新臺幣匯率、利率與股價報酬率關聯性之研究

A Study of the Relationship Between New Taiwan Dollar Exchange Rate, Interest Rate and Stock Reward

翁小蘅(Shan-Hern Wong,)

指導教授 ： 古永嘉

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2009年)

摘要

本研究以總體經濟中的新臺幣匯率、利率及台灣加權股價報酬率為研究變數，利用Granger因果關係檢定與及向量自我迴歸模型，來探討匯率、利率及加權股價報酬率三個變數之間是否兩兩具有因果關係，若有，其因果關係是單向或雙向，並利用其中一變數對其他變數的衝擊反應，以瞭解股匯市及利率是否具有效率性，以及變數間互動情形，期望實證結果能提供投資者在進行理財時一個參考依據，資料期間自2004年1月至2008年12月，共1240筆。
本研究結論歸納如下：
1.匯率變動率，利率變動率及股價報酬率之Granger因果檢定，結果顯示：匯率變動率對股價報酬率具有單向的因果關係，利率變動率對匯率變動率具有單向的因果關係。
2.匯率變動率，利率變動率及股價報酬率的衝擊反應分析，結果顯示：匯率變動率，利率變動率及股價報酬率三變數在衝擊反應上皆具有效率性，且對自身衝擊最大。短期而言，匯率變動率對利率變動率及股價報酬率衝擊具有跳動現象，利率變動率對股價報酬率及股價報酬率對利率變動率之衝擊均具有跳動現象，但衝擊效果都在5個工作天內快速收斂至零。就長期累積效果而言，匯率變動率與利率變動率間具有正向關係；匯率變動率與股價報酬率具有負向關係；利率變動率與股價報酬率具有負向關係。
3.匯率變動率，利率變動率及股價報酬率的預測誤差變異數分解，結果顯示：匯率變動率(99.10%)及利率變動率(99.60%)自發性極高，不易受外在變數影響；而股價報酬率(88.0%)雖自發性甚高，惟匯率變動率對股價報酬率具有(11.83%)的解釋水準，故匯率高低會影響股價表現。

關鍵字

向量自我迴歸模型；Granger因果檢定

並列摘要

This study viewed the exchange rate of NTD, interest rate and remuneration rate of Taiwan weighting stock price in the macroeconomics as the variables. To probed if there are causal relationships among these three variables mentioned above through Granger causal relationship examination, and vector autoregressive model. If so, then to figure there is a one-way or two-way causal relationship, and applied the impulse responses of one variable to the others in order to understand the effectiveness of stock market and interest rate and the interactions between these three variables, expected to provide the investors a referral for financial management in the future. The data duration is from Jan. 2004 to Dec. 2008, and 1,240 of total. The research results are concluded as follows:
1. The result of Granger causal relationship examination on exchange rate and interest rate variations and the stock remuneration rate showed that there is one-way causal relationship between exchange rate variation and stock remuneration rate, and the interest rate variation and exchange rate variation have the one-way causal relationship as well.
2. The result of impulse response analysis on exchange rate and interest rate variations and the stock remuneration rate indicated that all three variables of exchange rate and interest rate variations and the stock remuneration rate are effective on the impulse response and have the greatest impulse on themselves. For short term, the impulse of exchange rate variation and interest rate variation on each other presents a phenomenon of pulsating. However, the impulse effects converge to 0 rapidly within 5 days. As for long-term accumulating effect, there is a positive relationship between exchange rate variation and interest rate variation; negative relationship between exchange rate and stock remuneration rate; negative relationship between interest rate variation and stock remuneration rate.
3. The result of Variance Decomposition of exchange rate and interest rate variations and the stock remuneration rate showed that the spontaneities of exchange rate (99.10%) and interest rate is extremely high, and are uneasy to be influenced by outer variables. Though the spontaneity of stock remuneration rate (88.0%) is also very high, the exchange rate has a certain influence on it (11.83%), therefore, the exchange rate would have effects on the stock prices.

並列關鍵字

vector autoregressive model；Granger causal relationship examination

參考文獻

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