美元升息對臺灣外匯存款影響之探討;Analyzing the Effects of US Dollar Interest Rate Increases on Foreign Currency Deposits in Taiwan

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Title:	美元升息對臺灣外匯存款影響之探討;Analyzing the Effects of US Dollar Interest Rate Increases on Foreign Currency Deposits in Taiwan
Authors:	楊晴惠;Yang, Ching-Huei
Contributors:	產業經濟研究所
Keywords:	外匯存款;利率;彈性;foreign currency deposits;interest rate;elasticity
Date:	2024-10-01
Issue Date:	2025-04-09 17:28:51 (UTC+8)
Publisher:	國立中央大學
Abstract:	本研究以2021年11月至2024年4月，共36個月臺灣各行庫外匯存款資料，探討期間因美元升息對外匯活存、定存存款量之衝擊，並加入美元指數、台股指數為變數，兼論銀行總體經營特性的影響。研究發現：升息期間外匯存款市場趨勢以承作定存為主，故美元利率對外匯活期存款為負相關，具較明顯的降幅；定期存款皆為正相關，因避險投資與利差收入擴大，造成整體上升趨勢明顯。透過總體銀行資料分析，公股行庫之外匯存款受美元利率變動衝擊反應劇烈，對於活期性存款降幅達-0.077%，折合新台幣約451.58億元、定期性外匯存款則為升幅0.092%，約新台幣1,001億元，與公股銀行因應財政政策，調節存款供需以穩定金融市場相關性高。另納入美元指數、台股指數作為解釋變數於迴歸模型，發現非金控子公司的影響顯著，波動幅度高於總體銀行表現。美元利率變動對其外匯活期存款降幅為最低-0.087%，折合新台幣約366.12億元，定期外匯存款升幅最高達0.127%，折合新台幣約690億元；另外，美元指數於活期存款升幅最高至0.007%，約新台幣29.45億元，台股指數波動降幅最低者-0.36%，約減降新台幣1,514億元，與其較低存款市占率和非金控體質，不具規模經濟效果，易受外部環境影響相關。此外，針對美元利率外匯定期存款彈性分析，顯示市占較高的公股行庫，面對美元利率的外匯存款彈性皆較大易有變動。其他影響存款的供需衝擊因素，如銀行間併購、經營策略改變等，在與變數交互作用下，亦會對外匯存款彈性造成影響。本研究亦指出升息期間，非金控子公司存款波動性偏高、金控子公司金額影響最鉅，故皆須加強監理外幣放款、與台幣合計之期距缺口，及海外各天期的投資等資金配置，並結合自身經營策略，審慎評估因應舉措，以免衍伸流動性風險。;This study investigates the impact of U.S. Federal Reserve interest rate hikes on foreign exchange demand and time deposits in Taiwan, using data from November 2021 to April 2024. Key variables include the U.S. Dollar Index and Taiwan Stock Index, alongside bank-level operational characteristics. Results show that interest rate hikes favored time deposits, with demand deposits negatively correlated to most variables and showing significant declines, while time deposits increased due to higher hedging activities and interest spreads. Public banks exhibited stronger sensitivity to U.S. rate changes, with demand deposits falling by 0.077% (about NTD 45.158 billion) and time deposits rising by 0.092% (about NTD 100.1 billion). This sensitivity is closely linked to public banks’ role in stabilizing the financial market through fiscal policy adjustments. Non-financial holding subsidiary banks demonstrated higher volatility, with a demand deposit drop of 0.087% (NTD 36.612 billion) and a time deposit increase of 0.127% (NTD 69 billion). Additionally, the U.S. Dollar Index contributed to a slight increase in demand deposits, while the Taiwan Stock Index saw a minimal decline. Elasticity analysis suggests that public banks, due to their larger market share, are more responsive to U.S. interest rate fluctuations. Other factors, such as bank mergers and shifts in management strategies, also played a role in deposit volume fluctuations. The study concludes that both financial and non-financial holding banks must strengthen foreign currency loan supervision, manage duration gap, and reassess investment strategies to mitigate liquidity risks during periods of interest rate hikes.
Appears in Collections:	[Graduate Institute of Industrial Economics] Electronic Thesis & Dissertation

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