淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


下載電子全文限經由淡江IP使用) 
系統識別號 U0002-2406201300272100
中文論文名稱 美國量化寬鬆貨幣政策對G2股匯市非線性因果關係探討
英文論文名稱 The Effect of Quantitative Easing Policy on the Nonlinear Causal Relationship between Stock and Exchange Rate – Evidence from G2
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 101
學期 2
出版年 102
研究生中文姓名 高儷珊
研究生英文姓名 Li-Shan Kao
學號 600530538
學位類別 碩士
語文別 中文
口試日期 2013-06-22
論文頁數 75頁
口試委員 指導教授-聶建中
共同指導教授-陳達新
委員-沈中華
委員-謝劍平
委員-聶建中
中文關鍵字 股價指數  匯率  門檻共整合模型  門檻誤差修正模型 
英文關鍵字 Stock index  Exchange rate  Threshold cointegration  Threshold error correction model 
學科別分類
中文摘要 研究以S&P500股價指數、人民幣兌美元匯率及上海證券交易所股票價格綜合指數為研究標的,就美國實施量化寬鬆貨幣政策的期間,QE1的2008年12月至2010年3月,共16個月期間,QE2的2010年11月至2011年6月,共8個月期間,利用非線性門檻誤差修正模型架構,分別研究美國實施量化寬鬆的貨幣政策對美國、中國的股票市場與匯率市場其相互間之長短期非線性因果關係。在研究方法上,採用Kapetanios et al.(2003) KSS非線性單根檢定以測試非線性的定態關係,並以Enders and Granger(1998)門檻自我迴歸模型(TAR)以及動差門檻自我迴歸模型(M-TAR)進行門檻共整合檢定,再進一步利用Enders and Granger(1998)及Enders and Siklos(2001)門檻誤差修正模型(TECM)來捕捉美國、中國的股票市場與匯率市場之長短期非線性不對稱效果。
從實證結果發現在非線性KSS與線性PP、KPSS與NP單根檢定法,檢測中、美股匯資料皆為I(1)數列。而在門檻共整合檢定部份,綜合發現無論是在QE1或QE2期間,中、美股匯皆存在有長期均衡的非對稱共整合關係。最後,由門檻誤差修正模型因果關係檢定綜合發現,在短期,美國的股價與匯率之間的關係屬於傳統理論。在長期,美國的股價與匯率之間的關係屬於傳統理論與投資組合理論,而中國的股價與匯率之間的關係,於QE1屬於傳統理論與投資組合理論,於QE2屬於投資組合理論。
英文摘要 This paper empirically investigates the exchange rate effects of the Chinese Yuan against the US dollar (CNY/US) on stock index in China and United State during the first round of quantitative easing (QE1) and the second round of quantitative easing (QE2). This study employs the newly threshold error-correction model (TECM) elaborated by Enders and Granger and Enders and Siklos, assuming the nature of the relationship between the variables is on the basis of non-linearity. The empirical evidence suggests that there is a long-run equilibrium relationship between CNY/US and the stock index of China and United State during the time period investigated. In addition, the results of TECM Granger-Causality tests show a short-run causal relationship exists between CNY/US and the stock index of United State. And no short-run causal relationship exists between CNY/US and the stock index of China. However, in the long-run a bidirectional causal relationships between CNY/US and the stock index of United State during in QE1 and QE2 strongly argues for the traditional approach and portfolio approach. And in the long-run a bidirectional causal relationships between CNY/US and the stock index of China during in QE1 strongly argues for the traditional approach and portfolio approach. But in QE2, there is positive causal relationship from the stock index of China to CNY/US, and also strongly argues for the portfolio approach.
