美國貨幣政策與股匯市對物價影響-非線性平滑轉換誤差修正模型之應用

The Impact of U.S. Monetary Policies, Stocks and Currency on Goods Price-Application of Smooth Transition Error Correction Model

陳淑惠(Shu-Hui Chen)

指導教授 ： 陳玉瓏

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2009年)

https://doi.org/10.6846/TKU.2009.00328

摘要

本研究利用共整合模型探討美國貨幣政策、股市、匯市與物價長期均衡關係，並利用非線性平滑轉換誤差修正模型分析是否存在非線性之特質，以有效捕捉到線性模型無法觀察到的短期波動現象。
實證結果發現：
1、貨幣政策、股市、匯市與物價具長期共整關係，短期動態下非線性平滑轉換誤差修正模型，較誤差修正模型更能捕捉到非線性模型的短期波動現象。
2、短期動態調整行為，在平穩狀態下，前期消費者物價指數變動率、美元指數變動率與本期物價指數變動率為正相關；美國聯邦資金利率變動與消費者物價指數變動率呈負相關；誤差修正項係數為負數，顯示失衡調整力量能拉回至共移均衡。在大幅偏離狀態下，道瓊工業指數變動率、美國聯邦資金利率變動與消費者物價指數變動率為正相關；美元指數變動率與消費者物價指數變動率為負相關；誤差修正項係數為正數，顯示失衡調整力量，短期及長期下皆無法拉回至共移均衡，失衡情況愈加嚴重。
3、平滑轉換誤差修正模型可捕捉到美國股價指數變動率對消費者物價指數變動率，為正及無相關（在不同狀態下）。

關鍵字

貨幣政策 ； 股市 ； 匯市 ； 物價 ； 非線性平滑轉換誤差修正模型

並列摘要

This research utilizes the cointegration model to explore the long-run equilibrium relationships of monetary policy, stock market, foreign exchange market to the price level. In order to catch the phenomenon of short run fluctuations, that can't be observed effectively by the linear model, the STECM model (Smooth Transition Error Correction Model) is also been used to analyze if there exist the nonlinear characteristics.
The empirical results find that the macroeconomic variables of monetary policy, stock market and foreign exchange market has long-run cointegration relationships with price level. The STECM Model can catch the phenomenon of short run fluctuations in nonlinear model better than the error correction model under the short run dynamics. About the short run adjustment behavior, in the stable regime, the change’s rate of previous period consumer price index, and of the U.S. dollar index are positively correlated to the change’s rate of consumer price index；the change of the federal funds rate of U.S.A. is negatively correlated to change’s rate of consumer price index；the coefficients of the error correction terms are negative, indicates the disequilibrium adjustment strength can revert the variables back to cointegrated equilibrium. In the severely deviated regime, the change’s rate of the Dow Jones industrial index, and change of the federal funds rate of U.S.A are positively correlated to the change’s rate of consumer price index；the change’s rate of U.S. dollar index is negatively correlated to the change’s rate of consumer price index；the coefficients of the error correction terms are positive, indicating the disequilibrium adjustment strength can not be revert the variables back to cointegrated equilibrium, no matter in the short run or in the long run. The disequilibrium situations are even more serious. The STECM Model can catch that the change’s rate of US stock market index is positively correlated and no correlated to change’s rate of consumer price index in different regimes.

並列關鍵字

Monetary policy ； stock ； currency ； goods price ； smooth transition error correction model

參考文獻

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