金融海嘯前後國內外貨幣政策與匯率關係

Abstract

本研究以七個變數建立SVAR模型，比較金融海嘯前後國內外貨幣政策與匯率關係，資料頻率為月資料，並以美國貨幣政策作為國外貨幣政策之代理。根據NBER對金融海嘯期間的認定，金融海嘯前的樣本期間為1999:01~2007:11，金融海嘯後的樣本期間為2009:07~2019:12。 實證結果發現金融海嘯前後國內外貨幣政策對匯率的影響效果不一致，金融海嘯前，國內外緊縮性貨幣政策對新台幣具升值作用；金融海嘯後，國內外緊縮性貨幣政策對新台幣具貶值作用。造成貨幣政策與匯率關係變化的原因可能為2008年金融海嘯後，美國、台灣利率不再為相同趨勢，過往由於美國升息，台灣亦升息，國內利率上升支撐了新台幣表現（升值）；而近代當美國升息，台灣利率長期保持不變下，國內金融市場資金流出，承壓新台幣表現（貶值）。 觀察匯率變動率變異數分解，國內貨幣政策對匯率的解釋效果於金融海嘯前後穩定皆有15%的解釋能力，但金融海嘯後，國外貨幣政策對匯率的解釋能力明顯降低至0.2%，取而代之的是國際油價對匯率的解釋能力上升至6%，且金融海嘯後，國際油價開始Granger影響匯率，顯示金融海嘯後，匯率受國際影響因素增大，而非僅反映單一大國的貨幣政策。

The thesis analyzes the relationship between domestic and foreign monetary policies and exchange rates in pre-post financial crisis by using a SVAR model with seven variables. Monthly data are adopted, and US monetary policy is used as a proxy for foreign monetary policy. According to the NBER's identification of the financial crisis, the pre-financial crisis period was from 1999:01 to 2007:11, and the post-financial crisis period was from 2009:07 to 2019:12. The empirical results show that the effects of domestic and foreign monetary policies on exchange rates in pre-post financial crisis were inconsistent. Before the financial crisis, domestic and foreign tightening monetary policies had an appreciation effect on the New Taiwan dollar. After the financial crisis, domestic and foreign tightening monetary policies had a depreciation effect on the New Taiwan dollar. The reason for the change might be that after the 2008 financial crisis, interest rates in the United States and Taiwan no longer follow the same trend. In the past, interest rates in the United States increased, so did that in Taiwan. The increase in domestic interest rates supported the New Taiwan dollar (appreciation). In the modern era, when the United States raised interest rates, interest rates in Taiwan kept unchanged for a long time. Funds flowed out of the domestic financial market, undermining the New Taiwan dollar (depreciation). By the variance decomposition of exchange rate variation, the explanatory ability of the domestic monetary policy on the exchange rate is stable at 15% in pre-post financial crisis. After the financial crisis, the explanatory ability of the foreign monetary policy on the exchange rate reduced to 0.2%, and that of international oil price on the exchange rate increased to 6%. Also, the international oil price started Granger cause the exchange rate, showing that in the post-financial crisis, the exchange rate was affected more by international factors, not just reflecting the monetary policy of a single major country.