The Impacts of Quantitative Easing Policy on the Determination of Exchange Rate

• Main Authors: Meel-Horng Lin, 林美紅
• Other Authors: Mei-Se Chien
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/f9x8kd

碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士在職專班 === 104 === The main purpose of the study is to explore how QE policy affects the relationship between exchange rate and macroeconomic variables by applying the data of Euro Area and Japan. The study applies several time series tests, such as cointegration and causality, to examine the model of exchange rate determination being based on monetary approach. The empirical results can be summarized as the followings： First, according to the results of cointegration, Euro will appreciate if the U.S. increases M2 for the ex-QE period, which confirms the model of monetary approach, but there is a converse result for the post-QE period. The changes of Japanese yen will consist with the expected results of monetary approach for both of periods. Second, most of the causalities between Euro and other variables are bi-directional for the ex-QE period, but Euro will lead other variables, except for the output in Euro area, for the post-QE period. As to the the causalities between Japan yen and other variables, most of them are no causalities for the ex-QE period, but Japanese yen and other variables, except for the output in Japan, will exist unidirectional or bi-directional causalities for the post-QE period. Finally, the results of forecast error variance analysis show that the change of the U.S. output can significantly influence Euro and Japanese Yen for the ex-QE period, but it is insignificant for the post-QE period.