論文目次 目錄
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 6
第三節 研究架構與研究流程 8
第二章 文獻回顧 10
第一節 貨幣政策與股價關聯文獻 10
第二節 匯率與股價關聯文獻 12
第三節 以非線性模型探討變數之因果關係文獻 15
第三章 研究方法 17
第一節 單根檢定 18
第二節 門檻共整合檢定 24
第三節 門檻誤差修正模型與 Granger Causality關係 29
第四章 實證結果 33
第一節 資料來源與變數選取 33
第二節 單根檢定 36
第三節 門檻共整合檢定 39
第四節 門檻誤差修正模型 48
第五章 結論 69
參考文獻 72

圖目錄
圖1-1-1 研究流程圖 9
圖4-1-1 S&P 500股價指數與上海證指數時間趨勢圖 35
圖4-1-2 人民幣兌美元匯率時間趨勢圖 35

表目錄
表4-1-1 變數之敘述統計 34
表4-2-1 PP單根檢定 36
表4-2-2 KPSS單根檢定 37
表4-2-3 NP單根檢定 38
表4-2-4 KSS 單根檢定 39
表4-3-1 QE1之人民幣匯率與S&P500股價指數模型非線性共整合測試 41
表4-3-2 QE1之人民幣匯率與上海證指數模型非線性共整合測試 43
表4-3-3 QE2之人民幣匯率與S&P500股價指數模型非線性共整合測試 45
表4-3-4 QE2之人民幣匯率與上海證指數模型非線性共整合測試 47
表4-4-1 QE1之S&P500股價指數與人民幣匯率門檻誤差修正模型的估計 53
表4-4-2 QE1之上海證指數與人民幣匯率門檻誤差修正模型的估計 56
表4-4-3 QE2之S&P500股價指數與人民幣匯率門檻誤差修正模型的估計 61
表4-4-4 QE2之上海證指數與人民幣匯率門檻誤差修正模型的估計 65
表4-4-5 門檻誤差修正模型綜合比較 68

參考文獻 一、 中文文獻
王偉、陶士貴(2011),〈人民幣匯率與股價動態相關性的研究-基於次貸危機前後的比較分析〉,技術經濟與管理研究,第9期,頁70-75。
沈中華、陳建福(2004),〈B股開放政策對中國大陸股票市場效率性有影響嗎?不對稱門檻共整合模型的應用〉,財務金融學刊,第11卷,第3期,頁 89-119。
吳鳳琴(2011),〈油價影響實質匯率乎?亞洲地區之實證〉,中華管理評論國際學報,第14卷,第3期,頁1-29。
陳仕偉、陳姿君(2011),〈匯率引導股價或股價引導匯率?G-7的實證研究〉,經濟與管理論叢,第7卷,第1期,頁102-133。
聶建中、楊超翔、高友笙(2011),〈次級房貸危機前後美股對亞股的不對稱性蔓延效果〉,中原管理評論,第9卷,第1期,頁25-52。
二、 英文文獻
Abdalla, I. S. A., and Murinde, V. (1997). Exchange rate and stock price interactions in emerging financial markets: Evidence on india, korea, pakistan and the philippines. Applied Financial Economics, 7, 25-35.
Ajayi, R. A., and Mougoue, M. (1996). On the dynamic relation between stock prices and exchange rates. The Journal of Financial Research, 19, 193-193.
Bahmani-Oskooee, M., and Sohrabian, A. (1992). Stock prices and the effective exchange rate of the dollar. Applied Economics, 24, 459-459.
Balke, N. S., and Fomby, T. B. (1997). Threshold cointegration. International Economic Review, 38, 627-645.
Bartov, E., and Bodnar, G. M. (1994). Firm valuation, earnings expectations, and the exchange-rate exposure effect. Journal of Finance, 49, 1755-1785.
Bernanke, B. S., and Kuttner, K. N. (2005). What explains the stock market's reaction to federal reserve policy? The Journal of Finance, 60, 1221-1257.
Branson, W. H. (1983). Macroeconomic Determinants of Real Exchange Rate Risk, Managing Foreign Exchange Rate Risk, Cambridge University Press, Cambridge, MA.
Campbell, J. Y. and Ammer, J. (1993). What Moves the Stock and Bond Markets? A Variance Decomposition for Long-term Assets Returns. Journal of Finance, 48, 3-37.
Chan, K. S. (1993). Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model. The Annals of Statistics, 21, 520-533.
