虛擬貨幣波動性對台灣金融體系穩定性的影響

Abstract

本研究以台灣金融體系為研究對象，運用Engle（2002）所提出的動態條件相關 GARCH 模型（dynamic conditional correlation GARCH model，DCC-GARCH model）與 Diebold and Yilmaz（2012）所提出的外溢指標（spillover index），探討虛擬貨幣市場價格波動性是否對台灣傳統金融市場產生外溢效果，以及該外溢效果的方向與動態結構。本研究實證結果證實，虛擬貨幣市場對台灣股票市場確實存在顯著的單向外溢效果，顯示風險主要是由虛擬貨幣市場向台灣傳統金融市場傳遞，意味著台灣金融體系在與虛擬貨幣間的跨市場風險結構中屬於風險接受者，而非風險來源。此外，實證結果亦證實虛擬貨幣市場的波動衝擊短期內並不會立即改變台灣金融市場與虛擬貨幣市場之間的相關結構，然而，若兩市場相關性產生變動，其效果將具有長期持續性，說明台灣金融市場與虛擬貨幣市場間的連動性並非由單次衝擊驅動，而是透過長期結構整合逐步形成。因此，本研究認為金融監管機關應強化跨市場風險監測機制，將虛擬貨幣納入系統性風險評估框架之中，以因應虛擬貨幣交易所帶來的潛在風險。

This study takes Taiwan’s financial system as the research object, and employs the dynamic conditional correlation GARCH model proposed by Engle (2002) and the spillover index proposed by Diebold and Yilmaz (2012) to explore whether the volatility of the cryptocurrency market generates spillover effects on Taiwan’s traditional financial market, as well as the direction and dynamic structure of such spillover effects. The empirical results of this study confirm that there exists a significant unidirectional spillover effect from the cryptocurrency market to Taiwan’s stock market, indicating that risk is mainly transmitted from the cryptocurrency market to Taiwan’s traditional financial market, implying that Taiwan’s financial system is a receiver of risk rather than a source of risk in the cross-market risk structure with cryptocurrencies. In addition, the empirical results also confirm that volatility shocks from the cryptocurrency market do not immediately change the correlation structure between Taiwan’s financial market and the cryptocurrency market in the short term; however, if the correlation between the two markets changes, its effect will have long-term persistence, indicating that the co-movement between Taiwan’s financial market and the cryptocurrency market is not driven by a single shock, but is gradually formed through long-term structural integration. Therefore, this study suggests that financial regulatory authorities should strengthen cross-market risk monitoring mechanisms and incorporate cryptocurrencies into the framework of systemic risk assessment, in order to respond to the potential risks brought by cryptocurrency exchanges.