金融市場整合與總體經濟之分析

本研究之主要目的亟欲以台灣與國際股市連結為例，探討貨幣政策經由股票價格管道之傳遞機制。於全球化金融市場整合下國內股票市場的波動，不僅限於影響國內總體變數，亦經由國際股市間的連動性共同傳遞了其衝擊效果。本研究首先架構三個一般均衡模型，其差異主要在於同時納入股票價格管道與國際連動的考量。實證部分首先運用共整合檢定與 Granger 因果檢定，以預測變數間長期均衡關係和動態整合程度；再進而估計向量誤差修正模型探討國際股價連動、股票價格管道，以及結合上述兩種之綜合效果。該實證結果顯示，不論模型是否納入國際股價都具有共整合關係存在，且貨幣政策的衝擊對國內產出皆有影響；但是國際股價的連動會強化其正向的影響效果。因此，該實證結果驗證了台灣貨幣政策確實會透過股價管道影響到國內實質產出。

關鍵字

金融市場整合、總體經濟、共整合

並列摘要

Based on linking international stock market to Taiwan, the main purpose of this research attempts to investigate the transmission mechanism of monetary policy through the stock prices channel. Due to the globalized integration of financial markets, the impacts of a change in stock prices on macroeconomic variables are not only influenced by a change in domestic monetary policy, but also are caused by the international stock market linkage. First, this study sets up a general equilibrium model, associated with both stock price channel and international linkage, which is apart from the traditional literature. Empirical analysis will adopt cointegration tests and Granger causality tests to forecast the long-run equilibrium and dynamic integration relations; furthermore, this study estimates vector autoregressive and vector error-correction models in order to separately explore the effects of international stock price interaction, the effects of stock price channel, and the aggregate impacts of the above. The results show that, regardless of international linkage, there exist the cointegration relationships among those variables. Besides, a monetary policy shock gives some impacts on domestic output, especially the inclusion of international linkage aggravates these effects upwards. Thus, this verifies the stock price channel of Taiwanese monetary transmission.