本文以每分鐘的高頻匯率數據，研究未預期的美國聯準會之貨幣政策意外(monetary policy surprise, MPS)對於國際匯市的影響。樣本期間橫跨2001年-2022，近20年的期間中，美國聯準會所實行的貨幣政策包括傳統貨幣政策、ZLB時實行的前瞻式指引以及LSAP之非傳統貨幣政策，因此本文使用Ferrari et al. (2021)的模型，透過目標意外、路徑意外、長期意外以完整捕捉市場未預期的貨幣政策意外。研究結果顯示，美國貨幣政策意外對於全球的外匯市場有顯著的影響力，且在宣告發布後的短時間窗格就立即反映新資訊，MPS對於外匯市場的影響力會隨著時間漸漸降低。在納入當時總經條件後，整體模型配適度提高。其中，本文所納入之外匯流動性、資金成本、不確定性指標、消費者情緒指標、利率水準皆為決定貨幣政策對於匯率影響幅度的重要因素。在國家特性方面，已開發國家的匯率在FOMC宣告發布前後15分鐘內，受到美國MPS最明顯的外溢效果。在新興市場方面，本文依據Ahmed et al. (2017)將新興市場國家分類為穩健新興市場國家與脆弱新興市場國家，發現脆弱新興市場國家匯率相對於穩健新興市場國家匯率受到美國貨幣政策更大的外溢效果。;This thesis studies the impact of U.S. monetary policy surprises (MPS) on international exchange rates using 1-minute high-frequency exchange rate data. During the sample period that spans from 2001 to 2022, US monetary policies include conventional monetary policies and unconventional monetary policies implemented during ZLB period including forward guidance and LSAP, therefore, we follow the model of Ferrari et al. (2021) to analyze the impact of MPS. The results show that U.S. monetary policy surprises have a significant impact on foreign exchange markets which react to new information immediately in the 30-min window around FOMC announcements, while the impact of MPS declines after the announcement. The goodness of fit of the model increases after we control for macroeconomic conditions. Overall, the liquidity of foreign exchange market, TED Spread, market uncertainty, consumer sentiment, and interest rate level are all important factors in determining the magnitude of the impact of monetary policy surprises on the exchange rate. In terms of country characteristics, the exchange rates of developed countries have significant spillover effects from the U.S. MPS in the narrow 30-min window. We follow Ahmed et al. (2017) to categorize emerging market countries into robust and fragile emerging market countries. The results show that the exchange rates of fragile emerging market countries are more affected by the spillover effects of U.S. monetary policy than robust emerging market countries.
