通貨膨脹對上市內銷與外銷公司股票報酬率之影響

The Effect of Inflation Rate on Stock Exchange Return Rate of Taiwan Domestic and Export Industries

翁國禎(Kuo-Chen Weng)

指導教授 ： 謝德宗

國立臺灣大學/社會科學院/經濟學研究所/碩士(2008年)

https://doi.org/10.6342/NTU.2008.00439

摘要

在經濟體系運行過程中，包括物價、貨幣數量與匯率等許多總體因素都會直接或間接影響經濟情況，進而影響股市交易活動，顯示總體經濟指標與股市間存在極密切關係，如：內銷產業營運狀況與景氣循環密切關連，而外銷產業盈餘則深受匯率波動影響。但在所有經濟因素中，直接與投資人息息相關者，則非通貨膨脹因素莫屬。是以股票報酬率和通貨膨脹率、產業型態以及各種總體經濟指標間存在何種關係，值得進一步研究。

為探討影響台灣外銷產業與內銷產業公司股票報酬率的因素，進而驗證在通貨膨脹過程中，兩種產業公司股票報酬率與通貨膨脹率間的互動關係，以及貨幣政策與財政政策帶來的影響等，本文選擇研究期間為1987 ~ 2006年的年資料作實證迴歸分析，而針對總體變數的預期，本文採用適應性預期與理性預期兩種方法，分別對內銷產業及外銷產業的公司股票報酬率作預測之比較。

本文實證結果摘錄如下：
(1) 雖然內銷產業重視總體因素，外銷產業重視個體因素，兩種各有不同的差異性，造成各種總體因素對兩產業有不同的影響程度。但長期而言，本文選取的總體經濟變數對兩種產業之股票報酬率均發揮顯著影響。

(2) 經由實證觀察結果，長期而言，雙率對兩種產業之影響均顯著，且符合利率(商業本票利率 )變動與股票報酬率負相關，預期匯率貶值不利於股市之理論。

(3) 在預期形成方式的採用上，本文的適應性預期係採用前三期的歷史資料，理性預期則是平均猜中未來一期的變數值，不同預期形成方式對兩種產業股票報酬率影響的實證結果有所不同。由於歷史資料數據明確，在實證結果中仍有較為良好的表現，如在適應性預期方面，匯率可明顯區分出對兩種產業之不同影響，符合理論與以往實證結果，但在理性預期方面，匯率影響兩種產業的程度相近，則難以區別。

(4) 針對Fisher方程式的檢驗，無論使用適應性或理性預期的方法，外銷產業或內銷產業的實證結果都和Fisher方程式預設通貨膨脹率和實質利率係數為 l 的設定不同。其中的重要原因是：Fisher方程式是針對固定收益證券(債券)，而本文是對股票報酬率進行實證，後者將涉及公司營運的實質面變化，影響因素較多，從而造成和Fisher臆說不同的結果。

(5) 針對M1b與M2成長率各別在一對一變數關係的實證結果比較，可以發現M1b與M2成長率均顯著影響內銷產業與外銷產業，且理性預期影響程度較適應性預期為大。

(6) 比較貨幣政策和財政政策效果的影響，可以發現貨幣政策有其延續性效果，過去的貨幣政策會持續影響到目前的股票報酬率，但過去的財政政策卻無此效果。在理性預期下，預期政府淨支出成長率對兩產業報酬率皆有正向顯著影響，此觀察結果印證了股票報酬率對財政政策會提前反應其變動的說法。

關鍵字

Fisher方程式 ； 通貨膨脹率 ； 貨幣政策 ； 財政政策 ； 適應性預期 ； 理性預期 ； 縱橫資料

並列摘要

In the economic system movement process, many macroeconomic variables have influence to the economy, and furthermore to the condition of stock exchange. It shows there is close connection in between macroeconomic index and stock market, for example : the sales of domestic industry are influenced by business cycle, and variation of exchange rate strong affect export industry’s revenue. However, the inflation rate plays a strong role. Therefore this article selects Taiwan stock return rate of domestic and export industries as the main research.
In order to discuss which factor decides stock return rate of domestic industry and export industry in the process of inflation, as well as to see the effects of monetary policy and financial policy, this article chooses year material which is from 1987 to 2006. In view of overall expected variable, this article uses adaptive expectation and rational expectation method.
This article’s empirical results are simplified as follows:
(1) Even the domestic industry’s special characteristic is different to export industry’s , the former has bigger connection with macroeconomic variables and the latter has bigger connection with microeconomic variables. In the inflation process, they reflected the specific industry the nature which enable them respectively to have the different response. In the long term, they are apparently influenced by all macroeconomic variables selected by this article.
(2) In view of the interest rate and exchange rate, both have influence to domestic industry and export industry. It has proven the hypothesis that interest rate has positive significant effect to stock return rate and exchange rate has negative significant effect.
(3) The adaptation of formation to be expected is adapting historical data and the rational expectation method refers to future data. So they have different empirical result. The former is better than the latter because of adequate and correct historic data. For example, it is clear to exchange rate has difference effect to both industries with adaptive expectation method, but the rational expectation method doesn’t have the same result.
(4) In view of the Fisher equation examination, regardless of using adaptive expectation or rational expectation method, the empirical results are different from Fisher hypothesis. The important reason is that this article uses stock return rate as research target, it will be involved with the company’s factors more.
(5) In view of the M1b and the M2 growth rate, the stock market is closely linked both growth rate, but rational expectation method has a bigger influence to adaptive expectation method.
(6) The monetary policy has its continuous effect, the past monetary policy can continue to affect the nowadays stock return rate, but the past fiscal policy actually did not have this effect. The growth of net government expenditure have positive significant effects to both industries with adaptive expectation method, it has proven the hypothesis that stock return rate is influenced by the earlier monetary policy.

並列關鍵字

Fisher equation ； inflation ； monetary policy ； financial policy ； adaptive expectation ； panel data

參考文獻

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