臺灣博碩士論文加值系統

2007/4月因美國Fannie Mae (房利美)與Freddie Mac (房地美)兩家聯邦抵押貸款協會所引發的美國次級房貸金融風暴以來, 各國致力於穩定金融財政, 本研究希望藉由探討央行最常使用的貨幣政策「利率調整」，觀察利率調降時，是否真能刺激大盤股價指數上升? 利率調升時，大盤股價指數是否會下降? 利率調降前後，大盤股價指數、匯率、國際油價與利率之間的走向，及相互影響的關係。
因此，本文使用「單根檢定」方法，檢定該時間序列資料有無單根存在，再運用Hansen(1996，2000)的「門檻迴歸模型」，探討在利率調升和調降的前後期間，利率、油價、匯率與股價之間所產生的影響；而該資料則在使用「共整合檢定」方法，來證明其假性迴歸不存在；最後再利用「誤差修正模型」來證明該時間數列資料具有長期趨向均衡的現象，以便證明其結果的有效性。
最後，經實證發現，韓國在調升利率期間，利率小於門檻值(4.744%)時，利率與股價呈同向變動，石油成本與股價亦呈同向變動；利率大於門檻值(4.744%)時，利率與股價呈反向變動，石油成本與股價亦呈反向變動；在調降利率期間，利率高於門檻值(2.014%)時，利率與股價呈反向變動，石油成本與股價亦呈同向變動；利率低於門檻值(2.014%)時，利率與股價呈同向變動，石油成本與股價亦呈同向變動。
實證顯示，在景氣復甦期所採取的調升利率政策，在利率尚處於投資人可容忍之資金取得成本範圍內時(註:此「可容忍的資金取得成本」即本研究所探討之利率門檻值4.744%)，股價會上漲，但利率持續升高，資金取得成本超過投資人可容忍之範圍，資金抽離大於資金挹注，將造成股價下跌。而在景氣緊縮時期所採取的調降利率政策，剛開始確實能刺激股價上揚，但在利率低於一定水準之後(註:此「一定水準」即本研究所探討之利率門檻值2.014%)，投資人基於對風險的趨避，對固定收益商品偏好提升，會將資金抽離股票市場，轉入固定收益市場，會造成利率與股價均下降的同向變動。
而本研究希望以鑑古知今的角度，藉此驗證提醒政府當局於施行利率政策時，應隨時注意利率門檻值的變化，適時調整利率政策，以免造成利率政策的抵消效果。

Due to the subprime mortgage crisis caused by American Fannie Mae and Freddie Mac at April, 2007, every country sought to stabilize the financial markets. This study discussed the interest rate adjustment- which is the most frequently used monetary policy by central banks, and aims to answer the following questions. Will the stock price index drop when central bank increased the interest rates? Will the stock price index rise when central bank decreased the interest rates?
Therefore, the study used the method of the Augmented Dickey-Fuller Test to inspect whether the data have a unit root. And used the threshold regression model of Hansen (1996,2000) to discuss the effects between interest rates, oil price, exchange rates and stock prices during the monetary expansionary and contraction periods. Then, this study used the cointegration test and the error correction model to prove the validity of the result.
Finally, the empirical results offer following contributions:
1. The interest rates and are positively correlated when the interest rates were smaller than a threshold on the period when the interest rates increased. And the relationship of oil prices and stock prices were also same.
2. The interest rates and stock prices are negative correlated when the interest rates were bigger than a threshold on the period when the interest rates increased. And the relationship of oil prices and stock prices were also same.
3. The interest rates and stock prices are negative correlated when the interest rates were bigger than a threshold on the period when the interest rates decreased. But the relationship of oil prices and stock prices were positively correlated.
4. The interest rates and stock prices are positively correlated when the interest rates were smaller than a threshold on the period when the interest rates decreased. And the relationship of oil prices and stock prices were also same.

目錄
第一章　緒論 1
　第一節　研究動機及目的 1
　第二節　研究架構 3
第二章　研究方法 4
　第一節　單根檢定 4
第二節　門檻迴歸模型 5
　第三節　共整合檢定 6
　第四節　誤差修正模型 7
第三章　資料蒐集及其統計意義 8
第四章　實證結果 10
　第一節　單根檢定實證結果 10
　第二節　門檻迴歸模型實證結果 11
　第三節　共整合檢定及誤差修正模型實證結果 13
第五章　結論與建議 14
參考文獻 15

圖表目錄
圖1-1 論文研究架構圖 3
表3-1 資料來源表 8
表3-2 調升利率階段的敘述統計 8
表3-3 調降利率階段的敘述統計 9
表4-1 單根檢定實證結果 10
表4-2 韓國股價、利率、油價之門檻迴歸分析 11
表4-3 共整合檢定結果 13
表4-4 股價、利率、油價之誤差修正項分析 13

