中央銀行貨幣政策與股價指數報酬相關性之研究

The purpose of this paper is to analyze the relationship between monetary policies and the stock index returns

杜美勳(Meei-Shiun Duh)

指導教授 ： 蘇彩足 ； 許振明

國立臺灣大學/社會科學院/政治學研究所/碩士(2004年)

https://doi.org/10.6342/NTU.2004.01307

摘要

基於中央銀行施行之貨幣政策對一國整體經濟環境有著重大的影響，本研究目的在分析過去與現行中央銀行的各項貨幣政策對股價指數報酬之影響。在股市效率性分析中，將比較調升、降利率的幅度與股價指數報酬漲跌間所存在相互關係。在量化分析中，則透過向量自我迴歸(VAR)實證模型的建立，了解各項貨幣政策變數對股價指數報酬的影響。主要結論如下：
1.由於貨幣政策之制定施行獨立與否，將關係到貨幣政策施行之成效，因此，應加速中央銀行修正法草案通過，以利貨幣政策之施行。
2.央行自1998年以來，利用調升降重貼現率達21次，以刺激股市及景氣的成效不彰，並不能對股價指數報酬產生立即的影響。
3.當非經濟因素衝擊股市時，央行採行降息後一星期，股價指數報酬仍均全部持續下挫，而股價指數報酬對於央行降息幅度大小的反應並沒有太大的區別。
4.由衝擊反應分析顯示，以M1A及M1B來配合其他政策變數來操作，其對股價指數報酬的影響反應較為快速，持續的時間較長；但若以M2來配合其他變數的操作，其對股市報酬的反應較慢，約在第2期才會對股價指數報酬造成影響，但持續影響時間較短。而當金融業隔夜拆款利率變動時，對股價指數報酬的影響呈現負向關係。
5.匯率來解釋股票指數報酬的波動仍有一定的解釋能力，但因為外匯買賣會直接影響到匯率水準，故中央銀行罕有純粹為了控制準備貨幣量，而進行外匯買賣。
6.當我國經濟環境突受外來因素衝擊時，若央行想要立即回復原有經濟狀況，則最好的貨幣政策是以M1A或M1B配合其他貨幣政策工具，而當央行施行貨幣政策是為了調節景氣循環時，即可以M2配合其他貨幣政策指標來施行。

關鍵字

貨幣政策 ； 重貼現率 ； 股價指數報酬 ； 向量自我迴歸實證模型

並列摘要

The purpose of this paper is to analyze the relationship between monetary policies and the stock index returns. Firstly, to understand the efficiency of stock market, we discuss the relations between the change of rediscount rates and the growth of stock index returns. We then employ the vector autoregression (VAR) model to find out how monetary policy instruments influnece the stock index returns. The empirical results are represented as follows:
1.The degree of independence of the Central Bank affected the effectiveness of monetary policies; therefore, we should accelerate the modification of the Central Bank Act.
2.The Central Bank has adjusted rediscount rates for 21 times since 1998 in the effort to improve the stock market and the economy. However, these policies did not improve the stock returns immediately.
3.When the non-economic factors hit the stock market and the Central Bank lowered the rediscount rate, the index of stock market still kept falling for a week.
4.The repulse response functions indicate that, the M1A and M1B, accompanied by other policy instruments, would improve the stock market faster and its duration was longer. On the other hand, if adopting M2, the impact would be slower and the duration shorter.
5.The exchange rate had an influence on the stock index return as well. However, avoding to impact the exchange rate level, the Central Bank would not trade the foreign exchange to control the money supply.
6.When the economy is influenced by unexpected external factors, it is better for the Central Bank to employ the M1A and M1B to improve the economy. If the purpose of the monetary policy is to stabilize business cycles, then it is better to employ M2.

並列關鍵字

VAR ； M1B ； M2 ； M1A

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