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.

中文摘要 i
ABSTRACT ii
誌謝 iii
Contents vi
List of Tables viii
List of Figures viii
1. Introduction 1
1.1. Motivation and Purpose 5
1.2. Research Process 7
2. Literature Review and Hypothesis Development 8
2.1. News Impacts on Financial and Currency Markets 8
2.2. Analysis of the Central Bank's Speech 11
2.3. Analysis of the Central Bank Board of Governors Meeting 13
3. Data Description 17
3.1. Analysis of Sample Selection 17
3.2. Construction of the Central Bank's Speech Indicator 20
3.2.1 Impact of the Number of Central Bank Press Releases or the Number of Charts Exposed 20
3.2.2 Content Analysis of Central Bank Press Releases 22
3.2.3 Adopting the Lag Term of the Central Bank’s Speech 24
4. Methodology 26
4.1. Establishment of Central Bank Indicators and Currency Fluctuation Measurement 26
4.2. Regression Analysis of Press Releases and Exchange Rates Issued after the Central Bank Board of Governors Meeting 27
4.3. Regression Analysis of the Impacts of Central Bank's Communication on the Appreciation of the NTD 29
4.4. Regression Analysis of Financial Crisis and NTD Exchange Rate Fluctuation 30
5. Empirical Analysis 32
5.1. Summary Statistics 32
5.2. Correlation Analysis 38
5.3. Regression Results and Analysis 42
5.4. Regression Analysis of Press Releases and Exchange Rates Issued after the Central Bank Board of Governors Meeting 45
5.5. Regression Analysis to Prevent the Appreciation of the NTD 51
5.6. Regression Analysis of Financial Crisis and NTD Exchange Rate Fluctuation 54
6. Conclusion 56
6.1. Further Reading 58
6.2. Limitations 59
References 61
Curriculum Vita 65

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