Translated Titles

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





Key Words

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



Volume or Term/Year and Month of Publication


Academic Degree Category




Content Language


Chinese Abstract


English Abstract

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.

Topic Category 商學院 > 財務金融學系碩士班
社會科學 > 財金及會計學
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