物價、利率、股價、匯率關聯性探討

NHUIR > College of Management > Department of Business Administration, Master/Ph.D Program in Management Sciences > Disserations and Theses(Master and Doctoral Program in Management Sciences) > Item 987654321/20233

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Title:	物價、利率、股價、匯率關聯性探討
Other Titles:	A Study of the Relationship among Consumer Price Index, Discount Rate, Stock Index and Exchange Rate
Authors:	朱清貴 Jhu, Cing-guei
Contributors:	企業管理系管理科學碩博士班丁誌魰 Chih-ｗen Ting
Keywords:	衝擊反應;Granger因果關係;向量自我迴歸 Granger causality;VAR;Impulse responds function
Date:	2008
Issue Date:	2015-04-20 11:08:57 (UTC+8)
Abstract:	在當前國內外正面臨通貨膨脹壓力之際，研究物價、利率、股價、匯率之間的互動關係更是顯得重要。本研究利用VAR向量自我迴歸模型，探討此四個變數之關聯性，並加入衝擊反應函數(impulse responds function, IRF)的概念，觀察當其中一變數發生變動時，對其它變數所造成的衝擊影響，藉此驗證與釐清物價、利率、股市及匯市彼此間之互動情形，希望透過實證結果分析，以作為投資者投資、政府制定相關金融政策及學術研究者研究參考。　　　　由共整合關係檢定結果發現，股價、匯率、利率與物價間具有共整合關係，表示四個變數間具有長期均衡關係。Granger因果關係中發現，股價會影響利率，股價與物價兩者互相影響。在利率變異數分解關係中發現，利率除了被利率本身所解釋外，主要被股價所解釋，與Granger因果關係中的發現，股價指數會影響利率，結果相符合。　　While faced inflation pressure currently, the issue of the dynamic relationship among CPI, discount rate, stock index and exchange rate variables is much more important. This article uses the Vector Autoregression Model(VAR)to study the relationship among the four variables above in Taiwan, expecting to provide investors, the government and researchers with useful reference for their proposals of investment, politics and research strategies. Based on the impulse responds function, variance decomposition and causality test, we find following critical results: Stock index affect discount and discount can be affected by stock index. On the other hand, CPI can be affected by stock index and stock index can be affected by CPI and there is feedback relationship between each other.　　　　From the results of Johenson co-integration test, there are significant evidence of cointegration among CPI, discount rate, stock index and exchange rate variables and the results also reveal that long run equilibrium relationship exists among the four variables. By the variance decomposition, we also find discount rate is explained by stock index and the explaining power is the highest in the model. This is consistent rate with the finding in the Granger causality test. That is, stock index affect discount rate.
Appears in Collections:	[Department of Business Administration, Master/Ph.D Program in Management Sciences] Disserations and Theses(Master and Doctoral Program in Management Sciences)

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