日本首相安倍的寬鬆貨幣政策下－－台幣、日圓、韓元之關聯結構分析

The Copula Relationship of Taiwan, Japan and Korea’s Foreign Exchange Market under Quantitative Easing Policy of Japan

本研究的目的在透過ARMAX-GJR-GARCH-Copula Type模型檢驗台幣、日圓、韓元之間在實施寬鬆貨幣政策前後是否存在競貶效果。實證結果顯示，無論是全樣本或安倍實施寬鬆貨幣政策前後，日圓對台幣及韓元匯率均數方程式影響皆呈現顯著正向影響。變異數方程式參數估計而言，全樣本、寬鬆貨幣政策前呈顯著影響，意涵安倍實施寬鬆貨幣政策對市場有顯著衝擊。除了安倍實施寬鬆貨幣政策前，韓元匯率的不對稱性不顯著外，其餘皆具顯著性。透過五種不同的Copula函數分別配適全樣本、安倍實施寬鬆政策前、後，日圓與台幣、日圓與韓元及台幣與韓元三組的匯率關聯結構，求出列相關係數（Kendall's tau）。結果發現，日圓與台幣、日圓與韓元的相關程度無論在全樣本、安倍實施寬鬆政策前、後均很小；意涵台灣及韓國央行均能力守匯率的穩定性，不受日圓貶值而競貶。但安倍實施寬鬆政策後，其相關性稍微提高。顯示台灣與韓國之出口貿易競爭關係激烈，而匯率是影響出口的重要關鍵。

The study uses the asymmetric ARMAX-GJR-GARCH-Copula Type model to examine whether NTD, YEN, and KRW have the depreciation effect before and after implementation of the quantitative easing policy in Japan. The empirical results show that no matter full example, before, or after the policy, the YEN had showed a positive significant effect on NTD and KRW in the mean equation. As variance equation, full sample and before the policy period also found a significant effect of quantitative easing policy, meaning the shock of the policy had great effect on the markets. No significant asymmetry effect in KRW exchange rate, the others remain significant. This study further fit five copula functions on the JPY vs TWD, JPY vs KRW and NT vs KRW exchange rate to the whole sample, before and after the policy. According the correlation coefficient (Kendall's tau), the results showed that the relations of JPY vs TWD and JPY vs KRW's are small in terms of the full sample and before the policy, which means that Taiwan and Korea’s central banks have the ability to keep the exchange rate stability, when competing against the JPY. However, the result shows slightly increase its relevance after the policy. The degree of relation between NT and KRW both in the full sample, and before the policy are high, showing export trade competition between Taiwan and South Korea's is fierce. The exchange rate is the key to influence exports.