越南貨幣政策、股價與通貨膨脹之研究

Study on Monetary Policy, Stock Prices and Inflation of Vietnam

何孟進(Manh-Tien Ha)

指導教授 ： 阮氏清萍

朝陽科技大學/管理學院/財務金融系/碩士(2015年)

摘要

本研究使用2004年10月至2014年9月期間的月資料，探討越南通貨膨脹，股票收益，黃金和美元的價格之互相影響。實證結果發現由國家銀行規定的利率明顯有效控制同期的通貨膨脹。在VAR的架構下，本文發現降低利率以執行貨幣擴張政策將影響股市，黃金和美元的價格。擴張貨幣政策對黃金和美元價格的影響期間比對股市的影響期間長，導致資金從黃金和美元市場流向股市。由於資金加速從黃金和美元市場流向股市，導致其市場的價格同時下降。

關鍵字

股票市場 ； 利率 ； 貨幣政策 ； 越南

並列摘要

This study explores the effects of the fall of interest rate on inflation, stock returns, gold and USD prices in Vietnam in the period from October 2004 to September 2014. The empirical results shows that the interest rate regulated by the State Bank effectively control the inflation in the same period. Within the VAR framework, it was found that an expansion monetary policy by lowering the interest rate may influence prices of stocks, gold and USD in Vietnam. The effect of monetary policy on price of gold and USD lasts longer than on the stock price after a negative policy shock and thus liquidity flows to stock from the gold and USD market. The effects speeded from the gold and USD market to stock market, leading to the decline in price for both markets.

並列關鍵字

Stock markets ； Interest rate ； Monetary policy ； Vietnam

參考文獻

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