美國量化寬鬆對日本資產市場之外溢效果

Abstract

自全球金融整合以來，主要經濟體的貨幣政策就像是強大的金融衝擊，影響著其他經濟體之資金結構與資產價格。2019年的新冠疫情，使金融市場震盪、供應鏈崩潰，美國實施了量化寬鬆，大規模的資產購買計劃替市場創造巨額的流動性。值得注意的是，每個國家之經濟規模與性質不盡相同，本研究以美國與日本為研究對象，利用結構式向量自我迴歸模型(Structural Vector Autoregression Model)來分析美國執行量化寬鬆政策對日本資產市場的外溢效果。變數包括美國工業生產指數、美國通貨膨脹率、聯準會持有證券、日本十年期公債、日經指數以及美國兌日本匯率，實證期間自2008年1月至2022年12月，共180筆月資料。主要的實證結果發現，美國量化寬鬆政策確實對美國與日本資產市場產生特定的顯著效果。QE使美國國內產出增加，同時帶來通貨膨漲；對於日本的股票市場，有先跌後升的影響；而匯率整體呈負向關係，即日圓相對貶值。至於日本的債券市場並沒有顯著的效果，可歸因於日本的政策利率長期處於低水準，因此對於美國政策的衝擊呈現較溫和的影響。Since the global financial integration, the monetary policies of advanced economies have acted as powerful financial shocks, affecting the funding structure and asset prices of other economies. COVID-19 has caused turmoil in financial markets and disruption in supply chain. In response, the United States implemented quantitative easing, a large-scale asset purchase program creating substantial liquidity in the market, which also triggered memories of the financial crisis.However, each country's economy differs in size and nature. This study applies a Structural VAR approach to analyze the spillover effects of U.S. quantitative easing on Japan asset markets. The variables include the U.S. Industrial Production Index, U.S. inflation rate, securities held outright on the balance sheet of the Federal Reserve, Japanese ten-year government bonds, Nikkei index, and the U.S. dollar to Japanese yen exchange rate. The sample period covers 180 monthly data points from January 2008 to December2022. The main empirical findings reveal that the U.S. quantitative easing shock indeed affects both the U.S. and Japan asset markets significantly. QE leads to an increase in the U.S. domestic output and inflation. As for Japan stock market, there is an initial decline followed by an increment. Japanese Yen has shown an overall depreciation in tandem with the QE periods. While the U.S. policy shock does not show a significant impact on the Japan bond market, which can be attributed to Japan long-term low policy interest rates, keeping the impact of the U.S. policy shock more moderate.