臺灣博碩士論文加值系統

本研究利用門檻迴歸模型探討各國的利率與股價指數間，在央行升息前後是否存在非線性的關係。本研究選取美國、澳洲、印度與台灣等四個國家，將資料區分為央行調升利率與央行調降利率兩段時期，分別探討利率對股價的門檻效果，並且為了避免假性迴歸的可能性，本研究檢視模型變數間是否存在共整合關係。依傳統經濟理論來說，如果利率水準越低，越有助於降低資金成本並促進投資，所以利率與股價應呈現反向變動的關係，但實證結果顯示，當央行在調升或調降利率的初期，利率與股價之間卻是呈現正向的變動關係，且當利率調升或調降至某一門檻值時，利率與股價才會呈現反向的變動關係。在探討共整合關係之後，發現不論在央行調升利率與央行調降利率的期間，模型變數間皆存在長期穩定的關係，表示各國間股價與利率的關係不會因為假性迴歸的可能性而否決經濟意義。本研究使用門檻模型的實證結果發現，利率與股價並非全然和傳統經濟理論所提及的單向的反向變動關係相符，而是呈現非線性的關係，此結果可以提供投資者進行投資管理與政府機關實施貨幣政策時的重要參考依據。

This study employs a threshold regression model to see if there is a nonlinear relationship between the interest rates and stock index before and after the central banks cut interest rates. This study uses the data from America, Australia, India and Taiwan, and divides the data into two periods: the period when central banks increase the interest rates and the period when central banks cut the interest rates, and investigate whether there are threshold effects of interest rates on stock prices. To avoid the spurious regression problem, this study applies the cointegration test to see if there is long-run relationship among model’s variables. Based on the traditional economic theory, the lower the interest rate is, the lower the cost of capital is and the more investment incentives there are, so interest rates and stock prices should be negatively correlated. However, empirical results indicate that interest rates and stock prices are positively correlated as the interest rates start to increase; the negative relationship appears only after interest rates cross above a threshold. In the period when central banks cut the interest rates, there is a positive relationship between interest rates and stock prices as the interest rates start to fall, the negative relationship appears only after interest rates fall below a threshold. In addition, the cointegration test finds a significant cointegration relationship before and after central banks cut the interest rates. The threshold regression model shows a nonlinear relationship that differs from the traditional economic wisdom; it not only provides investment strategies for stock investors but also policy implications for central banks.

謝誌I
摘要II
Abstract III
目錄IV
表目錄V
第一章 緒論1
第二章 研究範圍與資料收集3
第三章 研究方法5
第一節 ADF 單根檢定(Augmented Dickey and Fuller)5
第二節 門檻迴歸模型(Threshold Regression Model)5
第三節 共整合檢定(Cointegrationtest)8
第四節 誤差修正模型(Error Correction Model)8
第四章 實證結果9
第一節 單根檢定9
第二節 門檻迴歸模型10
第三節 共整合檢定14
第五章 結論17
參考文獻18
表目錄
表1. 股價與利率的名稱3
表2. 利率階段之敘述統計3
表3. 調降利率階段之敘述統計4
表4. 調升利率之ADF單根檢定表10
表5. 調降利率之ADF單根檢定表10
表6.1 美國股價、利率的門檻迴歸分析12
表6.2 澳洲股價、利率的門檻迴歸分析12
表6.3 印度股價、利率的門檻迴歸分析12
表6.4 台灣股價、利率的門檻迴歸分析13
表7. 利率的門檻檢定14
表8. 共整合檢定15
表9.1 美國誤差修正分析15
表9.2 澳洲誤差修正分析16
表9.3 印度誤差修正分析16
表9.4 台灣誤差修正分析16

中文部份
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