本研究第一部份在探討實際、非預期與非預期的緊縮與寬鬆的貨幣政策對期貨報酬的影響，是否具有不對稱效果，而第二部分將進一步分析在不同類型投資人處於高情緒的情況下，貨幣政策對於報酬的影響。
研究發現，實際或非預期的貨幣政策對於期貨報酬影響性低，然而非預期寬鬆M2貨幣政策對於報酬有顯著正向影響；此外，當區分於不同景氣狀態時，在牛市中，實際與非預期的重貼現率對於報酬皆有顯著正向關聯，而非預期緊縮與寬鬆重貼現率則在熊市影響較顯著，具有不對稱效果。
此外，我們更進一步研究當各類型投資人在高情緒的情況下，貨幣政策對於報酬的影響。發現於實際、非預期與非預期的緊縮或寬鬆的貨幣政策中，幾乎在各類型投資人在高情緒的情況下，貨幣政策會顯著影響期貨報酬，且以隔夜拆款利率影響為最。區分景氣狀態後發現在實際、非預期與非預期的緊縮或寬鬆貨幣政策中，不同投資人處於高情緒時，在不同景氣狀態下貨幣政策對於報酬呈現顯著性。 / In this paper, we try to analyze the relationship between actual, unexpected and unexpected tight and easy monetary policy and TAIEX futures index returns at first and attempt to know whether there are asymmetric reactions. Moreover, we make a further effort to examine the relationship between monetary policy decisions and the returns when different types of investors sentiments are high.
The results show that the coefficients of actual or unexpected monetary policies aren’t statistically significant. However, the unexpected easy M2 monetary policy has significant and positive influence on the returns. Besides, when we divide the data into different regimes, we can discover the asymmetric reactions that actual and unexpected rediscount rate has significant and positive influence in bull market, and unexpected tight and easy monetary policy rediscount rate have more effective in bear market, which means that there are asymmetric reactions in different regimes.
Moreover, we make further efforts to examine that whether there are different influences of the monetary policy decisions for each of the investors in high sentiment. We find that actual, unexpected and unexpected tight and easy monetary policy decisions have large effect on the returns when investors sentiment are high, and the change of overnight rate has the most influence. Furthermore, when we divide the data into different regimes, we can examine that in actual, unexpected and unexpected tight and easy monetary policy, the relationship between monetary policies and rate of return are significant when each of the investors in high sentiment in different regimes.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0103357016 |
| Creators | 盧建勳, Lu, Chien Hsun |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 英文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
Page generated in 0.0017 seconds