股價與貨幣變化關係分析—門檻模型的應用

既有探討股價與貨幣的關係皆使用線性模型進行研究，然而經濟變數之間的互動存在許多非線性關係，因此本文嚐試從一個比較符合現實狀態的非線性門檻模型出發，以評估國內於不同的景氣狀況下，股價與貨幣的關連性。為了排除通貨膨脹對資產報酬的影響，分析過程中將股價報酬與貨幣供給用躉售物價指數予以平減。研究期為1971年1月至2004年12月。本文實證研究可發現，當以領先指標及同時指標為門檻變數時，依門檻變數所界定之不同區間，股價與貨幣間存在不同之關連性，貨幣與股價間存在雙向、單向甚或不相互影響之關係。最後本文就線性與非線性模型之估計結果比較，得知非線性模型的解釋能力較佳，這顯示非線性門檻模型探討股價與貨幣的關連性是適當的。

關鍵字

重新排序迴歸；貨幣；多變數門檻模型；非線性檢定；預測殘差；逐次最小平方法；股票價格

並列摘要

This research considers the relationship between stock prices and money supply in a nonlinear framework. Unlike previous studies based on linear VCEM or VAR models, we employ a multivariate TAR model based on Tsay(1998)'s paper to investigate the linkage between stock returns and money supply growth under different status of economy. The empirical results indicate that cointegration is absent between stock returns and money supply growth. Whereas, by using leading indicator as threshold variable, we find the relations between stock prices and money supply are subject to change under different phase of business cycles.

並列關鍵字

Arranged autoregression ； Money ； Multivariate threshold model ； Nonlinearity test ； Predictive residuals ； Recursive least squares ； Stock prices

參考文獻

[1] Baghli, M. (2004), “Modelling the FF/DM rate by Threshold Cointegration,” Applied Economics, 36, 533-548.

[2] Barnes, M. L. (1999), “Inflation and returns revisited: a TAR approach,” Journal of Multinational Financial Management, 9, 233-245.

[4] Caner, M., and Hansen, B.E. (2001), “Threshold Autoregression with a Unit Root,” Econometrica, 69, 1555-1596.

[5] Chan, K.S. (1993), “Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model,” Annals of Statistics, 21, 520-533.

[6] Chaudhuri, K., and Smiles, S. (2004), “Stock market and aggregate economic activity: evidence from Australia,” Applied Financial Economics, 14, 121-129

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股價與貨幣變化關係分析—門檻模型的應用

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