美國量化寬鬆對台灣半導體產業外溢效果的共整合與因果檢定

SPILLOVER AND CAUSAL EFFECTS OF THE QUANTITATIVE EASING 2020 ON THE TAIWAN SEMICONDUCTOR SECTOR

10.6338/JDA.202210_17(3).0004

張家豪(Chia-Hao Chang)；游為傑(Weichieh Wayne Yu)

美國2020量化寬鬆 ； 半導體產業 ； 外溢效果 ； auto regressive distributed lag model ； nonparametric quantile causality test ； QE4 ； semiconductor sector ； spillover effects ； auto regressive distributed lag model ； nonparametric quantile causality test

Journal of Data Analysis

17卷3期（2022 / 10 / 01）

59 - 81

繁體中文

本文章探討美國聯準會第四次量化寬鬆對台灣半導體產業的外溢效應，我們利用Auto Regressive Distributed Lag（ARDL）和Nonparametric Quantile Causality（NQC）檢定來分析以下各總經指標和台灣積體電路公司股價的共整合和分位數因果關係。考慮的總經指標有台／美領先指標比率、美國採購經理人指數等，研究的區間分成量化寬鬆前和量化寬鬆增速合併期間、及量化寬鬆增速和寬鬆減速合併期間，研究結果發現：ARDL呈現台／美領先指標比率在量化寬鬆增速和寬鬆減速合併期間，對台積電股價的顯著相關性，而NQC進一步檢定在量化寬鬆增速期間的熊市、盤整和牛市不同市場情緒下，各總經指標對台積電股價回報平均數和變異數不同的因果程度。

In this study, we investigate the spillover effects of quantitative easing in the U.S. during the COVID-19 pandemic (QE4). We adopt auto regressive distributed lag and nonparametric quantile causality approach to examine the causal effects of Taiwan on U.S. economic growth ratio (LEIR), Purchasing Managers' Index (PMI) on Taiwan Semiconductor Mfg. (TSM), iShares MSCI Taiwan ETF (EWT) and iShares Semiconductor Exchange-Traded Fund (SOXX) during the pre-QE4 and QE4 period, and QE4 and post-QE4 period. The results show that significant positive causalities can be detected during the combination of QE4 and post-QE4 period for LEIR on TSM. Meanwhile, during QE4period, strong causalities in conditional return (mean) and conditional volatility (variance) can be detected under extreme market conditions (greed emotions) for TSM.

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