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題名：央行發言對匯率的影響- 文本探勘分析之應用
作者：洪慧玲
作者(外文)：HUNG, HUEY-LING
校院名稱：國立高雄科技大學
系所名稱：財務金融學院博士班
指導教授：魏裕珍
學位類別：博士
出版日期：2022
主題關鍵詞：央行發言；外匯市場；匯率波動；訊息情緒；內容分析；central bank's speech；foreign exchange market；currency fluctuation；information sentiment；content analysis
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本研究探討央行對臺灣金融市場美元兌新台幣匯率(USD/NTD)的影響，與先前研究差異在於，本研究蒐集央行在其網站揭露的各類發言與新聞稿，應用文本探勘方法量化央行發言之資訊，並進一步分析央行發言之資訊內涵對匯率報酬及匯率波動之影響。研究證實，央行發言有助匯率之價格發現，實證結果支持央行發言資訊有助減緩匯率波動，增進外匯市場之訊息反應效率，分析發現，在央行理監事會議及金融危機時期，央行發言訊息情緒指標有助於減少並穩定外匯波動，而新聞資訊發布亦可能從央行發言或新聞稿中引用相關資料，經彙整後再發布新聞，因此央行於網站上揭露之資訊確實有其影響力。實證結果支持央行透過公開發言建立其與市場參與者溝通管道，並在不同市場情境發揮溝通效果，有助減少市場參與者的訊息不對稱，促使央行實現更有效的溝通政策。
This study explores the impact of the central bank’s speech on the USD/NTD exchange rate in Taiwan’s financial market. The difference between this study and previous studies is that it collects various speeches and press releases exposed by the central bank on its website, applies text mining analysis methods, and further analyzes the impacts of central bank’s speech on USD/NTD exchange rate returns and fluctuations. The empirical results confirm that the central bank’s speech affects the exchange rate market, and the impact is more significant during the regular Governors’ meeting of central bank and during the periods of financial crisis. Sentiment indicators constructed by the central bank’s speech can reduce exchange rate fluctuations, and news information may also quote relevant information from central bank statements or press releases to aggregate and release news information. Therefore, information disclosed on the central bank’s network still exist the impacts. The research results support the central bank to establish its communication channels with market participants through public speeches and to exert communication effects in different market situations. This helps reduce the asymmetry of market participants’ information and promotes the central bank to implement more effective communication policies.
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