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    Title: 美國貨幣政策正常化期間投資人行為影響因素探討:以美國國內投資人為例
    The effect on investor behavior under US monetary policy normalization: evidence from US investors
    Authors: 黃宜萱
    Huang, I-Hsuan
    Contributors: 林建秀
    Lin, Chien-Hsiu
    Huang, I-Hsuan
    Keywords: 美國貨幣政策正常化
    U.S. monetary policy normalization
    Investment holding
    Panel vector autoregression model
    Impulse response function
    Date: 2019
    Issue Date: 2019-09-05 15:47:33 (UTC+8)
    Abstract: 為因應2007和2008年間所爆發的全球金融海嘯,美國聯準會大幅降息至零利率區間,並在2008年底開始採取非傳統貨幣政策的量化寬鬆措施以持續為緊縮的市場提供寬鬆動能。聯準會的量化寬鬆措施施行以來,對市場明顯起到提供流動性及經濟活絡之效;然在全球逐漸走出金融海嘯陰霾時,聯準會也開始降低對市場的干預,逐漸緊縮其在傳統及非傳統貨幣政策上的寬鬆措施。而本研究主要從以美國為主體的投資行為出發,利用Panel VAR模型探討美國聯準會的緊縮性貨幣政策將對其國內的投資行為造成何種程度的影響,並納入美國工業生產指數、全球商品價格指數以及VIX指數捕捉投資市場上額外可能的衝擊因子;另外,本研究亦針對新興國家標的做進一步分析,探討美國投資人對具有不同特性的新興國家之投資行為是否會有程度不一的影響;最後,本研究也分析了外國投資人整體的投資部位變化,探討不同的衝擊之下外國對美國的投資行為將產生何種程度的影響。
    In order to cope with the financial crisis of 2007-2008, the Federal Reserve had cut the federal funds rate, which led to zero-bound interest rate in the U.S. market. Moreover, the Fed introduced quantitative easing policy at the end of 2008 to further stimulate the market stranded in liquidity trap. Under the Fed’s unconventional easy monetary policy, the U.S. economy had been gradually stepping out of the gloomy condition and began to thrive, and therefore the Fed called a halt to the quantitative easing policy at the end of 2013 and started to lessen its intervention in the market lateron. This study aims at discussing the effect on investor behavior under U.S. monetary policy normalization by applying panel vector autoregression model, in which U.S. monetary policy shock as well as other different financial shocks are included. In addition, this study takes further step to identify whether different country characteristics would play an influential role as investors switch their portfolio holdings when facing financial shocks.
    The empirical result shows that from a narrow viewpoint, the impulse response of U.S. investors’ holdings of the assets from other countries reacts negatively to the shock of Fed funds rate rise. On the contrary, however, the shock of the growing U.S. economic output makes U.S. investors more willing to engage in risky invesments so that they tend to increase holdings of the assets from other countries especially from the emerging markets. In general, the empirical result demonstrates that during the taper period after the U.S. monetary policy normalization took effect, the positive response of U.S. investors to the growing U.S. economy outweighs their negative response to Fed funds rate rise, which leads to increase in U.S. investors’ holdings of the assets from other countries. Furthermore, the increase in holdings lies largely in the holdings of assets from emerging countries that are of positive economic outlook and low country risk—there is significant increase in both equity and bond holdings of Asian emerging countries, while the increase in the holdings of assets from Latin American emerging countries is only notable in bonds. On the other hand, it is found that the shock of Fed funds rate rise plays an important role in boosting the holdings of U.S. assets from other countries’ investors.
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    廖四郎、林建秀 (2018)。美國歷次QE對亞洲各國股匯市波動性研究。財團法人台北外匯市場發展基金會專題研究計畫。
    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1063520111
    Data Type: thesis
    DOI: 10.6814/NCCU201900802
    Appears in Collections:[Department of Money and Banking] Theses

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