中文文獻
1.陳厚侗(1984)，決定股價的基本因素，證券管理學刊，第1卷，第3期，頁61-65
2.梁發進(1989)，台灣之貨幣供給、股票價格與通貨膨脹，台灣銀行季刊，第40卷，第4期，頁1-15
3.賴宏忠、劉曦敏(1996)，利率、匯率與股價之長期均衡與關係-共整合分析法之應用，證券金融季刊，第49期，頁23-42
4.王啟山(1999)，利率、匯率與股價指數互動關係之研究－狀態空間模型之應用，國立中興大學企業管理研究所碩士論文
5.邱哲修、邱建良、蘇英谷(2001)，台灣匯率波動對股價報酬之影響，企銀季刊，第24卷，第4期，頁131-147
6.謝家欣(2003)，貨幣市場價量因素與股價指數關聯性之實證研究，南華大學財務管理研究所碩士論文
7.陳君達、林恩詰、林福來(2006)，貨幣政策、公司規模與股票報酬，風險管理學報，第8卷，第2期，頁177-179
8.李建強(2006)，金融發展、經濟成長與通貨膨脹的門檻效果，中央研究院經濟研究所，頁77-113
9.蘇欣玫、鄒易凭、邱建良(2008)，利率波動對國際股市報酬之不對稱性效果，東吳經濟商學學報
10.蔡如嵐(2008)，不對稱與股票市場報酬波動之動態關聯性研究:以南韓與日本股票市場為例，嶺東科技大學財務金融研究所碩士論文
11.作者: 羅先、李明露 合著(2009)，貶值密碼，日月文化出版(股)公司 出版
12.王裕仁(2009)，匯率、油價、金價與利率之關聯性探討與預測，國立成功大學財務金融研究所在職專班碩士論文
13.郭彥菁(2009)，美國次級房貸風暴對台灣股匯市相關性之影響，真理大學管理科學研究所碩士論文
14.劉宜學(2010)，台灣貨幣政策、消費者物價指數與股市之關聯性分析，國立高雄第一科技大學金融所碩士論文
15.林雅慧(2010)，升息前後利率變動對股價之門檻效果，義守大學財務金融研究所碩士論文
16.吳明鴻(2012) ，利率的下降能刺激股市上漲嗎? 使用門檻迴歸模型，義守大學財務金融學系碩士論文
17.陳慧儒(2012) ，以向量自我迴歸模型來探討調降利率前後股價、匯率與利率之關聯性，義守大學財務金融學系碩士論文
18.王鶴松、林棟樑、郭秋榮，南韓金融改革的策略與成效，金融研訓院期刊，第4輯，第2期
19.李紀珠，從韓國經驗評析我國金融重建基金之規劃，金融研訓院期刊，第4輯，第2期
英文文獻
1.Abdullah, D.,A. hayworth, and C. Steven(1993), "Macroeconometrics of Stock Price Fluctuations", Quarterly Journal of Business and Economics, Vol. 32, No.1, p50-68.
2.Andrews, D.W.K.(1993), "Tests for Parameter Instability and Structural Change with Unknown Change Point", Econometrics, Vol. 61, No.4, p821-856.
3.Basurto, G. and Ghosh, A. (2001), The Interest Rate-Exchange Rate Nexus in Currency Crises, IMF Staff Papers, Vol. 47, No.1, p99-120.
4.Benigno, G., Benigno P. and Ghironi F. (2007), Interest rate rules for fixed exchange rate regimes, Journal of Economic Dynamics and Control, Vol. 31, No.1, p216-221.
5.Bernanke, B. S. and A. S. Blinder (1992), “The Federal Fund Rate and the Channels of Monetary Transimission.” American Economics Review, Vol. 82, No.5, p90-121.
6.Enders, W. and C. W. J. Granger (1998), "Unit Root Tests and Asykmmetric Adjustment with an Example Using the Term Structure of Interest Rates." American Economic Review, Vol. 71, No.4, p545-564.
7.Engle, R.F.and C.W.J. Granger (1987), Cointegration and Error Correction: Representation, Estimation, and Testing, Econometrica, Vol. 55, No.1, p251-276.
8.Fang, H. and Loo, J. (1994). Dollar Value & Stock Return. International Review of Economics & Finance, Vol. 3, No.2, p221-231.
9.Furman, J. and Stiglitz J. E. (1998), Economic Crisis: Evidence and Insights from East Asia. Brooking Paper on Economic Activity, Vol. 2, No.1, p1-135.
10.Granger, C. (1969), Investigating Causal Relations by Econometric Model and Cross Spectral Method, Econometrica, Vol. 37, No.1, p424-438.
11.Granger, C.W.J. and P.Newbold(1974), "Spurious Regression in Econometrics." Journal of Econometrics, Vol. 2, No.2, p111-120.
12.Hansen, B.E.(1996), "Inference When a Nuisance Parameter is not Identified under the Null Hypothesis." Econometrica, Vol. 64, No.2, p413-430.
13.Hansen, B.E.(1999), "Threshold Effects in Non-dynamic Panel: Estimation, Testing and Inference." Journal of Econometrics, Vol. 93, No.2, p345-368.
14.Hansen, B.E.(2000), "Sample splitting and threshold estimation." Econometrica, Vol. 68, No. 3, p575-603.
15.Honda, Y. and Kuroki, Y. (2006), Financial and Capital Markets Responses to Changes in the Central Bank’s Target Interest Rate: The Case of Japan, Economic Journal, Vol.116 No.513, p812-842.
16.Ma, C. K. and Kao, G. W. (1990), On Exchange Rate Changes and Stock Price Reactions, Journal of Business and Accounting, Vol.17, No.3, p441-450.
17.Mckinnon, R. (1973), Money and Capital in Economic Development, The Brookings Institution, Washington DC.
18.Said, S. and Dicky, D.(1984), Testing for Unit Roots in Autoregressive-Moving Average Model of Unknown Order, Biometrica, Vol.71, No.1, p599-607.
19.Sims, C. A., (1980), Macroeconomics and Reality, Econometrica, Vol.48, No.1, p1-48.