東南亞金融風暴前後東協五國股市與匯率、利率以及貨幣供給之互動關係

Stock Market, Exchange Rate, Interest Rate, and Money Supply—Evidence from ASEAN-Five before and after Southeast Asian Financial Crisis

陳昭穆(Chao-Mu Chen)

指導教授 ： 陳思寬

國立臺灣大學/管理學院/國際企業學研究所/碩士(2007年)

https://doi.org/10.6342/NTU.2007.01520

摘要

在亞洲金融危機爆發前，東亞各國陶醉在十多年的經濟榮景中，各國成長的動能更吸引國際資本巨額的流入。然而在各國股市翻升數倍的背後，卻是不健全的金融體制以及虛弱的經濟基本面；這個被越堆越高的泡沫終究在1997年泰國政府與企業償債能力遭市場質疑時宣告崩解，風暴效應快速襲捲鄰近國家。

本研究以1990年1月到2006年4月的資料作為基礎，並以1997年7月1日泰國放任泰銖貶值作為時間上的分界，佐以單根檢定、Granger因果相關檢定、分配落遲模型、向量自我迴歸(VAR)模型，以及衝擊反應分析，來探討金融風暴前後同屬小型開放經濟體的東協五國(印尼、馬來西亞、菲律賓、新加坡、泰國)，其股市與利率、匯率、貨幣供給三變數間互動情形。

實證發現，股市與匯率的相關性最為強烈，大部分國家在金融風暴發生前匯市波動均領先股市走向，甚至出現股匯市互為領先的情形。然而其間的互動狀態卻在風暴後改變；除了領先情形不同外，匯率的落遲期對股價的影響期間縮短，但強度增加；衝擊反應分析則發現，各國股價在金融風暴發生後對匯率隨機衝擊的反應會增強，方向亦趨於統一，顯示金融風暴的確會改變經濟變數間互動關係。

至於利率、貨幣供給等貨幣變數與股價間的相關性與互動情形，相較之下較匯率與股價間為不顯著，但卻日益扮演重要角色，因為分配落遲模型與衝擊反應分析的結果，顯示在金融風暴後貨幣變數落遲期對股價的影響強度增加，且金融風暴亦使各國股價受其貨幣變數衝擊後的反應趨於相近。

關鍵字

匯率 ； 利率 ； 貨幣供給 ； 股價 ； 單根檢定 ； Granger因果檢定 ； VAR模型 ； 衝擊反應分析 ； 東南亞金融風暴

並列摘要

Countries in East Asia had experienced decades of highly fast economic growth before Asia Financial Crisis, and the momentum of growth attracted giant amounts of international capital flows into stock markets at that time. However, the truths behind the prosperity were lame financial system and weak fundamental of economy in each country. The continuously growing bubble finally crashed when Thai government and enterprises were doubted on their debt-paying ability by the market in 1997. The economic crisis, like a plague, transmitted to neighbors very quickly.

This thesis uses data covering from January 1990 to April 2006 and sets July 1st 1997, the day Thailand decided to float Baht, as the watershed which separates our data into “pre-financial crisis” and “post-financial crisis.” Then this article discusses how stock market would interact with exchange rate, interest rate and money supply in Asian-Five, which are all small and open economic systems, by adopting unit root test, Granger causality test, VAR model and impulse-response analysis.

This article finds that stock market is highly related to exchange rate. The fluctuation of exchange rate leads stock market before crisis in most countries and even in some cases we find a mutual-leading relation. However, these interaction relations changes in post-crisis era. In addition to different results in Granger causality test, distributed-lag analysis also shows the duration that exchange rate’s lag item would affect stock indices decreased and lag item’s coefficient becomes intensified. Impulse-response analysis shows stock indices of ASIAN-5 would response to the random shock resulted from exchange rate in similar direction and more quickly after crisis, meaning financial crisis does change the interaction among economic parameters.

The interaction of interest rate and money supply to stock index are comparatively smaller than exchange rate to stock index, but they become more important because distributed-lag analysis and impulse-response analysis shows the similar outcome.

並列關鍵字

Exchange Rate ； Interest Rate ； Money Supply ； Stock Index ； Uni-root Test ； Granger Causality Test ； VAR ； Impulse-Response Analysis ； Southeast Asian Financial Crisis

參考文獻

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