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| 研究生： |
吳艾庭 Wu, Ai Ting |
|---|---|
| 論文名稱： |
市場對政治的反應: 美國總統大選對墨西哥幣的影響 Market responses to politics: The impact of U.S. presidential elections on the Mexican Peso |
| 指導教授： | 張元晨 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 財務管理學系 Department of Finance |
| 論文出版年： | 2016 |
| 畢業學年度： | 105 |
| 語文別： | 英文 |
| 論文頁數： | 34 |
| 中文關鍵詞： | 墨西哥幣 、川普 、希拉蕊 、美國總統大選 |
| 外文關鍵詞： | Mexican Peso, Donald Trump, Hillary Cliton, U.S. presidential election |
| 相關次數： | 點閱：204 下載：7 |
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許多文獻已經研究過政治事件和外匯市場之間的關聯性。然而，較少研究聚焦在一個國家的政治事件是如何影響另外一個國家的匯率。因此，本文章主要在探討2016美國總統大選如何影響墨西哥幣兌美元的走勢。我們使用EGARCH 模型來衡量美國總統候選人的民調對匯率的平均或波動所造成的影響。實證結果發現美國總統大選會對墨西哥幣兌美元產生較大的波動，希拉蕊的民調增加也會造成墨西哥幣的升值。因此，本文檢驗政治活動會對外匯市場產生影響的假說，也進一步提出實證結果支持一國的匯率會受到他國政治因素牽動的看法。
Many articles have shown the relationship between political events and currency markets. Nevertheless, few studies provide empirical evidence on how one country’s political elections have impact on movements of exchange rate in other country. In this paper, we attempt to provide some empirical results by analyzing the impact of the 2016 United States presidential election on Mexico’s currency market. We use EGARCH models to estimate the influence of recent U.S. presidential candidates have on the mean and the variance of the Mexican foreign exchange market. We find statistically significant evidence that U.S. presidential election is associated with higher volatility of Mexico’s currency market, and the increase in the chance for a Clinton to win has positive impact on mean return of the peso-dollar exchange rate. These findings offer important insights into the expected impact of the United States presidential elections on the Mexican peso and more generally, the relationship between political events and foreign exchange market.
1.Introduction 1
1.1 Motivation 1
1.2 Purpose and Contribution 3
1.3 Structure of the Thesis 4
2.Background of 2016 United States presidential election 5
3.Literature Review 7
3.1 Stock Market Responses to Politics 7
3.2 Foreign Exchange Market Responses to Politics 9
3.3 Hypothesis 9
4.Data and Methodology 11
4.1 Sample Selection 11
4.2 Methodology 12
5.Empirical Results 15
6.Discussion 18
6.1 The Growing Impact on Social Media 18
6.2 How Global Financial Markets Response to Trump’s Victory 19
6.3 Future Work 20
7.Conclusion 21
Table 1 23
Table 2 25
Table 3 26
Table 4 27
References 28
Appendix A 30
Appendix B 31
Appendix C 32
Appendix D 32
Appendix E 33
Appendix F 34
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