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題名 | 貨幣政策、外匯市場與股票市場間恆常與暫時波動性之分析=The Permanent and Temporary Volatility Analyses among Money, Foreign Exchange and Stock Markets |
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作者 | 吳佩珊; 鄭婉秀; 邱建良; 邱哲修; | 書刊名 | 商管科技季刊 |
卷期 | 3:2 2002.06[民91.06] |
頁次 | 頁161-177 |
分類號 | 561.18 |
關鍵詞 | 貨幣政策; 匯率; 股價; 恆常波動性; 暫時波動性; Monetary policy; Exchange rate; Stock price; GARCH; Permanent volatility; Temporary volatility; |
語文 | 中文(Chinese) |
中文摘要 | 本研究利用單變量及雙變量VAR-GARCH模型研究分析臺灣股價、匯率與貨幣供給三變數間之關連性,並將條件變異數分解為恆常與暫時兩因子,進而分析其長、短期的影響關係。實證結果發現,貨幣供給對股價呈現正面且單向之因果關係,表示當政府採行寬鬆貨幣政策時,將會刺激市場上之投資,對股價產生正面影響,相反的股價對貨幣供給之影響力則較弱。換句話說,貨幣政策本身並不會受到股市之強烈干擾,政府可利用貨幣政策來管理股市。在匯率與貨幣供給方面,則呈現負相關,具雙向之因果關係,透過央行之公開市場操作,以及經常帳之變化來達成;至於股價與匯率在總和檢定中則呈現獨立之關係,兩者之關連性以貨幣供給為傳導媒介,是為間接影響。再者,在條件變異數分析方面,股價-貨幣供給、股價-匯率以及匯率-貨幣供給三組之波動性不論在長期、短期下都存在有相關性。 |
英文摘要 | This paper analyzes the relationship among stock price、exchange rate and monetary supply in Taiwan, using unit-variable and bi-variables VAR-GARCH model. We separate the conditional variance into permanent and temporary parts, in order to analyze the long-term and short-term effects among three variables. This paper finds that monetary supply affects stock price in a positive and one direction way. It indicates that the tight monetary policy can stimulate investment, in the following, stock price will go up, but monetary policy cannot be affected deeply by stock market. In other words, government can direct stock market through monetary policy. Exchange rate and monetary supply have adverse relationship, and they can affect to each other through open market operation of central market and the change iin current account. We also find that the indirect relationship exits between stock price and exchange rate. Monetary policy plays the roles of intermediary. Lastly, volatility in every two variables has relationship whether in long-term or short-term period. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。