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系統識別號 U0002-2506201116475100
中文論文名稱 股指、利率與匯率之長期均衡及短期動態關係研究--台灣實證
英文論文名稱 Long Run Equilibrium and Short Run Dynamic Relationships among Stock Index, Interest Rate and Exchange Rate—Taiwan Evidence
校院名稱 淡江大學
系所名稱(中) 全球華商經營管理數位學習碩士在職專班
系所名稱(英) E-Learning Executive Master's Program of Business Administration (EMBA) in Global Chinese Management
學年度 99
學期 2
出版年 100
研究生中文姓名 鄭淑娟
研究生英文姓名 Shu-Chuan Cheng
電子信箱 mango0221@hotmail.com
學號 798670260
學位類別 碩士
語文別 中文
口試日期 2011-05-23
論文頁數 49頁
口試委員 指導教授-莊孟翰
委員-聶建中
委員-陳光榮
中文關鍵字 股指  利率  匯率  時間序列  分散風險 
英文關鍵字 Stock Index  Interest Rate  Exchange Rate  Time Series  Diversification 
學科別分類
中文摘要 本研究利用時間序列的分析方法,深入探討匯率、利率與股價間之互動關係。實證結果首先得到單根檢定出三變數均為I(1)序列。進一步的Johansen共整合檢定得知,利率、匯率、股價指數間並沒有長期均衡的共整合關係,此意味著台灣地區的利率市場(銀行存款)、股票市場(股票投資)與匯率市場(匯率操作)存有投資組合中分散風險的利益。
本研究在因果關係檢定中得知,三變數的因果互動關係為利率領先股價指數、股價指數再領先匯率,此結果告訴我們:股價指數的走勢,受著政府價化貨幣政策之影響,而股價指數的走勢又領先影響著匯率的走勢。
最後,將因果關係所得之排序結果進行衝擊反應函數及變異數分解分析。衝擊反應分析檢定的研究結果發現,當股價指數發生衝擊時,對當期股價有極大影響,但對後市股價的衝擊影響將減弱,而其衝擊對利率政策的走向卻漸漸發生影響力。至於利率的衝擊發生,僅對自身衝擊極巨,且延續長期,對另兩變數影響力極微。另外,匯率發生衝擊時,亦僅在短期間有自我影響力,對另兩變數影響力皆不顯明。另由預測誤差變異數分解得知,利率波動的產生,雖不易受其他變數的解釋影響,然而於長期間將小幅度的被股價指數及匯率各分解部分解釋力;相反的,股價指數及匯率兩者的自我解釋能力無論長短期皆較高,表示股價指數及匯率的外生性都非常強,其波動完全不易受其他變數影響。
綜上有關匯率、利率與股價三變數互動之所得結果,可充分作為台灣投資人資產組合配置、企業經營單位營運決策、乃至政府政策單位設定施政目標的有校參考依據。
英文摘要 This study applies the time-series methodologies to deeply investigate the dynamic relationships among exchange rate, interest rate and stock price. The empirical result first finds that all three variables are I(1) stationary series. The further finding from Johansen cointegration test indicates that the three variables considered don’t have the cointegration relationship of the long run equilibrium. This implies that investors can be beneficial from the diversification when invest portfolio includes the three assets from the three markets of interest rate, stock and exchange rate.
The results of Granger causality show that the exogenous ordering is ordered as interest rate, stock index and then exchange rate. This result tells us that the monetary policy by the government will affect the trend of stock index, and further affect the movement of exchange rate.
Finally, we utilize the ordering from the above causal relation to fulfill the tests of impulse response function (IRF) and variance decomposition (VDC). The IRF first finds that the response of stock index to the shock itself only exists contemporary and declines when time pass by. The shock of stock index affects the trend of interest rate increasingly. The shock of interest rate heavily affects itself for whole period and the shock of exchange rate affects itself shortly, however, each of the two shocks do not affects the other two variables.
The final findings from VDC show that the volatility of interest rate can be explained by the other two variables in the long run. On the contrary, the volatilities of stock index and exchange rate are explained by each of themselves. This indicates that stock index and exchange rate have relatively stronger explaining power for the causes of fluctuations.
The conclusion remark is that the overall findings can be utilized for assets allocation for investors, for managerial strategies for enterprises and for policies set-up for governments.

論文目次 目錄
謝 辭 Ⅰ
中文摘要 II
英文摘要 III
目錄 IV
表目錄 V
圖目錄 VI
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構與流程 4
第二章 文獻探討 6
第一節 股價指數與匯率的相關文獻 6
第二節 股價指數與利率的相關文獻 7
第三節 利率與匯率的相關文獻 9
第四節 股價指數、利率與匯率的相關文獻 10
第三章 研究方法 13
第一節 單根檢定 15
第二節 共整合與誤差修正模型 19
第三節 Granger因果關係 26
第四節 衝擊反應函數 29
第五節 變異數分解 31
第四章 實證結果與分析 34
第一節 模型設定與資料分析 34
第二節 檢定結果與實證分析 35
第五章 結論與建議 44
第一節 結論 44
第二節 建議 45
參考文獻 46

表目錄
【表 4-1】水準項之ADF單根檢定結果 ................................................ 36
【表4-2】一次差分項之ADF單根檢定結果 ........................................ 36
【表4-3】共整合檢定結果表 ................................................................ 38
【表4-4】各變數因果關係表 ................................................................ 39
【表4-5】預測誤差變異數分解 ............................................................ 42

圖目錄
【圖 1-1】研究流程圖 ............................................................................ 5
【圖3-1】實證流程圖 .......................................................................... 14
【圖4-1】衝擊反應分析圖 .................................................................... 41
【圖4-2】各變數之變異數分解圖 ...................................................... 43

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