經濟政策不確定性對於外匯市場的影響;Impacts of Economic Policy Uncertainty in Foreign Exchange Markets

NCUIR > School of Management at National Central University > Department of Finance > Research Project > Item 987654321/79212

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/79212

Title:	經濟政策不確定性對於外匯市場的影響;Impacts of Economic Policy Uncertainty in Foreign Exchange Markets
Authors:	高櫻芬
Contributors:	國立中央大學財務金融學系
Keywords:	經濟政策不確定性;貨幣風險溢酬. 資訊效率;交易量;Economic Policy Uncertainty;Currency Risk Premium;Informational Efficiency;Trading Volume
Date:	2019-02-21
Issue Date:	2019-02-21 15:03:27 (UTC+8)
Publisher:	科技部
Abstract:	本計畫探討經濟不確定型對於外匯市場的影響, 分別由貨幣的風險溢酬, 匯率的資訊效率，與匯率與外匯交易量對於貨幣政策之反應來探討. 透過由全球經濟不確定性與個別國家的經濟不確性來探討期對於匯率的變化與外匯市場ˋ 價個效率和交易活動的影響, 藉以深入了解經濟環境的變化與總體經濟政策的對於外匯市場之影響。 ;In times of high economic uncertainty about fiscal, regulatory, and monetary policies, rational agents would behave more conservatively and react to increase precautionary saving and decrease real investment, and rebalance portfolios away from risky assets towards safe assets. This project aims to study three themes about how foreign exchange (FX) traders react to heightened economic uncertainty in currency pricing, trading activities, and the response to monetary policy news. The first sub-project explores if uncertainty is or is not priced into currency excess returns. We are interested to understand how return dynamics on risky currencies differ from those of safe currencies in the face of variations in economic uncertainty. The second sub-project investigates how informational efficiency varies with the variation in economic uncertainty. The third sub-project studies if the reaction of currency returns, trading volume, and volatility to U.S. monetary policy news change with global economic uncertainty.
Relation:	財團法人國家實驗研究院科技政策研究與資訊中心
Appears in Collections:	[Department of Finance] Research Project

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