貨幣政策宣告對於外匯市場之影響;The impact of monetary policy announcements on the foreign exchange market

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题名:	貨幣政策宣告對於外匯市場之影響;The impact of monetary policy announcements on the foreign exchange market
作者:	譚翔駿;Tan, Hsiang-Chun
贡献者:	財務金融學系
关键词:	美國貨幣政策;匯率;量化寬鬆政策;貨幣政策不確定性;U.S. monetary policy;foreign exchange rate;QE;monetary policy uncertainty
日期:	2022-07-29
上传时间:	2022-10-04 11:44:24 (UTC+8)
出版者:	國立中央大學
摘要:	本文探討美國聯邦公開市場委員會 (Federal Open Market Committee, FOMC)的宣告對於匯率變動之影響，並將FOMC宣告效果分成三種貨幣政策效果，分析不同型態的政策效果對於匯率變動之影響是否有顯著差異。此外，本文分析不同時期的子樣本期間內， FOMC 宣告對於匯率變動之影響效果是否不同。實證結果顯示，隨著時間推移，FOMC宣告對於匯率變動之影響逐漸增強，而且模型之解釋力也隨之增加，顯示三種貨幣政策效果對於匯率變動之影響力逐漸上升；此外，在兩個不同QE 期間，FOMC 宣告對於匯率變動的影響有所不同，本文發現在2020年施行之QE政策對於匯率變動效果顯著大於第一段QE期間之政策效果，顯示在Covid-19期間，Fed施行之無限量QE政策對於匯率變動效果有更強勁的影響力；另外，本文實證結果也顯示不同政策方向的宣告對於匯率變動效果無顯著差異；最後，本文發現在貨幣政策不確定性較高時，路徑意外(path surprise)對於匯率變動之效果明顯較強，但目標意外(target surprise)反而在貨幣政策不確定性較低時，對於匯率變動之影響效果較強，顯示貨幣政策不確定性為影響FOMC宣告效果之重要因素。;This thesis studies the impact of the announcement of FOMC (Federal Open Market Committee) on the foreign exchange market and analyzes the FOMC announcement effects with three kinds of monetary policy surprises. Further, we divide the sample into two subsample periods to analyze whether the impact of FOMC announcements on exchange rates differ in different periods. The empirical results show that, the impact of FOMC announcements on exchange rates gradually increases. It implies that the influence of the three monetary policy surprises on exchange rate returns increase with time. Besides, by comparing the impact of FOMC announcements on exchange rate returns during the two different QE periods, we find that the QE policy implemented in 2020 has a significantly greater impact than the QE policies before 2020. It suggests that the unlimited QE policy implemented by Fed during the Covid-19 period has a stronger impact on exchange rate returns. Furthermore, the empirical results also show that there is no significant difference between the effect of ease and tight monetary policy directions on exchange rate changes; Finally, the results show that when the monetary policy uncertainty is high, the impact of path surprise on exchange rate changes is stronger, but impact of the target surprise is stronger when the monetary policy uncertainty is lower, indicating that monetary policy uncertainty is an important factor affecting the FOMC announcement effects.
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