本論文研究目的在於探討: (1)美國股市至2014年來是否有大泡沫存在;(2)相較於過去自1951年起的股市泡沫，現今泡沫的大小；以及(3)為何美國貨幣政策會造成股市泡沫。不同於過去許多檢驗股市是否有泡沫存在的指標，本研究使用名目GDP，並認為名目GDP對股價指數(標準普爾 500指數)有吸引關係，但考慮1970年代的高通膨時期對兩變數關係的影響，研究中加入物價水準變數，再利用Engle-Granger共整合方法，根據S&P500股價指數、名目GDP與物價水準共整合之結果顯示，名目GDP、通膨率與股價之間有長期的關係存在，且美國股市有泡沫正在形成，其大小幾乎是歷史上最大的2000年網路泡沫時期泡沫的1/3到1/2，且其擴大的程度已經到達2007年金融危機時的泡沫的大小，此結果與美國金融研究辦公室報告中，用Q比率、CAPE 率和巴菲特率所得到的結果幾乎完全一樣，誤差修正穩定性檢驗的結果也顯示，1951到2014總共64年的季資料，有95%信度的資料結果，證實美國股市正處於一個泡沫之中。

The purpose of this research is to identify (i) whether there is a significant speculative bubble in the U.S. stock market as of late 2014, (ii) how large the bubble is relative to past bubbles dating back to 1951, and (iii) why current monetary policy may be causing the bubble. In contrast to traditional microeconomic indicators used to examine stock bubbles, we make use of nominal GDP only. Moreover, we explain why that this variable should be closely related to the stock price index. This thesis asserts that nominal GDP is a weak attractor for stock price (measured by the S&P 500 index). However, because of the high inflation period during the 1970s, which interrupted the close relation between stock prices and nominal GDP, the price level is added to the regression in a new and interesting manner. Using Engle-Granger cointegration methods, we found a surprisingly strong and complicated long run relation between nominal GDP, inflation, and stock prices. According to our empirical results, we found strong evidence of a bubble in the US stock market, whose size has already expanded to roughly 1/3 to 1/2 the size of the dotcom bubble of 2000, and is roughly the same size as the stock bubble in 2007. These results accord well with analysis made by the Office of Financial Research of the US government. Both CUSUM and CUSUMSQ tests verify that the associated error correction model is stable for quarterly data over the entire period 1951- 2014.

目錄

第一章	緒論	1
第一節	研究背景	2
第二節	研究主題與動機	10
第三節	研究方法	12
第四節	研究範圍與限制	16
第五節	基本研究結果	17
第二章	文獻回顧	19
第三章	股市泡沫的理論基礎	22
第一節	資產泡沫	22
第二節	傅利曼「貨幣政策的角色」	26
第三節	泡沫的調整	32
第四章	實證分析與討論	38
第五章	實證模型與結果	44
第一節	單根檢定	47
第二節	共整合檢定	51
第三節	誤差修正	55
第三節	實證結果	59
第六章	結論	61
參考文獻	64



 
圖目錄


圖1-1、美國1980-2013年私人與公共總信貸市場的債務	6
圖1-2 、S&P500 收盤價	6
圖1-3標普 10 年週期調整本益比（CAPE ratio）	7
圖1-4 Q比率	8
圖3-1   S&P 500股息發放率	23
圖3-2  公司稅後收益占GDP的比例	24
圖3-3 基礎貨幣成長	28
圖3-4 M2貨幣總成長	29
圖3-5寬鬆的貨幣政策	31
圖3-6個人儲蓄率走勢圖(1990-2014年)	33
圖3-7實際私人淨投資走勢圖(1990-2014年)	34
圖3-8  泡沫資本市場的三種調整方式	37
圖4-1 調整後股價與名目GDP迴歸線	39
圖4-2小平方迴歸分析(OLS) 長期吸引線	40
圖4-3 美國市場資本變動率與S&P500指數變動率之關係	42
圖5-1 本研究實證過程	44
圖5-2  ln(S&P) 和ln(NGDP) 最小平方法(OLS)迴歸模型	45
圖5-3 log(S&P)和log(NGDP)的線性關係	45
圖5-4 本研究之共整合邏輯	52
圖5-5 共整合檢定模型(考慮通膨)	57
圖5-5  兩變數之長期共整合關係	59
圖5-6  誤差修正模型的殘差累積和(CUSUM)穩定性檢驗	60
圖5-7 誤差修正模型的平方殘差累積和(CUSUMSQ)穩定性檢驗	60





 
表目錄

表1-1股市泡沫檢驗指標	21
表5-1 ADF對個別序列的單根檢定	47
表5-2 單根檢驗結果	50
表5-3 Engle-Granger 共整合檢定	54
表5-4 誤差修正模型	58

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