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研究生:郭智凱
研究生(外文):Jhih-kai Guo
論文名稱:台灣股價與總體經濟變數間非線性關係探討
論文名稱(外文):An Analysis of Non-linear Relationship between Taiwan Stock Index and Macroeconomic Variables
指導教授:張倉耀張倉耀引用關係
指導教授(外文):Tsang-yao Chang
學位類別:碩士
校院名稱:逢甲大學
系所名稱:經濟學所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:中文
論文頁數:55
中文關鍵詞:股價無母數共整合KSS單根檢定非線性平滑轉換模型
外文關鍵詞:Smooth Transition Regression Modelstock priceBierens nonparametric cointegration testKSS unit root
相關次數:
  • 被引用被引用:7
  • 點閱點閱:443
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:4
美國聯邦準備理事會(Fed)曾為提振景氣,降低了利率,以促使美國股市反彈,且從許多歷史數據也可以發現總體經濟變數對股價有明顯的影響,因此本文以國內生產毛額、利率、貨幣供給額(M1B)、匯率等總體經濟變數及美國S&P500指數來探討其對台灣加權股價指數的影響。先前的研究大多採用傳統線性ADF、P-P及KPSS單根檢定法來檢驗變數恆定性,且使用Johansen(1990)共整合檢定法來檢定變數間存在共整合關係。
Enders and Siklos(2001)指出,當變數存在非線性特徵時,則傳統線性模型的檢定方法會出現低檢定力(low power)的現象,因此本文先以KSS單根檢定來檢驗變數是否具有非線性特徵,並且以Bierens(1997)無母數共整合來檢定變數存在非線性特徵時是否存在長期均衡關係,再以Grange和Teräsvirta(1993) 提出非線性平滑轉換模型(Smooth Transition Regression Model)來估計。結果發現台灣股價與總體經濟變數均有非線性特徵,因此採用非線性平滑轉換模型可以比線性模型更能解釋總體經濟變數與台灣加權股價間的關係,換句話說,總體經濟變數與台灣加權股價之間具有非線性調整過程。
The Federal Reserve Board impelled US stock market to rebound in order to make the economic prosperity, and reduce the interest rate. We also found that the macroeconomic variables have obvious influence on stock price according to a lot of historical data. So, in this research we choose not only macroeconomic variables such as the gross domestic product, rate, M1B, exchange rate and so on but also S&P500 index to probes its impact on Taiwan Stock Price. Previous researches mostly adopted not only ADF, P-P and KPSS unit root to test the stationary of the variables but also Johnansen(1990) cointegration test to test the cointegration relationship of the variables.
Enders and Siklos (2001) pointed out that when the variables have the existences of the non-linear characteristics, the examination of the linear model will appear the phenomenon of low power. So, we will adopt KSS unit root to test whether the non-linear characteristic is or not. Following this, we utilize Bierens(1997) non-parameters cointegration test to test have long-term relationship of the variables when the non-linear characteristic exists. According to Granger and Terasvirta(1993) Smooth Transition Regression Model, we estimate the relationship of the variables. The result found that stock price and macroeconomic variables had a non-linear characteristic. So, we adopted Smooth Transition Regression Model to explain the relationship among the macroeconomic variables and Taiwan stock price better than the linear model. In other words, the variables have non-linear adjustment course between macroeconomic variables and Taiwan stock price.
第一章 導論
第一節 研究動機與目的
第二節 研究流程
第三節 本文架構
第二章 文獻回顧
第一節 國外相關文獻探討
第二節 國內相關文獻探討
第三章 研究方法
第一節 單根檢定
第二節 共整合檢定
第三節 平滑轉換模型
第四章 實證結果與分析
第一節 資料處理與分析
第二節 單根檢定
第三節 線性共整合檢定與模型估計
第四節 平滑轉換模型
第五節 實證結果分析
第五章 結論與建議
第一節 研究結論
第二節 研究建議
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