負利率政策對外匯市場之影響

The Impacts of Negative Interest Rate Policy on Foreign Exchange Market

本文研究的目的在於探討負利率政策的執行對外匯市場的影響。丹麥於2012年實施負利率政策之後，引起許多國家跟進實施，時至今日共有23 個國家，相當於全世界三分之一的國民所得，正在執行負利率政策，因而負利率政策是一個應該進行研究的重要課題。執行負利率政策的區域含括四種主要貨幣，歐元、丹麥克朗、瑞典克朗與日圓，本文實證研究以此四種貨幣區域為主軸，研究負利率政策的執行是否會對匯率市場產生顯著的波動效果。實證研究採用文獻上常見的AR(1) - GARCH(1,1) 模型來分析雙邊匯率的市場波幅，檢驗負利率政策的實施，對於四種主要貨幣區域的雙邊匯率市場波幅之影響程度是否為顯著。研究結果發現歐元與日圓會顯著的擴大匯率市場的波動幅度，而丹麥克朗與瑞典克朗則傾向於抑制匯率市場的波動幅度。

This research investigates the impacts of negative interest rate policy into theforeign exchange markets. Since Denmark implemented negative interest rate policy,many others followed. Till now, there are 23 countries, about 1/3 global nationalincome, executed such policy. It is really important to be a serious academic issue.The area implementing negative interest rate policy includes four major currency,Euro dollars, Denmark krone, Sweden krone, and Japanese yen. The empiricalresearch focuses on these four currency areas to study whether the negative interestrate policy will shock the foreign exchange market volatility significantly. We use thepopular AR(1) – GARCH(1,1) model to analyze the market volatility of bilateralforeign exchange rate and verify the volatility destabilizing effect. The empiricalresults show that the negative interest rate policy significantly destabilizes the foreignexchange market for Euro dollar and Japanese yen. But it inclines to dampen theforeign exchange rate volatility for Denmark krone and Sweden krone.