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    Title: 後QE時代的國際金融市場
    The International Financial Market Post-QE Era
    Authors: 李丹青
    Lee, Tan Ching
    Contributors: 江永裕
    呂桔誠

    李丹青
    Lee, Tan Ching
    Keywords: 量化寬鬆政策
    負利率政策
    殖利率
    通貨膨脹
    通貨緊縮
    流動性風險
    Quantitative Easing
    Negative Interest Rates Policy
    Yield To Maturity
    Inflation
    Deflation
    Liquidity Risk
    Date: 2016
    Issue Date: 2016-05-02 13:51:07 (UTC+8)
    Abstract: 美日歐等先進國家在傳統貨幣政策提振經濟的效果逐漸失靈後,開始大膽啓用量化寛鬆(Quantitative Easing, QE)等非傳統貨幣政策(unconventional monetary policy)。本研究以此為背景,透過大量數據蒐集、整理與分析,比較國際金融市場在量化寛鬆貨幣政策前後的變化。
    2007年美國次貸風暴引發全球金融危機後,FED於2008年開始實施密集、快速的QE政策,全面利用央行資產負債表與獨特而絕對在貨幣價格及數量的無限權力。本研究試圖從債券市場、股票市場、外匯市場、信貸與投資市場、各部門負債與去槓桿化程度與全球通貨膨脹現況等不同面向切入,嘗試以較長時間的統計資料比較並說明QE的有效性與侷限性。
    在美日歐相繼實行規模程度不一的QE政策後,研究發現美國市場的各個層面已有顯著的改進,特別是在就業市場部分,其中失業率已逼近自然失業率的充分就業狀況,代表美國將逼近升息的時間點,並且不是只有單次調高基準利率(Fed Fund Rate,FFR),而是一個升息循環的開始,預期FFR將在未來數年內逐漸調高到正常經濟的水平。
    與此同時,開發中國家則在資金外流回到美元體系的大環境下,呈現匯率貶值、股市表現不佳與主權債利差變大的金融現象,反應出國際金融市場風險正移轉至新興市場;尤其令人不安的是新興市場持續累積相對龐大的負債,以及國際商品大跌,嚴重衝擊以出口這些商品為主的新興經濟體與生產製造商。在各國央行貨幣政策趨於分岐,特別是美國啟動升息周期將成為美元持續走強的驅動力,龐大國際資金的流動亦會顯著帶來市場風險的移轉。
    本研究蒐集各種不同領域的報告及資料,進行分析,主要結果整理如下:
    一、量化寬鬆政策(Quantitative Easing)將在一開始造成實施國的貨幣明顯貶值。
    二、量化寬鬆政策將造成實施國的股票市場持續走揚。
    三、量化寬鬆政策將造成實施國的主權債券殖利率明顯下跌,特別是短天期的部分(short-end)。若實施國進一步採行負利率政策,短天期主權債券收益率亦會由正轉負。
    四、量化寬鬆政策帶動全球通貨膨脹脫離偏低水準的效果不明顯,無論已開發或開發中國家都仍深陷通貨緊縮的壓力。
    五、在美日歐相繼實施量化寬鬆政策後,全球各商品(市場)的波動趨於一致,呈現越來越高的關聯性。
    六、全球金融市場流動性有逐漸降低的趨勢(受到各國管理金融業法規趨嚴影響),對照市場波動性時大時小,流動性風險影響國際資金的資產配置與流動成為一個重要議題。
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    Description: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    101932149
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0101932149
    Data Type: thesis
    Appears in Collections:[經營管理碩士學程EMBA] 學位論文

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