本研究主要在探討總體經濟變數之變動,對台灣電子股價指數的影響。總體變數採用利率、貨幣供給額、工業生產指數與消費者物價指數,並以匯率變化作為門檻變數,探討總體經濟變動對台灣電子股價指數是否造成的非線性影響。研究方法採用Granger and Terasvirta(1993)and Terasvirta(1994)提出的平滑移轉迴歸模型(Smooth Transition AutoRegression, STAR),研究結果發現不論匯率變化高於或低於門檻值時,利率與電子指數均呈不顯著之相關性,工業生產指數與電子指數呈現正相關的影響,而通貨膨脹率則與電子指數呈現負相關的影響。貨幣供給額在匯率變化低於門檻值時呈不顯著之相關性,在匯率變化高於門檻值時則呈現正相關的影響。
The main purpose of this study is to investigate the changes in macroeconomic variables on the impact of Taiwan Electronics Index. Macroeconomic variables use interest rates, money supply, industrial production index and consumer price index, and use exchange rate as the threshold variable to analyze the changes in the macroeconomic variables how to effect Taiwan Electronics Index, whether caused by non-linear effects. By applying the nonlinear methods of smooth transition regression model (STAR) recently proposed by Granger and Terasvirta (1993) and Terasvirta (1994). The results showed that whether exchange rate fluctuation is above or below the threshold value, the relationship between interest rates and Taiwan Electronics Index is not significant. Industrial production index has positive impact on Taiwan Electronics Index, while inflation was negatively related with Taiwan Electronics Index. The money supply affected Taiwan Electronics Index positively, when exchange rate fluctuation is above the threshold value.