以製造業採購經理人指數為門檻探討總體變數對股價指數之關聯性分析－縱橫平滑移轉模型之應用

The Relationship between Macroeconomic Variables and Stock Index under Purchasing Managers’ Index as A Threshold－Application of Panel Smooth Transition Regression Model

王楚元(Chu-Yuan Wang)

指導教授 ： 聶建中

共同指導教授 ： 謝劍平(Chin-Ping Shieh)

淡江大學/商學院/財務金融學系碩士班/碩士(2012年)

https://doi.org/10.6846/TKU.2012.00740

摘要

本研究以採購經理人指數當作轉換變數，探討採購經理人指數對股價指數報酬率是否存在平滑移轉效果。在加入通貨膨脹率與匯率當作解釋變數，得知製造業採購經理人指數和股價指數報酬率間確實存在非線性關係，且為一平滑移轉模型。解釋變數影響方面，不論製造業採購經理人指數高於或低於轉換門檻值，匯率都與股價指數報酬率呈不顯著之相關性。而通貨膨脹率在門檻值前後分別與股價指數報酬率皆呈顯著負相關及正相關。

關鍵字

採購經理人指數 ； 通貨膨脹率 ； 匯率 ； 股價指數報酬率 ； 縱橫平滑移轉模型

並列摘要

In this study, we examine the asymmetrical nonlinear relationships and this paper employs the panel smooth transition regression model (PSTR) technique. We assume purchasing managers’ Index for transition variables in this model to investigate the smooth transition threshold effect between stock index returns.
The results as follow: Wherther purchasing managers’ Index is before or after the transition threshold value, we can’t find a relationship between exchange rate and stock index returns. When purchasing managers’ Index is before the transition threshold value,we find a negative relationship between inflation index and stock index returns.When purchasing managers’ Index is after the transition threshold value,we find a positive relationship between inflation index and stock index returns.

並列關鍵字

Purchasing Managers’Index ； PMI ； PSTR ； Inflation Index ； Exchange Rate

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