- 學位論文
臺灣股市、匯率及利率的互動關係（1990-2018）
A Study on the Correlations of Stock Market, Exchange Rate and Interest Rate in Taiwan (1990-2018)
摘要
近年來隨著國際經貿市場的發展與自由化，亦促使國際金融市場加速發展與整合。對於總體經濟與金融市場指標的研究，儼然已經成為學者探討的重點方向。因此，本文的研究目的將探討臺灣股市、匯率及利率的互動關係。 本研究主要藉由臺灣市場於1990年至2018年的月資料來分析變數之間的關聯性。透過單根檢定、共整合檢定，以及向量自我迴歸模型之格蘭傑因果關係檢定、衝擊反應函數分析與預測誤差變異數分解，來分析變數之間的因果關係、衝擊反應與預測誤差變異。試圖找出變數的領先指標、反應時間及變數受到其他變數的影響。 本文實證結果顯示，（1）根據格蘭傑因果關係檢定，在短期之內，匯率為變數中的領先指標。在長期之下，股市為研究變數中的領先指標。（2）根據衝擊反應函數分析，匯率與利率對於股市的反應是在當期且立即的，但是股市對於匯率與利率的反應則有延遲的現象。（3）根據預測誤差變異數分解，匯率受到股市的影響最為顯著。再者是股市受到匯率的影響。最後為利率受到股市的影響。 最後，本研究根據實證結果提出相關建議，以利後續研究者在此領域探討時，能夠使研究更增添完整性與客觀性。此外本文的實證結果也希望能夠提供商學界、實務界與政策制定者，對於臺灣總體經濟與金融市場有其參考依據，並且能清楚地掌握各項指數的發展脈絡，來達到市場的預測，以及降低投資人於金融市場投資的風險，進而取得更佳的投資績效。
並列摘要
Financial markets and trading are constantly changing and developing in recent years around the world. With the development and liberalization of international financial markets, governments have lifted the flow control of international funds. In global economic trading, multinational investment has flourished. The international financial market was rapidly developed and integrated. For the study of the macroeconomic index, it has become the focus of scholars' research. Therefore, the purpose of this study will be to explore the correlations of stock market, exchange rate and interest Rate in Taiwan. This study mainly studied the data of the Taiwanese market from 1990 to 2018, and analyzed by Unit Root Test, Cointegration Test, and Vector Autoregression. According to the empirical results, there is a positive relationship between exchange rate and stock market. There is a positive relationship between stock market and interest rate. There is a positive relationship between interest rate and stock market. Finally, this study provided several relevant recommendations for macroeconomic index. I hope that researchers will be more complete and objective for this field on their research.