探討美國財政赤字及貨幣政策對通貨膨脹及股市之影響

Exploring the effects of the U.S. Fiscal Deficit and Monetary Policy on Inflation and Stock Market

張佳雯(Jia-Wun Jhang)

指導教授 ： 牟萬馨

中原大學/商學院/財務金融研究所/碩士(2018年)

https://doi.org/10.6840/cycu201800463

摘要

本文研究貨幣政策及財政政策對通貨膨脹率及股市帶來的影響，使用向量自我迴歸模型(vector autoregression model，簡稱VAR)，模型內包含聯邦政府財政盈餘成長率、M2成長率、利率、S&P500股價報酬率、西德州油價報酬率和使用分量迴歸研究當財政有盈餘或赤字發生時，通貨膨脹及股市的影響為何及當M2增長率上升或下降時對通貨膨脹及股市的影響。
我們研究發現使用VAR模型時，聯邦政府財政盈餘成長率、S&P500股價報酬率對通貨膨脹是顯著但美國聯邦政府財政盈餘成長率對S&P500股價報酬率、M2對通貨膨脹率及S&P500股價報酬率均不顯著。再使用分量迴歸觀察在極端值的情況下，美國聯邦政府財政盈餘成長率、M2成長率S&P500股價報酬率、通貨膨脹率均顯著，結果表明當財政有盈餘或赤字時，通貨膨脹都會上升、S&P500股價報酬率也都會上升。當M2下降，造成通貨緊縮；當聯準會減少貨幣供給，投資者減少對股票的需求量，股價下降，反之，當聯準會增加貨幣供給，投資者投資在股市，股市交易因此熱絡。

關鍵字

S&P500股價指數,政府赤字,通貨膨脹,M2,向量自我迴歸模型,Granger因果檢定,衝擊反應分析,分量迴歸

並列摘要

This research project examines the effects of the U.S. Federal government fiscal deficit and monetary policy along with the Federal funds rate, return on the S&P500 index, and return on the West Texas oil price by utilizing the vector autoregression (VAR) model. Moreover, this study employs the quantile regression approach to characterize the responses of inflation and stock market arising from the fiscal deficit and expansionary monetary policy.
With the use of the VAR model, both the fiscal surplus growth and S&P500 stock return lead to significant effects on the inflation. An insignificant effect of fiscal surplus growth is found on return on the S&P500. The expansionary monetary policy instead brings about insignificant effects on the inflation and return on the S&P500.
In order to explore how changes in both the fiscal surplus and money stocks influence the inflation insomuch how investors under different cases adjust their holdings of equity, this study carries out the quantile regression approach. The empirical results point to significant effects of the fiscal surplus growth and money stock growth on the inflation and return on the S&P500. This study provides evidence that first, when there is a fiscal surplus or deficit, both the inflation rate and return on the S&P500 rise; and second, when the Federal Reserve lowers money stocks, both the inflation rate and return on the S&P500 fall; higher return on the S&P500 is shown when the Federal Reserve raises money stocks.

並列關鍵字

S&P500 stock index, government deficit, inflation, M2, Unit root test, vector autoregression, Granger Causality, impulse-response function, quantile regression

參考文獻

英文文獻

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