The Impact and Factor Analysis of Quantitative Easing on Stock Market, Exchange Market and Foreign Reserve: Evidence from Asia Region
| Autor: | Lin, Jung-Hsuan, 林蓉萱 |
|---|---|
| Rok vydání: | 2018 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 106 Since the financial crisis in 2008, the Fed’s interest rate was too low that they couldn’t use traditional means to stimulate market, instead, they introduced abnormally Quantitative Easing policy to rescue market from liquidity traps. This study divides into three parts. The first part mainly discusses the impact of FOMC’s eight annual meetings and the important dates of announcement on the stock and exchange markets of ten Asian countries. According to the analysis, the exchange rate is significant in four and five countries after announcement of QE1, QE3 and QE3 tapering, while the stock market is significant in five and three countries after the announcement of QE1 and QE3 tapering. This article further observes whether the funds has flowed to or outflowed from Asia after announcement of QE and reduction on balance sheet. It considers not only on the exchange rate, foreign exchange reserve, stock index, but the Capital Push Index I and II to examine capital flows of QE. We find out that QE1 and QE3 tapering has the largest effect on both of exchange, reserve and stock market, causing funds inflow after QE1 and funds outflow after QE3 tapering. Finally, this paper analyzes the different market conditions such as overall economic, market size, quantity of capital inflows or outflows, capital sensitivity and monetary base. This research uses regression methods to test which factors will result in preference of funds between countries. The result shows that quantity of capital inflows or outflows and capital sensitivity are two reasons in exchange rate market during QE1, with capital sensitivity in stock market. Meanwhile, monetary base factor is notable after QE3 tapering, which means some countries maintain stable growth of stock market by releasing domestic currency while exchange rates and reserve keep dropping. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|