本研究探討日圓匯率變動對於日本與其主要貿易夥伴美國和中國市場間股價報酬、長短期利率的相互影響,樣本取自於2010年至2015年,研究結果發現利率平價定理與股票平價定理皆能解釋日圓匯率的變動,同時受安倍政府控制的影響,匯率與兩地間股價報酬差異呈正相關。其次,美國經濟變數不受日本經濟變數影響,而日本經濟變數受美國影響較深。由於市場成熟度與資訊透明度,日本經濟變數多領先中國經濟變數變動。最後,根據變異數分解的結果顯示,由於美國為經濟大國,美股報酬與3個月短期利率較為外生;而中國市場因較為封閉,導致人民幣匯率與中國股市報酬較為外生。
This paper investigates the co-movement among exchange rate, stock returns, 3 months interbank offered rates, and 10-year bond yields in Japan and its’ top two trade partners, the USA and China during 2010-2015. We find both interest Rate parity and stock return parity condition can explain the yen fluctuation. Estimation of the positive relationship between the yen fluctuation and the stock return parity condition largely because of the Abe’s policy. Second, the US economic variables are not affected by Japan ones, but the Japan economic variables are deeply affected by USA. Because of the market maturity and transparency of information, Japan’s economic variables are frequently leading China’s. At last, according to the results of the variance decomposition, the US’s stock returns and 3-month short-term interest rates are exogenous due to its larger depth of market. In contrast, the RMB fluctuation and its stock returns are exogenous from its closed economy.