中美股匯市在美國退出量化寬鬆貨幣政策前後之非線性因果關係探討

研究以S&P500股價指數、人民幣兌美元匯率及上海證券交易所股票價格綜合指數為研究標的，研究的資料期間介於 2008年11月QE1實施開始年起至 2017 年12月美聯儲退出QE後的加息期間，資料頻率為日資料。共分成兩個期間進行研究，分別為美國實施QE時期（2008年11月至2014年10月，及美國退出QE後時期（2014年11月至2017年12月）。探討美國美聯儲退出QE前後，人民幣兌美元匯率與中美股價指數之間因果互動關係及動態影響過程的變化情形。利用非線性門檻誤差修正模型架構，分別研究美國實施量化寬鬆QE時期與退出量化寬鬆QE後的時期，貨幣政策對美國、中國的股票市場與匯率市場其相互間之長短期非線性因果關係。在研究方法上，先利用DF、PP及KPSS單根檢定來檢驗本研究資料是否呈現定態的時間序列，並以Enders and Granger(1998)門檻自我迴歸模型(TAR)以及動差門檻自我迴歸模型(M-TAR)進行門檻共整合檢定，再進一步利用Enders and Granger(1998)及Enders and Siklos(2001)門檻誤差修正模型(TECM)來捕捉美國、中國的股票市場與匯率市場之長短期非線性不對稱效果。從實證結果發現，在ADF、PP及KPSS的單根檢定裡皆為I(1)數列。在門檻共整合檢定中，除了在美國實施QE期間的人民幣匯率與上海證券交易所股票價格綜合指數為對稱門檻共整合關係，其餘的變數無論是在美國實施QE時期或美國退出QE後時期，皆存在長期均衡的非對稱共整合關係。最後在門檻誤差修正模型因果關係檢定中發現，在短期中，美國實施QE時期的人民幣匯率與上海證券交易所股票價格綜合指數為傳統理論，而在美國退出QE後時期的人民幣匯率與S&P500股價指數之間為傳統理論與投資組合理論。最後在長期中，美國實施QE時期人民幣匯率與S&P500股價指數之間的門檻值之下股匯有雙向因果關係，符合傳統理論與投資組合理論，而美國實施QE時期人民幣匯率與上海證券交易所股票價格綜合指數屬於傳統理論。在美國退出QE後時期的人民幣匯率與S&P500股價指數不論在門檻值之上或之下，匯率與股價為雙向長期因果關係，符合傳統理論與投資組合理論，而美國退出QE後時期的人民幣匯率與上海證券交易所股票價格綜合指數之間的門檻值之下，股匯屬於傳統理論。

關鍵字

匯率；股價指數；門檻共整合模型；門檻誤差修正模型

並列摘要

The study uses S&P500 stock index, RMB/USD exchange rate index and Shanghai Stock Exchange stock price index as research subjects. The research period is between the beginning of Qimplementation in November 2008 and the Federal Reserve's withdrawal from QE in December 2017. During the period, the data frequency is daily data. The study was divided into two periods, namely, the implementation of the QE period in the United States (November 2008 to October 2014, and the period after the United States withdrew from QE (November 2014 to December 2017). Before and after the United States Fed withdraws from the QE, Changes in the causal interaction between the RMB exchange rate against the U.S. exchange rate index and the US stock price index and the dynamic influence process.Using the non-linear threshold error correction model framework to study the period after the QE phase of QE implementation and QE exiting the US, monetary policy respectively. As for the long-term and short-term non-linear causality between the US and China’s stock markets and the exchange rate market, the DF, PP, and KPSS single test were used to test whether the research data presented a steady state time series. A threshold cointegration test was performed using the Enders and Granger (1998) threshold self-regression model (TAR) and the dynamic threshold self-regression model (M-TAR), and further using the threshold errors of Enders and Granger (1998) and Enders and Siklos (2001). The revised model (TECM) captures the long- and short-term nonlinear asymmetry of the stock market and exchange rate markets in the United States and China. From the empirical results, it is found that in the single test of ADF, PP and KPSS, they are all I(1) series. In the co-integration check of the threshold, in addition to the symmetry threshold for the integration of the RMB exchange rate and the Shanghai Stock Exchange's stock price index during the implementation of QE in the United States, the remaining variables are either during the QE period in the United States or after the United States withdrew from QE. There is a long-term equilibrium of asymmetrical cointegration relationships. Finally, in the cause-and-effect relationship verification of the threshold error correction model, it was found that in the short-term, the United States implemented the RMB exchange rate during the QE period and the Shanghai Stock Exchange's stock price index as the traditional theory, and the RMB exchange rate and the S&0 stock price index during the period after the United States withdrew from the QE. Between traditional theory and portfolio theory. Finally, in the long run, the U.S. implemented a two-way causal relationship between the RMB exchange rate and the S&0 stock price index during the QE period and met the traditional theory and portfolio theory, while the U.S. implemented the RMB exchange rate during the QE period and the Shanghai Stock Exchange. The price index is a traditional theory. After the US withdrew from the QE, the RMB exchange rate and the S&P500 stock price index were above or below the threshold, the exchange rate and the stock price were two-way long-term causality, in line with traditional theory and portfolio theory, and the RMB exchange rate during the period after the United States withdrew from QE. Under the threshold between the Shanghai Stock Exchange's stock price index, stock exchanges fall under the traditional theory.