台灣利率和股價波動對總體經濟影響之分析

The Study on the Relationship of Interest Rate, Stock Price Volatility

張航溱(Hang-chen Chang)

指導教授 ： 劉錦龍

國立中央大學/管理學院/產業經濟研究所碩士在職專班/碩士(2015年)

摘要

本研究主要結合利率與股價議題，將探討貨幣政策與股價及總體經濟
因素之間的關係。企圖分析自2000 年以後，台灣在股市開放外資及政府
積極改善金融市場的弊端後，我國的貨幣政策、股價與總體經濟指標彼此
之間的關連性。主要以利率、加權股價指數，以及新台幣兌美元、總出口
值、GDP、工業生產指數及失業率等五項總體經濟指標，探討這些序列彼
此之間的長期均衡關係，以及短期的互動關係。
經由實證後獲得主要結果，支持利率變動具有領先反應未來總體經濟
面訊息的優勢，且支持利率變動會居於總體經濟指標變動之領先地位。而
股價與匯率變動之間的關係是呈現股價上漲則匯率升值的反向關係。其
次，也發現股價變動為利率變動的因、而匯率變動為利率變動的因，利率
變動則分別為出口值變動、工業生產指數變動和失業率變動等三種總體經
濟指標的因。最後，並支持加權股價指數的漲跌為總體經濟的領先指標。

關鍵字

利率 ； 股價波動

並列摘要

The target of this research is to integrate the issues of interest rates and share prices, scrutinizing the connections between monetary policy, share prices, and macroeconomic factors. The research attempted to analyze the connection of monetary policy, share prices, and macroeconomic indicators after the opening of foreign direct investment (FDI) in stock market and the amelioration of financial markets in 2000. The main axis of discussion is about the long-term balance and short-term interactive relationship of the sequences, which are interest rates, weighted stock index, New Taiwan Dollar and US Dollar exchange differences, total export values, gross domestic product (GDP), index of industrial production, and unemployment rate.
Depending upon the outcome, there was a superiority that the change of interest rate could prior to reflect the tendency of macroeconomics as well as there was a leading position that the change of interest rate could prior to the change of macroeconomic indicators. Additionally, changes between share prices and exchange rates represented an inverse relationship that the rising share prices accompanying with the appreciation of exchange rates. Furthermore, the outcome referred the change of share prices brought about the interest rate change of Granger Cause whereas the change of exchange rate resulted in the interest change of Granger Cause; namely, the change of interest rates are respectively the causes of the change of export rate, the change of industrial production, and the change of unemployment rate. Eventually, the ebb and flow of weighted stock index was the leading indicator of macroeconomics.

並列關鍵字

Interest Rate ； Stock Price Volatility

參考文獻

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