臺灣博碩士論文加值系統

歐元建立至今，經歷多次貨幣改革。每次貨幣改革的建立與創新，對於歐盟經濟體整體發展與存活，產生長久性影響。為了瞭解貨幣市場相關性，本研究使用門檻向量迴歸(Threshold Vector Auto Regressive)模型來檢測歐元區利率與MSCI股票報酬之非線性關係。並進一步觀察歐元區利率與歐元區匯率的變數中，對於股票流通市場是否產生結構性的改變與變化。探討變數間是否存在共整合關係，檢測利率在不同股價報酬下兩者之因果關係。使用歐元利率、 歐元匯率與 歐元區MSCI股價指數為觀察資料樣本。於門檻模型效果中，避免發生假性迴歸發生的可能性。
於探討共整合關係之後，研究中發現歐盟貨幣執行單位在執行貨幣政策時，調升與調降利率期間，門檻向量迴歸模型中的變數之間是呈現長期穩定關係。歐元區利率與MSCI股價報酬之間存在非對稱關係。
本文與過去文獻不同點：首先，由模型決定的門檻值大小驗證利率波動對股價報酬與匯率的影響。其次，考慮利率與股價報酬的動態互動關係，以得知兩變數間之因果關係，並由衝擊反應函數(Impulse Response Function)得知在高利率與低利率狀態下，利率干擾對股票報酬的衝擊效果不同。本研究實證結果發現，歐元區利率與MSCI股價報酬之間存在非對稱關係。歐元區的會員國在MSCI股票報酬在較低狀態(低利率狀態)下，MSCI股票報酬是利率的領先指標；但在股票報酬較高的狀態下(高利率狀態)下，兩者關係不明確。

From the creation of EURO, it has undergone numerous currency reforms. Every implementation and innovation of currency reform produces a long-lasting influence on the development and survival of entire EU economic system. In order to understand the Granger relationship this has on currency markets, this study used the Threshold Vector Auto Regressive model to examine the non-linear relationship between Eurozone interest rates and stock returns.It further observed, two variables of Eurozone exchange rates and interest rates, would produce structural changes or variations to the stock market. In order to avoid the spurious regression, Euro interest rates, Euro exchange rates and the Eurozone’s MSCI stock were used to examine the data sample. Furthermore, this study used to investigate whether there is a co-integration test between the variables. A different set of stock returns were used to detect the Granger relationship they share with the interest rate.
After discussing the co-integration test, the period when the European central banks increase the interest rates and the period when the European central banks cut the interest rates, and investigate whether are threshold effects of interest rates on stock price, a long-run relationship among model’s variables; an asymmetrical relationship between Eurozone interest rates and Eurozone stock returns.
Dissimilarities between this study and previous ones are that:first, the threshold value determined by the model verified the meaning interest rate oscillation had on stock returns and exchange rates.Second, interaction between the interest rates and stock returns, the Granger relationship between the two variables can be known, and based on the Impulse Response Function. Under the condition of high interest rates or low interest rates, the interest rate interference will have different Impulse effects on stock returns.The empirical results of this study have shown that there is an asymmetrical relationship between Eurozone interest rates and Eurozone stock returns. For member nations of the Eurozone, lower stock returns (lower interest rates), that are a leading of interest rates ; when stock returns are higher (high interest rates), the Granger relationship between that two variables is uncertain.

