The Impact of US Quantitative Easing Policy on Real Exchange Rate

• Main Authors: LIU, WEN-TING, 劉文婷
• Other Authors: LIU, DE-CHIH
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/93989982288986511957

碩士 === 國立臺北大學 === 經濟學系 === 105 === Since the 2008 financial crisis, American economy faced problems like high unemployment rate, economic growth slowdown and the federal funds rate was set to the lowest level. In order to solve these problems, Federal Reserve announced the implementation of the Quantitative Easing (QE) policy. Thus the main purpose of this paper is to examine whether QE would influence the behavior of real exchange rate or not. Based on Theory of Purchasing Power Parity (PPP), we used Unit Root Test and Johansen's Co-integration Test to examine monthly data from January 2002 to December 2015. In this study, the proof shows that the impact of QE on PPP existed. Although our empirical investigation supports the existence of PPP both in pre- and post QE period, the co-integrated relationship changed. There were 3 co-integrated relationships before the QE period, but remaining 2 co-integrated relationships after the QE policy was executed.