貨幣超額報酬與經濟政策不確定性和流動性收益之關聯性

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羅欣茹(Hsin-Ju Lo) 查詢紙本館藏

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財務金融學系

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貨幣超額報酬與經濟政策不確定性和流動性收益之關聯性
(Currency excess return, economic policy uncertainty, and liquidity yield)

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摘要(中)

本文探討經濟政策不確定性指數和流動性收益率與各國貨幣超額報酬之關聯，在全球開放經濟中，經濟政策的不確定性不僅影響個人、廠商，亦會對市場造成衝擊。各國政府利用控制貨幣供給量來影響經濟活動，而調節基礎利率為主要的工具，而利率間接影響債券流動性。本文探討亞洲地區7 國，包含日本、澳洲、中國、香港、新加坡、印度、南韓七國的貨幣超額報酬與經濟政策不確定性和流動性收益之關係。實證結果發現分為兩個部分，第一、在經濟政策不確定性指數與各國貨幣超額報酬之關聯方面，印度的實證結果支持經濟政策不確定性指數變動率與貨幣超額報酬有負向關
係之理論。第二，在流動性收益率與各國貨幣超額報酬之關聯方面，印度和韓國的實證結果支持流動性收益率與貨幣超額報酬有正向關係之理論。此外，澳洲、香港、印度、韓國及新加坡的股價指數變動率與貨幣超額報酬皆呈現顯著之正向關係，顯示股價指數為影響匯率變動之重要因素。

摘要(英)

We explore the relation of currency excess returns of seven Asian countries with the economic policy uncertainty index and liquidity yield. The uncertainty of economic policies does not only affect individuals and manufacturers, but also impacts the market. Governments of many countries use monetary policies to adjust the basic interest rate, and interest rates also indirectly affect the liquidity of bonds. Therefore, in this thesis, we use OLS regression model to explore the relationship between currency excess return, the economic policy uncertainty index, and liquidity yield in Asian countries, including Japan, Australia, China, Hong Kong, Singapore, India, and South Korea during the period from 2007/01 to 2019/12. We find strong empirical evidence into two parts. First, there is a negative relationship between economic policy uncertainty and excess returns in India. Second, the results of India and Korea support the argument of the liquidity yield has a positive impact on currency excess return.

關鍵字(中)

★ 經濟政策不確定指數
★ 流動性收益率
★ 貨幣超額報酬

關鍵字(英)

★ The economic uncertainty policy
★ liquidity yield
★ currency excess return

論文目次

中文摘要 ................................................ i
英文摘要 ............................................... ii
誌謝 .................................................. iii
目錄 ................................................... iv
表目錄List of Tables .................................... v
第壹章、緒論 ........................................... 1
第貳章、文獻探討 ....................................... 3
第一節、經濟政策不確定性與匯率 ........................... 5
第二節、流動性收益率與匯率 ............................... 6
第參章、研究方法 ........................................ 9
第一節、樣本資料來源..................................... 9
第二節、 OLS 多元線性迴歸模型建構 ........................ 12
第肆章、實證分析 ....................................... 15
第一節、經濟政策不確定性與貨幣超額報酬 ................... 15
第二節、流動性收益率與貨幣超額報酬 ....................... 17
第伍章、結論 ........................................... 20
參考文獻 ................................................ 22

參考文獻

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指導教授

高櫻芬葉錦徽(Yin‑Feng Gau Jin‑Huei Yeh)

審核日期

2020-7-16

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