Dornbusch, R., and Fischer, S. (1980). Exchange rates and the current account. The American Economic Review, 70, 960-971.
Enders, W., and Granger, C. W. J. (1998). Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics, 16, 304-311.
Enders, W., and Siklos, P. L. (2001). Cointegration and threshold adjustment. Journal of Business & Economic Statistics, 19, 166-176.
Engle, R. F., and Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55, 251-276.
Ewing, B. T., Hammoudeh, S. M., and Thompson, M. A. (2006). Examining asymmetric behavior in US petroleum futures and spot prices. The Energy Journal, 27, 9-23.
Fernandez, V. (2006). The CAPM and value at risk at different time-scales. International Review of Financial Analysis, 15, 203-219.
Gavin, M. (1989). The stock market and exchange rate dynamics. Journal of International Money and Finance, 8, 181-200.
Granger, C. W. J. (1981). Some properties of time series data and their use in econometric model specification. Journal of Econometrics, 16, 121-130.
Granger, C. W. J., Huang, B., and Yang, C. (2000). A bivariate causality between stock prices and exchange rates: Evidence from recent asian flu. Quarterly Review of Economics and Finance, 40, 337-354.
Granger, C. W., and Terasvirta, T. (2011). Modelling non-linear economic relationships. , Oxford University Press, Oxford.
Hansen, H., Juselius, K., (1995). Cats in rats: co-integration analysis of time series. Distributed by Estima, Evanston, IL.
Hekman, C. R. (1985). A Financial Model of Foreign Exchange Exposure. Journal of International Business Studies. 16. 83-99.
Jensen, G. R., and Mercer, J. M. (2002). Monetary policy and the cross-section of expected stock returns. The Journal of Financial Research, 25, 125-139.
Johansen, S. (1988). Statistical Analysis of Cointegrating vectors, Journal of Economic Dynamics and Control, 12, 231-254.
MacDonald, R., and Torrance, T. S. (1988). On risk, rationality and excessive speculation in the deutschmark-US dollar exchange market: Some evidence using survey data. Oxford Bulletin of Economics and Statistics, 50, 107-107.
Nieh, C. C., and Lee, C. F. (2001). Dynamic relationship between stock prices and exchange rates for G-7 countries. Quarterly Review of Economics and Finance, 41, 477-490.
Pan, M., Fok, R. C., and Liu, Y. A. (2007). Dynamic linkages between exchange rates and stock prices: Evidence from east asian markets. International Review of Economics & Finance, 16, 503.
Patelis, A. D. (1997). Stock return predictability and the role of monetary policy. The Journal of Finance, 52, 1951-1972.
Phylaktis, K., and Ravazzolo, F. (2005). Stock prices and exchange rate dynamics. Journal of International Money and Finance, 24, 1031-1053.
Pippenger, M. K., and Goering, G. E. (1993). A note on the empirical power of unit root tests under threshold processes. Oxford Bulletin of Economics and Statistics, 55, 473-473.
Sercu, P. and C. Vanhulle (1992). Exchange Rate Volatility, International Trade, and the Value of Exporting Firms. Journal of Banking and Finance, 16, 155-82.
Shafer, J. R., Loopesko, B. E., Bryant, R. C., and Dornbusch, R. (1983). Floating exchange rates after ten years. Brookings Papers on Economic Activity, 1983, 1-86.
Smith, C. E. (1992). Stock markets and the exchange rate: A multi-country approach. Journal of Macroeconomics, 14, 607-607.
Thorbecke, W. (1997). On stock market returns and monetary policy. The Journal of Finance, 52, 635-654.
Yau, H. Y. and Nieh, C. C. (2009). Testing for Cointegration with Threshold Effect between Stock Prices and Exchange Rates in Japan and Taiwan. Japan and the World Economy, 21, 292–300.
Zapatero, F. (1995). Equilibrium asset prices and exchange rates. Journal of Economic Dynamics and Control, 19, 787-811.
論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2013-06-25公開。
  • 同意授權瀏覽/列印電子全文服務,於2013-06-25起公開。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信