貨幣政策、匯率與股價關聯性之探討：GARCH-IRF模型之應用
學年 93
學期 2
出版（發表）日期 2005-07-01
作品名稱 貨幣政策、匯率與股價關聯性之探討：GARCH-IRF模型之應用
作品名稱（其他語言） Re-investigation on Monetary Policy, Exchange Rate and Stock Price: An Application of GARCH-IRF Model
著者 鄭婉秀; 吳佩珊; 陳君達; 陳玉瓏
單位 淡江大學財務金融學系
出版者 朝陽科技大學管理學院
著錄名稱、卷期、頁數 朝陽商管評論4(2)，頁73-92
摘要 本研究利用雙變量GARCH模型研究分析台灣市場股價、匯率與貨幣供給三變數間之關連性，並融入衝擊反應分析，探討市場遭受衝擊之變動情形。實證結果發現，貨幣供給對股價呈現正向之單向影響關係，對匯率則呈現負面且單向之影響關係，至於股價與匯率在總和檢定中皆呈現不顯著結果，推論兩者之關連性應以貨幣供給為傳導媒介，是為間接影響所致。另外，在衝擊反應分析方面，發現任一變數波動，都會對其它變數產生至少10期以上之影響，其反應方向與雙變量之結果互相吻合。 This paper investigates the dynamic relationship among monetary policy, exchange rate and stock price in Taiwan's market, using bivariate GARCH model. We also combine impulse response functions to analyze the volatility after the shock. The empirical results indicate that the monetary policy do not get strong disturbance from these two markets. On the contrary, monetary supply has strongly positive relationship to stock price, and negative to exchange rate. We also find that there are no relationships between exchange rate and stock price. It could be the reason that monetary supply plays a transmission role between two markets, thus called indirect relationship. Otherwise, in the parts of impulse response function, the results show that the volatility which induced by any other variable will persist above 10 periods. The moving directions are the same with the findings from the empirical results of GARCH modely.
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語言 zh_TW
ISSN 1684-2723
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