- 學位論文
歐洲貨幣整合對歐盟利率與股市報酬之影響
The Effects of European Currency Integration on the Interest Rates and Stock Returns in European Union
摘要
摘要 金融市場的整合可使得匯率風險降低、成本減少及價格透明化。歐元的成立必然會改變歐洲各國交易市場的動態均衡，但由於歐盟國家的經濟情況彼此並不相同，也使得對各個國家的交易市場所造成的衝擊可能有所差異。 本文選取歐盟地區內之法國(FR)、德國(GM)、義大利(IT)、西班牙(SP)、英國(UK)等五國及以美國(US)為對照國家，自1988年1月至2007年12月的長期利率（12個月期歐洲市場利率）、匯率變動率及股價指數報酬的月資料並以1999年1月歐元上市為結構轉變點對風險利率平價理論（Uncovered Interest Rate Parity, UIP）及國際股價報酬平價理論（International Stock-Return Parity, ISP）採用Johansen (1988) 的共整合方式進行檢定來探討歐元成立前後之利率與股票報酬關係之影響。 實證結果發現，由歐元成立前後之UIP理論檢定可清楚看到，歐元的成立可明顯使兩國之間的利差縮小，使兩國達成均衡。而在ISP理論的檢定中也發現，歐元的成立，確可使兩國的股價報酬差異縮小，達成均衡。相較於歐元區外的英國，對於歐元的成立與否，對其兩國間之利率及股價報酬，在短期上有差異無法達成均衡，但透過匯率機制的調整，長期仍可達到均衡，也因此在面對危機時，較具機動性能迅速調整。因此若歐盟地區能有一個自由浮動匯率體系，將更能迅速面對危機使不同的區域性影響降低。
並列摘要
Abstract The integration of the financial market can make the exchange rate risk reduce, the cost reduces and price transparence. The establishment of Euro will inevitably change the dynamic equilibrium of the trade markets of European countries, and the impact to each country may be different because of the different economic conditions. In this paper, we using our data to examine five major European Union’s countries, including France(FR), Germany(GM), Italy(IT), Spain(SP), and the United Kingdom(UK), employing the United States(US) as a reference country. The empirical analysis is carried out using monthly data of long-term interest rates (12-month Euro-market rate), change rate of exchange rate and returns on stock price index from January 1988 to December 2007. In order to find the effects of the interest rates and stock returns relationship after Euro established, we examine the hypothesis of Uncovered Interest Rate Parity (UIP) and International Stock-Return Parity (ISP) base on set the structure change on January 1999 with co-integration model provided by Johansen (1988). We find that the examined in UIP and ISP theories, the establishment of Euro can make reduction in the interest rates difference and reduction in stock returns difference between two countries. Looks UK relatively outside the euro-zone, the UIP and ISP theories in UK relative to US in short-term are unable to be tenable, but it can be tenable through the long-term exchange rates adjusted, so it can adjusted fast while the crisis occur. So if there can be a free floating exchange rate system in European Union, can make different regional influence reduce rapidly while the crisis occur.