品牌系列基金報酬率與總體經濟變數間 關聯性之探討─以美國、歐元區與台灣為例

The Relationship between Brand funds and Macro-economic Variables ─The Perspectives of USA, Euro Area and Taiwan

詹雅琳(Ya-Lin Chan)

指導教授 ： 胡為善

中原大學/商學院/企業管理研究所/碩士(2008年)

https://doi.org/10.6840/cycu200800459

摘要

精品業是循環性產業，影響精品股票或基金中長期成長的力道，是來自全球經濟成長與消費市場的動能。本研究主要探討品牌系列基金報酬率與總體經濟變數間關聯性之探討，以單根檢定、Granger因果關係檢定、向量自我迴歸模型、衝擊反應分析、預測誤差變異數分解對樣本資料做檢測與分析。實證結果歸納如下：(1) Granger因果關係檢定實證顯示，以美元計價之品牌基金報酬率領先美國消費者物價指數；美元兌歐元匯率領先以美元計價之品牌基金報酬率；台灣貨幣供給額與以新台幣計價之品牌基金報酬率呈相互領先的雙向回饋關係。(2) 衝擊反應分析的實證顯示，不論何種幣別計價之品牌基金報酬率皆受消費者物價指數影響最大。(3) 預測誤差變異數分解實證結果得知，以美元計價之品牌基金而言，美元兌歐元匯率與美國消費者物價指數對品牌基金報酬率之解釋能力較高；以歐元計價之品牌基金而言，歐元區消費者物價指數與歐元區失業率對品牌基金報酬率之解釋能力較高；以新台幣計價之品牌基金而言，台灣失業率與台灣消費者物價指數對基金報酬率之解釋能力較高。上述結果可作為投資者與基金管理者進行投資決策時之參考。

關鍵字

總體經濟變數 ； 衝擊反應函數 ； Granger因果關係 ； 品牌基金

並列摘要

The luxury brand industries, like other industries has a business cycle. The long-term growing force of luxury brand stocks or funds are influenced by global economic growth and the momentum of consumers markets. This study examines the relationship between the returns of luxury brand funds and macroeconomic variables. Unit Roots test, Granger Causality test, Vector Autoregression model, Impulse Response analysis, and Variance Decomposition methods are utilized as the analytic tools. Empirical results are summarized as follows: (1) The finding of Granger Causality test indicates that the rate of return on luxury brand fund based on US dollars (USD) denomination causes the change in American consumer price index (CPI); the exchange rate of Euro converting into USD affects the return on luxury brand fund based on USD denomination; the money supply of Taiwan and the rate of return on luxury brand fund based on New Taiwan dollars (NTD) denomination behaved mutual causality. (2) The result of Impulse Response analysis shows that all the returns on luxury brand funds in every denomination are heavily affected by CPI. (3) The result of Variance Decomposition analysis demonstrates that, for USD denomination luxury brand fund, the exchange rate of Euro converts into USD and the American CPI have greater explanatory power than other factors do. However, the rate of return on the luxury brand fund in USD denomination, the Euro area CPI and unemployment rate have greater explanatory power on the rate of return of the luxury brand fund in Euro denomination. This investigation also finds that the Taiwanese unemployment rate and CPI have greater explanatory power than other parameters on the rate of return of the luxury brand fund in Taiwan dollar denomination. These empirical results provide helpful reference for investors to make their investment decisions.

並列關鍵字

Macroeconomic Variables ； Brand Fund ； Granger Causality Test ； Impulse Response Function

參考文獻

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