摘要 2
ABSTRACT 3
目錄 4
表目錄 6
圖目錄 7
第一章 緒論 8
第二章 研究目的與架構 11
第一節 研究目的 11
第二節 研究架構 12
第三章 研究方法 14
第一節 資料分析與方法 14
壹、 研究期間 14
貳、 研究變數與資料來源 15
第二節 資料分析與方法 16
壹、 ADF單根檢定(Augmented Dickey and Fuller) 16
貳、 門檻向量迴歸模型(Threshold Vector Autoregression Model,TVAR) 17
參、 Johansen多變量共整合檢定法 20
肆、 向量誤差修正模型(Vector Error Correction Model, VECM) 21
伍、 衝擊反映函數(impulse response functions, IRF) 23
第四章 實證結果 24
第一節 ADF單根檢定 24
第二節 JOHANSEN共整合 25
壹、 利率調升階段 25
貳、 利率調升階段-第一段 25
第三節 GRANGER因果關係檢定 29
壹、 利率調升與調降階段 29
貳、 利率調升階段 29
第四節 衝擊反映函數 33
壹、 利率調升與調降階段 36
貳、 利率調升階段 38
參、 利率調升階段-第一段 40
肆、 利率調升階段-第二段 42
伍、 利率調降階段 44
陸、 利率調降階段-第一段 46
柒、 利率調降階段-第二段 48
第五章 結論與建議 50
第一節 研究結論 50
壹、 ADF單根檢定 50
貳、 Johansen共整合 50
參、 Granger因果關係檢定 51
肆、 衝擊反映函數 52
第二節 研究建議 53
參考文獻 54
壹、 英文文獻 54
貳、 中文文獻 57
表目錄
表3 .1 研究變數定義表 ........................................................................................................................ 15
表4. 1 單根檢定 .................................................................................................................................... 24
表4. 2 JOHANSEN 共整合檢定-調升階段 .............................................................................................. 25
表4. 3 JOHANSEN 共整合檢定調升階段-第一段 .................................................................................. 26
表4. 4 JOHANSEN 共整合檢定-調升階段-第二段................................................................................. 26
表4. 5 JOHANSEN 共整合檢定-調降階段 .............................................................................................. 27
表4. 6 JOHANSEN 共整合檢定-調降階段-第一段................................................................................. 27
表4. 7 JOHANSEN 共整合檢定-調降階段-第二段................................................................................. 28
表4. 8 GRANGER 因果關係檢定-調升與調降階段 ............................................................................... 29
表4. 9 GRANGER 因果關係檢定-調升階段 ........................................................................................... 30
表4. 10 GRANGER 因果關係檢定-調升階段-第一段 ........................................................................... 30
表4. 11 GRANGER 因果關係檢定-調升階段-第二段 ........................................................................... 31
表4. 12 GRANGER 因果關係檢定-調降階段 ......................................................................................... 31
表4. 13 GRANGER 因果關係檢定-調降階段-第一段 ........................................................................... 32
表4. 14 GRANGER 因果關係檢定-調降階段-第二段 ........................................................................... 32
表4. 15 衝擊反應函數彙整表之一(E:匯率、R:利率、S:股票).......................................................... 33
表4. 16 衝擊反應函數彙整表之二(R:利率、S:股票) ........................................................................ 34
表4. 17 匯率及利率之干擾對股價之衝擊-調升與調降階段 ............................................................. 36
表4. 18 匯率及股價之干擾對利率之衝擊-調升與調降階段 ............................................................. 37
表4. 19 匯率及利率之干擾對股價之衝擊-調升階段 ......................................................................... 38
表4.20 匯率及股價之干擾對利率之衝擊-調升階段......................................................................... 39
表4. 21 匯率及利率之干擾對股價之衝擊-調升階段-第一段 ............................................................ 40
表4. 22 匯率及股價之干擾對利率之衝擊-調升階段-第一段 ............................................................ 41
表4. 23 匯率及利價之干擾對匯率之衝擊-調升階段-第二段 ............................................................ 42
表4. 24 匯率及股價之干擾對利率之衝擊-調升階段-第二段............................................................ 43
表4. 25 匯率及利率之干擾對股價之衝擊-調降階段 ......................................................................... 44
表4. 26 匯率及股價之干擾對利率之衝擊-調降階段 ......................................................................... 45
表4. 27 匯率及利率之干擾對股價之衝擊-調降階段-第一段 ............................................................ 46
表4. 28 匯率及股價之干擾對利率之衝擊-調降階段-第一段 ............................................................ 47
表4.29 匯率及利率之干擾對股價之衝擊-調降階段-第二段 ........................................................... 48
表4. 30 匯率及股價之干擾對利率之衝擊-調降階段-第二段 ............................................................ 49
圖目錄
圖2. 1 研究架構 .................................................................................................................................... 13
圖 4. 1 匯率及利率之干擾對股價之衝擊 ............................................................................................ 36
圖 4. 2 匯率及股價之干擾對利率之衝擊 ............................................................................................ 37
圖 4. 3 匯率及利率之干擾對股價之衝擊 ............................................................................................ 38
圖 4. 4 匯率及股價之干擾對利率之衝擊 ............................................................................................ 39
圖 4. 5 匯率及利率之干擾對股價之衝擊 ............................................................................................ 40
圖 4. 6 匯率及股價之干擾對利率之衝擊 ............................................................................................ 41
圖 4. 7 匯率及利率之干擾對股價之衝擊 ............................................................................................ 42
圖 4. 8 匯率及股價之干擾對利率之衝擊 ............................................................................................ 43
圖 4. 9 匯率及利率之干擾對股價之衝擊 ............................................................................................ 44
圖 4. 10 匯率及股價之干擾對利率之衝擊 .......................................................................................... 45
圖 4. 11 匯率及利率之干擾對股價之衝擊 .......................................................................................... 46
圖 4. 12 匯率及股價之干擾對利率之衝擊 .......................................................................................... 47
圖 4. 13 匯率及利率之干擾對股價之衝擊 .......................................................................................... 48
圖 4. 14 匯率及股價之干擾對利率之衝擊 ..........................................................................................

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