本研究探討金融海嘯發生前後貨幣供給、新台幣匯率、房價指數與台灣股市之互動關係,研究期間自1998年1月1日到2010年12月31日之52筆季資料觀測值,經由因果關係檢定、衝擊反應函數及預測誤差變異數分解,研究結果發現: 一、金融海嘯前的新台幣匯率、貨幣供給量M1B及信義房價指數會領先影響台股加權指數;金融海嘯後,新台幣匯率、貨幣供給量M1B領先影響台股加權指數;台股加權指數及貨幣供給量M1B會領先影響對信義房價指數。 二、衝擊反應檢定可知,金融海嘯前後顯示當台股加權指數發生自發性干擾時,對貨幣供給(M1B)影響持久且為正向;對新台幣匯率影響亦較持久且為負向;對房價指數影響則較為短暫且為負向。 三、變異數分解可知,金融海嘯發生之前,各個變數之間的解釋能力要優於金融海嘯之後的解釋能力。金融海嘯之後,所有變數間的相關性大致呈現下降,較為金融海嘯前獨立的趨勢。
This study discusses the interaction between money supply, exchange rate of NTD, the home purchase consumer price index and the Taiwan stock market index before and after the financial crisis.The data duration is from January 1998 to December 2010, and we have 52 seasonal data samples totally. For testing the relationship among these variables we mentioned, we use Granger Casual Relationship examination, Impulse Responses Function and Forecast Error Variance Decomposition. The research results are concluded as follows: 1.Before the happening of financial crisis, the money supply, exchange rate of NTD, and the home purchase consumer price index affect prior to the Taiwan stock market index. After the financial crisis, exchange rate of NTD and money supply is leading to the Taiwan stock market index only. 2.From the impulse responses test, we show that when spontaneity interference happened, Taiwan stock index positively affects money supply longer. On the opposite, it negatively affects the exchange rate of NTD longer, but shorter for the home purchase consumer price index. 3.By using variance decomposition, we figure that the explanation of the variables we mentioned before financial crisis period are much powerful than after financial crisis period. After financial crisis, the correlation of all variables becomes lower and more independent.