| Summary: | 碩士 === 國立成功大學 === 財務金融研究所碩士在職專班 === 103 === Since the 2008 financial crisis outbreak due to the 2007 subprime mortgage crisis, governments around the world have implemented a variety of traditional monetary policies to rescue the economy. However, those policies failed to provide instant resolution on the situation. In 2008, the chairman of the Federal Reserve, Ben Bernanke, announced the implementation of the Quantitative Easing (QE) policy starting in March 2009. Japanese and European Central Banks also implemented the QE policy following the USA. The series of QE competition resulted in hot money cross flow to global stocks, real estate and commodity markets, which resulted in the concern of bubble bursting of the risk assets. Inevitably, Taiwan also suffered from it.
In this study, the relation of US dollar Index and NT dollar exchange rate before the QE periods (from March 2001 to October 2006) and during the QE periods(from March 2009 to October 2014) are studied. Vector Auto Regression (VAR) model is used to study the correlation between US dollar index and NT dollar exchange rate fluctuation.
The results significantly indicate that the impact of the US dollar index against NT dollar exchange rate was three times higher during QE periods. The results may be helpful for the import and export companies, market investors, and the government’s monetary policy.
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