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題 名 | 臺灣地區股價與匯率、利率互動關係之研究--向量自我迴歸模式之應用 |
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作 者 | 俞海琴; 張錫杰; | 書刊名 | 中原學報 |
卷 期 | 22 1993.12[民82.12] |
頁 次 | 頁177-192 |
分類號 | 563.54 |
關鍵詞 | 總體變數; 股價波動; 向量自我迴歸模式; Macroeconomic variable; Stock market valitility; VAR model; |
語 文 | 中文(Chinese) |
中文摘要 | 本文係以向量自我迴歸模式探討臺灣地區股價、匯率與利率之互動關係。研究期間自1980年1月至1992年12月止共13年156筆月資料觀測值。經由衝擊反應函數、預測誤差分解及因果關係檢定發現,匯率之變動領先於股價及利率,即當匯率發生自發性干擾後,股價、利率才跟著變動。而匯率、利率雖對股市皆有顯著性的影響,然股市卻只對利率有因果回饋關係。另外,匯率與利率本身亦存在因果回饋關係,只是匯率變動通常在先。 就反應速度言,臺灣股市對匯率、利率資訊變動的反應,是在當期且立即的。然利率對股市、匯率資訊變動的反應,則有延遲的現象。由於匯率對股市具單向影響關係,而不像利率具雙向互動關係,因此若要制定穩定股市政策,匯率將是一個重要的控制變數及考慮因素。 |
英文摘要 | This paper is based upon 156 monthly data collected from January 1980 to December 1992. The purpose of this research is to apply the VAR model in analyzing the causal relationship among exchange rate, interest rate and stock index in Taiwan. Based on impluse function, variance decomposition and causality test, we find that exchange rate leads stock index and interest rate. Even though exchange rate and interest rate have significant influnce on stock market, the feedback relationship exists only between stock market and interest rate. In addition, the feedback relationship also exists between interest rate and exchange rate, but interest rate variation leads exchange rate. With respect to the speed of response, Taiwan's stock market almost responds instantaneously to exchange rate and interest rate variation. Interest rate, however, when compared with stock market and exchange rate variation, shows a lag phenomenon. Based upon the empirical research, we conclude that the exchange rate has a one-way impact on stock market. As a result, in order to stabilizing stock market, exchange rate will be a key control variable and consideration. |
本系統中英文摘要資訊取自各篇刊載內容。