The Effect of Interest Differential and Stock Index on the Exchange Rate – A Quantile Approach

[[abstract]]本文以2007年金融危機為分界，研究2001年至2010間，全球主要貨幣和日圓間的利差與股價指數變動對各國兌日圓匯率的影響。首先，用Granger因果檢定股價指數和匯率之間的因果關係，發現除美元和歐元外，其餘五國皆呈現股價變動為因，匯率變動為果的因果關係。接著，以一般迴歸法以及分量迴歸(quantile regression)法分析利差與股價指數變動對日圓匯率變動之影響，一般回歸結果顯示，金融危機前利差變動對顯著影響匯率變動，金融危機後則否；最後使用分量迴歸分析額外發現三點：(1)高息貨幣對於利率及股市變動的敏感性高於其他貨幣。(2)金融危機後，利差變動對匯率變動影響只在高分量的匯率顯著，顯示投資人的風險趨避程度增加，為了避免匯率貶值的的風險抵銷掉利差收益，只有在匯率較高時才會進行利差交易。(3)金融危機後隨著匯率降低，股價指數變動與匯率變動的相關性也愈高，表示在金融危機初期，投資人較不願意出售股票，將所得換回借貸用的日圓做平倉的動作；但若匯率持續對日圓貶值，投資人便會賣掉股票回補日圓，避免擴大損失，產生股價和匯率同步下挫的結果。[[abstract]]This paper study the effect of movements of interest differential and stock index on the exchange rate The empirical period is from 2001 to 2010 and divided by the financial crisis in 2007 Granger causality test shows that movement of stock index does granger cause movement of exchange rate except US dollar and Euro The movement of interest differential has significant impact on movement of exchange rate before financial crisis but the effect is insignificant after the crisis In addition By using the Quantile regression analysis we found：(1) high yielding currencies are more sensitive than other currencies to the changes of interest rates differential and movements of stock prices (2) the impact of interest rate differential to exchange rate is only significant in the higher quantile indicating that investors increased the degree of risk aversion and only trade at high exchange rate (3)During the crisis the correlation with stock prices and exchange rates become higher as the depreciation of exchange rate showing that when the depreciation of exchange rate has exceeded the acceptable range of investors they will cover yen to prevent the extended losses even though they would not to unwin