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| Title: | 經濟基本面與市場預測分歧對匯率變動的影響
The Impact of Economic Fundamentals and Survey-Based Forecast Dispersion on Exchange Rate Movements |
| Authors: | 鄭鈺靜
Cheng, Yu-Jing |
| Contributors: | 林建秀
Lin, Chien-Hsiu
鄭鈺靜
Cheng, Yu-Jing |
| Keywords: | 經濟基本面
脆弱度指數
預期分歧
外匯
Economic fundamentals
Vulnerability index
Forecast dispersion
Exchange rate |
| Date: | 2025 |
| Issue Date: | 2025-07-01 15:16:00 (UTC+8) |
| Abstract: | 本研究探討各國經濟基本面脆弱度、市場匯率預期與分歧程度，對新冠疫情與利率上升時期匯率變動的解釋力差異，並進一步區分非常規貨幣政策(量化寬鬆)與常規貨幣政策(利率調整)下的傳導機制。樣本涵蓋24個國家，採用Ahmed等人(2017)的方法建構各國的經濟基本面脆弱度指標，結合市場預測資料(計算預期值與分歧程度)與控制變數進行實證分析。
實證結果顯示: 一、代表常規貨幣政策之利率上升時期的經濟基本面對匯率變動的解釋力高於非常規貨幣政策之新冠疫情時期，但其顯著性主要受單一變數(外匯存底變動)驅動；二、在控制各國經濟基本面後，市場預測資料能提升模型解釋力，且在兩個期間皆成立；三、迴歸結果顯示市場參與者在形成匯率預期時，可能並非僅依賴傳統經濟基本面資訊，而是受到其他市場資訊或投資人行為的影響。
This research intends to investigate the relationship among countries’ macroeconomic vulnerability, survey-based exchange rate expectations, disagreement, and exchange rate performance during two distinct monetary policy episodes: the COVID-19 pandemic and the period of interest rate hikes. In particular, this research differentiates between the transmission mechanisms under unconventional monetary policy (quantitative easing) and conventional monetary policy (interest rate hikes). Based on a sample of 24 countries, we build countries’ vulnerability indexes following Ahmed et al. (2017). We then conduct panel regressions by incorporating survey-based exchange rate expectations (mean and disagreement) while conditioning on a set of control variables.
The empirical results reveal three main findings. First, macroeconomic fundamentals exhibit stronger explanatory power for exchange rate movements during the interest rate hiking period—representing conventional monetary policy—compared to the COVID-19 pandemic period. However, this explanatory power is primarily driven by a single variable: changes in foreign exchange reserves. Second, after controlling for countries’ macroeconomic fundamentals, the inclusion of survey-based exchange rate expectations significantly enhances the explanatory power of the model in both periods. Finally, the results of the regression suggest that when forming exchange rate expectations, market participants may not rely solely on traditional macroeconomic information, but are also influenced by other market informations or investor behavior. |
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| Description: | 碩士
國立政治大學
金融學系
112352003 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112352003 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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