全球風險情緒與對外脆弱性對匯率風險的影響

THE IMPACTS OF GLOBAL RISK AVERSION AND EXTERNAL VULNERABILITIES ON EXCHANGE RATE RISKS

本文使用已開發與新興經濟體30個國家之追蹤資料，以分量迴歸模型，探討2000年後全球風險情緒與對外脆弱性變數，包含外債、經常帳、國際準備、國外資產淨額與政府素質，對美元雙邊匯率的尾端分位與整體機率分配影響。實證發現，VIX衝擊會顯著增加匯率的貶值風險，但其影響力在中短期（6個月內）達最大，之後則快速減少。在VIX衝擊下，外債增加會提高匯率貶值風險，但其效果在短期內較小；經常帳增加可顯著降低貶值風險；國際準備、國外資產淨額增加與政府素質提升，則可同時減少貶值與升值風險。國家開發程度與採行的對外總體政策，亦會影響上述變數對匯率影響效果的幅度與顯著性。整體而言，已開發國家較能抵抗VIX衝擊的影響，而新興國家與採行較彈性匯率的國家受對外脆弱性的影響較大。

This paper uses panel data from 30 developed and emerging economies to investigate the impacts of global risk aversion and external vulnerability variables, including external debt, current account, international reserves, net foreign assets, and quality of government, on the overall probability distributions, including the tails, of the bilateral US dollar exchange rates after 2000. Empirical results show that VIX shocks significantly increase the depreciation risk, but their impact is largest in the short-to medium term (within six months), and decreases rapidly hereafter. Conditional on VIX shocks, a deterioration in external debt increases the depreciation risk, but the effect is less significant in the short run; an improvement in the current account position significantly reduces the risk of depreciation; increases in international reserves, net foreign assets, and quality of government can reduce both the risks of depreciation and appreciation. The degree of economic developments and open macro policies adopted by a country also affect the magnitude and significance of the impacts of these variables on exchange rates. Overall, developed countries are more resilient to VIX shocks, while emerging countries and those with more flexible exchange rate regimes are more affected by external vulnerabilities.