本研究以2004年4月至2015年6月之俄羅斯RTS股價指數、中國滬深300指數、印度孟買mumbai sensex 30股價指數、巴西聖保羅Bovesp指數、美元指數與美國國庫券利率-一個月期(%)之月資料,探討金磚四國與美國之間是否存在一長期穩定的關係,亦或是連動性關係。資料來源取自TEJ經濟新報資料庫,以月資料為分析基準。研究方法是共整合、Granger因果關係檢定及向量自我迴歸模型VAR。 實證結果顯示:俄羅斯RTS股價指數報酬與中國滬深300指數報酬對印度孟買mumbai sensex 30股價指數報酬有單向因果關係,具有顯著效果;俄羅斯RTS股價指數報酬與中國滬深300指數報酬也對巴西聖保羅Bovesp指數報酬有單向因果關係有顯著效果;俄羅斯RTS股價指數報酬對美元指數報酬有雙向因果關係。
This research analyzed economic data from April 2004 to June 2015, such as the Russian RTS stock index, China CSI 300 Index, Mumbai sensex 30 stock index, Sao Paulo, Brazil Bovesp index, the US dollar index and the US Treasury bill rate - one month period (%) of the monthly, in order to investigate whether there is a long-term stable or mobile economic relationship between the BRIC countries and the United States. The sources were taken from the TEJ New Economic News Library and the researcher analyzed data month by month. Research Methods are co-integration, Granger causality test and self-vector regression model VAR. Empirical results show that: Russia's RTS stock index return and Chinese CSI 300 index return had an unidirectional causality to Mumbai sensex 30 stock index return, with a significant effect;Russia's RTS stock index return and Chinese CSI 300 index return also had an unidirectional causality to Sao Paulo, Brazil Bovesp index return, with a significant effect ; Russia's RTS stock index return had a bidirectional causality to the US dollar index.