本研究探討倫敦銀行同業拆放利率（London Interbank Offered Rate， LIBOR）於 2021年12月31日退場後，是否對英鎊兌美元匯率波動產生顯著影響。相較於既有文獻多聚焦於利率市場與基準利率制度改革本身，本文進一步關注其對外匯市場之外溢效果，特別是與LIBOR關聯程度較高之英鎊交易市場。本文使用CLS（Continuous Linked Settlement）五分鐘高頻匯率資料，建構英鎊兌美元之週已實現震盪變異（Realized Power Variation， RPV）作為波動指標，並以歐元、瑞法、日圓、加幣與澳幣兌美元匯率作為比較對象，同時納入利差（Interest Rate Differential， IRD）與金融市場情緒VIX指數（CBOE Volatility Index）作為控制變數。研究方法結合雙重差分法（Difference-in-Differences， DID）與合成控制法（Synthetic Control Method， SCM），分別由相對比較與反事實建構兩個面向進行分析。實證結果顯示，DID估計下呈現LIBOR退場後英鎊兌美元波動相對下降之結果，但由於事件前各組貨幣之趨勢一致性不足，DID結果較適合作為比較性證據。進一步採用SCM後發現，合成英鎊兌美元匯率在事件前能良好貼合實際英鎊兌美元匯率之波動走勢，而事件後實際英鎊兌美元之週波動率明顯低於合成路徑，且安慰劑檢定亦支持此一結果具特定性。整體而言，本文發現LIBOR退場後，英鎊兌美元匯率波動並未擴大，反而呈相對收斂現象，顯示基準利率改革對英鎊交易市場具有穩定化效果。;This study investigates whether the cessation of the London Interbank Offered Rate (LIBOR) on December 31， 2021， exerted a significant impact on the volatility of the GBP/USD exchange rate. While existing literature predominantly focuses on the interest rate market and the benchmark reform itself， this paper extends the scope to examine the spillover effects on the foreign exchange market， particularly the GBP trading market which is heavily tied to LIBOR. Utilizing Continuous Linked Settlement (CLS) five-minute high-frequency exchange rate data， this study constructs the weekly Realized Power Variation (RPV) of the GBP/USD as the volatility proxy. For comparison， the exchange rates of the Euro， Swiss Franc， Japanese Yen， Canadian Dollar， and Australian Dollar against the U.S. Dollar are employed， while the Interest Rate Differential (IRD) and the CBOE Volatility Index (VIX) are incorporated as control variables. The methodology integrates the Difference-in-Differences (DID) approach and the Synthetic Control Method (SCM) to conduct analysis from the dual perspectives of relative comparison and counterfactual construction. The empirical results from the DID estimations generally indicate a relative decline in GBP/USD volatility following the LIBOR cessation. However， due to a lack of parallel trends across currency groups prior to the event， the DID results are better suited as comparative evidence. Further application of the SCM demonstrates that the synthetic GBP/USD closely tracks the actual volatility trajectory of the GBP/USD during the pre-event period. Post-event， the actual weekly volatility of the GBP/USD is significantly lower than its synthetic counterpart， a result further supported by placebo tests confirming its specificity. Overall， this paper finds that the cessation of LIBOR did not amplify GBP/USD exchange rate volatility; instead， it led to a relative convergence， suggesting that the benchmark interest rate reform exerted a stabilizing effect on the GBP trading market.
