匯率對股市與房地產的非線性研究-以日本為例

Nonlinear Influences of Exchange Rate on Stock Market and Real Estate-Evidence of Japan

蔡承霖(Cherng-Lin Tsai)

指導教授 ： 聶建中

共同指導教授 ： 沈中華(Chung-Hua Shen)

淡江大學/商管學院/財務金融學系碩士班/碩士(2017年)

https://doi.org/10.6846/TKU.2017.00634

摘要

本文以日經225指數及東證房價指數做為研究對象，探討安倍晉三再度拜相，宣布將拯救日本經濟後，日本匯率對日本股市與房市的影響，以供市場參與者在投資時進行參考的依據。
本研究透過平滑移轉迴歸模型，以匯率做為門檻變數，並加入利率、物價指數等一些經濟變數，探討日圓匯率在不同門檻下，對日本的房地產以及股市會造成何種影響變化。
實證結果顯示，在小於或等於門檻值時，日圓匯率對日本股價以及日本的房地產皆有顯著性的正向影響，剛好是安倍剛上台半年後政策可能開始發酵的結果，日本政府可以透過觀察匯率落在何種區間，藉由對匯率進行控制，來判斷日本的經濟趨勢會如何變化，再搭配一些政策，或可對使日本經濟走向更長遠未來。

關鍵字

日幣匯率 ； 日經225指數 ； 東證房價指數 ； 平滑移轉模型

並列摘要

In this study, the Nikkei 225 index and the Topix Real Estate Index as the object of study, to explore when Abe who elected prime minister again. After announcing the Japanese economy will be saved, the impact of Japanese exchange rate on Japanese stock market and housing market for the market participants in the investment when there is a basis for reference.
Through the smooth transition regression model, using exchange rate as threshold variable, and adding interest rates, price index and some economic variables, to explore the yen exchange rate under different thresholds, the Japanese real estate and the stock market will cause what impact changes.
The empirical results point out that the yen exchange rate has a significant positive effect on stock price and real estate at less than or equal to the threshold. It is just the result that the policy may start fermenting after six months of Abe's election. The Japanese government can observe the exchange rate in what range, by controlling the exchange rate to determine how Japan's economic trends will change, and then with some policies, may make the Japanese economy to a longer future.

並列關鍵字

Japanese Yen Exchange Rate ； Nikkei 225 ； Topix Real Estate Index ； Smooth Transition Regression Model

參考文獻

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