . . . . . . . 45
3.2 Literature Reviews . . . . . . . . . . . . . . . 48
3.3 Methodology and Data . . . . . . . . . . . . . . 51
3.3.1 Liquidity risk measure . . . . . . . . . . . . 52
3.3.2 The model . . . . . . . . . . . . . . . . . . . 52
3.3.3 EBS Data . . . . . . . . . . . . . . . . . . . 55
3.4 Empirical Results . . . . . . . . . . . . . . . . 56
3.4.1 FX market liquidity risk connectedness . . . . 56
3.4.2 Rolling of total and directional connectedness 60
3.5 Conclusion . . . . . . . . . . . . . . . . . . . 67
4. Bibliography 68
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指導教授 徐之強 高櫻芬(Chih-Chiang Hsu Yin-Feng Gau) 審核日期 2018-7-30
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