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系統識別號 U0026-0812200914103183
論文名稱(中文) 以事件研究法探討聯準會利率變動對匯率的影響
論文名稱(英文) The Effect of Federal Funds Rate Changes on the Exchange Rate-Using an Event Study Approach
校院名稱 成功大學
系所名稱(中) 財務金融研究所
系所名稱(英) Graduate Institute of Finance & Banking
學年度 96
學期 2
出版年 97
研究生(中文) 江林軒
研究生(英文) Lin-Hsuan Chiang
電子信箱 r8695108@mail.ncku.edu.tw
學號 r8695108
學位類別 碩士
語文別 英文
論文頁數 43頁
口試委員 口試委員-林軒竹
口試委員-陳怡凱
指導教授-王澤世
中文關鍵字 聯準會利率  匯率  事件研究法 
英文關鍵字 Federal funds rate  exchange rate  event study 
學科別分類
中文摘要 本篇論文主要在於分析聯準會利率變動對五種匯率 (加幣、澳幣、歐元、日幣、和英鎊) 上的影響,研究期間自2000年至2007年,在這段期間內共包含了36次聯準會利率變動。本研究採用了二種不同的方法 (Rai, Seth, & Mohanty (2007) 和Fama, Fisher, Jensen & Roll (1969) 的事件研究法),實證結果發現第一種模型與假設是不一致的,而事件研究法則是符合預期,除此之外,對於利率上升的反應比利率下降來的更顯著,存在著不對稱反應,本研究可以提供訊息給外國央行,當聯準會利率變動時是否該調整自己國家的貼現率來維持對美元匯率的穩定。
英文摘要 This paper examines the effect of Federal funds rate changes on the exchange rates of five markets (Canada, Australia, Euro, Japan and the UK) during the period from 2000 to 2007 (36 changes in Fed funds rate are observed). Two different approaches, from Rai, Seth, and Mohanty (2007) and event study of Fama, Fisher, Jensen& Roll (1969), are used in our paper. The results are contrary to our hypothesis in first model and are consistent with our hypothesis when using event study. In addition, asymmetrical responses to rate decreases and increases are also found. The reaction to the rate increases is more significant than the rate decreases. Our paper can provide foreign central bank a message that should they adjust the discount rate in order to maintain the exchange rate stability when the U.S. of Fed funds rate changes.
論文目次 Chapter 1 Introduction....................................1
Chapter 2 Literature Review...............................4
2.1 The impact of monetary policy changes on financial markets...................................................4
2.2 The empirical result of UIP...........................6
2.3 The fitness of daily data on event study..............7
2.4 List of the important literature......................8
Chapter 3 Data...........................................11
Chapter 4 Methodology....................................13
4.1 Rai, Seth, and Mohanty (RSM) methodology.............13
4.1.1 Announcement, anticipatory and learning effects....13
4.1.2 Methodology........................................14
4.2 Event study methodology..............................15
4.2.1 Sample construction................................15
4.2.2 Abnormal return measure and Cumulative abnormal return measure...........................................15
Ⅰ. Abnormal return......................................15
Ⅱ. Cumulative abnormal return measure...................16
4.2.3 Test statistics under the null hypothesis..........16
Chapter 5 Results........................................18
5.1 RSM results..........................................18
5.2 Event study results..................................20
Chapter 6 Conclusion.....................................39
References...............................................41
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