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| Title: | 美國貨幣政策變動對台灣總體經濟與金融市場的外溢效果分析－以COVID-19疫情與後疫情時期為例
The Spillover Effects of U.S. Monetary Policy Changes on Taiwan’s Macroeconomy and Financial Markets : A Study on the COVID-19 Pandemic and Post-Pandemic Periods |
| Authors: | 湯喬
Tang, Chiao |
| Contributors: | 林建秀
Lin, Chien-Hsiu
湯喬
Tang, Chiao |
| Keywords: | COVID-19
非傳統貨幣政策
外溢效果
期貨隱含殖利率
多變量線性自我迴歸
具外生變數向量自我迴歸模型
衝擊反應函數
COVID-19
Unconventional Monetary Policy
Spillover Effects
Futures-Implied Yield
Multivariate Linear Autoregression
Vector Autoregression with Exogenous Variables (VARX) Model
Impulse Response Function |
| Date: | 2025 |
| Issue Date: | 2025-07-01 15:18:49 (UTC+8) |
| Abstract: | 本研究聚焦於美國貨幣政策變動對台灣總體經濟與金融市場的影響，探討全球金融衝擊的外溢效應。研究分為兩個時期：COVID-19疫情期間(2020年1月至2021年11月)，美國聯準會透過降息與量化寬鬆(QE)政策穩定市場流動性；疫情後的高利率緊縮時期(2021年12月至2023年12月)，因應長期寬鬆政策與烏俄戰爭引發的通膨高漲，美國逐步收緊貨幣政策。
本研究先透過多變量線性自我迴歸模型，觀察貨幣衝擊發生後台灣的加權股價指數、兩年期公債殖利率、十年期公債殖利率和台幣對美元匯率等金融變數接下來1~5天內的短期反應，發現美國量化寬鬆政策對台灣股票報酬衝擊比較迅速，緊縮時期則是台灣利率和匯率受到衝擊後的反應比較立即。
接著本研究納入房價指數與工業生產指數，採用VARX模型、衝擊反應函數和Granger因果關係檢定，分析變數間影響關係與傳遞管道。實證結果顯示，房價指數與工業生產指數無論在哪個階段，均呈現高度自我相關。此外在量化寬鬆時期，美國貨幣政策透過台灣兩年期公債殖利率下跌影響台幣匯率使其升值，進一步影響台灣房價指數的上升。高利率緊縮時期，美國貨幣政策衝擊使台灣金融變數間互相作用頻繁，透過匯率管道或先透過利率再透過匯率管道影響房價指數及工業生產指數。最後，Granger causality因果關係檢定顯示緊縮階段台幣對美元匯率與房價指數兩者可能具有互相影響的關係，研究結果呈現出房價指數上升可能致使台幣貶值。推論其原因為在全球實施利率緊縮，市場資金不充裕時空背景下，資產之間容易出現排擠效果，投資者因而根據市場現況去改變自身投資組合，使得匯市及房價之間出現顯著的關聯性。
This study explores how U.S. monetary policy impacts Taiwan's economy and financial markets across two periods: the COVID-19 pandemic (Jan 2020–Nov 2021), marked by Fed rate cuts and QE, and the post-pandemic tightening phase (Dec 2021–Dec 2023), driven by rising inflation.
First, by using a multivariate linear autoregressive model, the study finds Taiwan’s stock returns reacted more quickly to monetary shocks during QE, while interest rates and exchange rates responded more immediately during tightening.
Next, To examine transmission channels, a VARX model with impulse response functions and Granger causality tests is used. Results show housing prices and industrial production remained strongly self-correlated in both periods. During QE, U.S. policy indirectly boosted Taiwan’s housing prices by lowering 2-year bond yields and appreciating the NT dollar. In the tightening phase, monetary shocks triggered stronger interactions among financial variables, affecting housing prices and industrial output through exchange rate or interest rate channels.
Finally, Granger causality tests also suggest a bidirectional link between exchange rates and housing prices during tightening. This may reflect crowding-out effects in a high-interest, low-liquidity environment, where investors adjust portfolios based on market shifts, deepening the relationship between currency movements and real estate values. |
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| Description: | 碩士
國立政治大學
金融學系
112352031 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112352031 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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