臺灣博碩士論文加值系統

中國2008年物價過度高漲，可能與貨幣供給泛濫或中國股市過熱相關，因此本研究在中國貨幣供給額，股價指數與消費者物價指數之間的短期動態與長期均衡關係中，來探究中國物價大幅上漲之原由。本研究主要採用KSS單根檢定，動差門檻共整合與門檻誤差修正模型來探討在1994- 2008之消費者物價指數，上證A股指數與狹義貨幣供給額彼此之間的關係。研究發現三變數彼此之間具有強烈的共整合關係，表示皆會達到長期均衡。就長期因果關係而言，狹義貨幣供給額只有在門檻值之上對上證A股指數具有領先關係；而上證A股指數不論在門檻值之上或下對消費者物價指數皆具有領先關係。代表在研究期間內，上證A股指數與消費者物價指數之相關性比上證A股指數與狹義貨幣供給額之相關性更強烈。此強大的因果關係，表示上證A股指數對消費者物價指數具有領先效果，因此可藉由上證A股指數的動態來預測消費者物價指數的動向。且在上證A股指數與消費者物價指數之間具有雙向因果關係，即消費者物價指數對上證A股指數亦有領先效果存在。代表在物價上漲時公司名目盈餘會增加，使公司股價指數上升，所以持有股票可獲得購買力補償，因此投資人在物價上漲時期可投資具有保值功能的股票。

That China price run high excessively in 2008 might be due to monetary supply or stock market. Thus the study explored inflation in China among monetary supply, stock price index and consumer price index. The study adopted mainly KSS unit root test, momentum-threshold autoregressive and threshold error-correction model in order to explore monetary supply, stock price index and consumer price index which occurred from 1994 to 2008. The research finds that there is strong cointegreting relationship among three variables, meaning that three variables reached the balanced relation for a long time. For a long time of causality, M1 has leading relations to A-share index of Shanghai Stock Exchange only on the value of threshold; no matter on or under the value of threshold A-share index of Shanghai Stock Exchange has leading relations to consumer price index. Thus the relationship between A-share index and consumer price index is stronger than the relationship between A-share index and M1 in the research period. The stronger causality is that A-share index has a leading effect on consumer price index, so using the development of A-share index forecasts the movement of consumer price index. And then there is bi- causal relation between A-share index of Shanghai Stock Exchange and consumer price index, so consumer price index also leads A-share index. Thus Company''s surplus will increase in price rise period in order to raise the index of stock price of the company, so investors hold stocks can compensate for the loss of purchasing power. Investors in price rise period can invest stocks which have the function of preserving value.

目 錄
中文摘要 ------------------------------------------- i
英文摘要 ------------------------------------------- ii
誌謝 ------------------------------------------- iii
目錄 ------------------------------------------- iv
表目錄 ------------------------------------------- vi
圖目錄 ------------------------------------------- vii　
一、緒論 ------------------------------------------- 1
（一） 研究背景------------------------------------ 1
（二） 研究動機------------------------------------ 5
（三） 研究目的------------------------------------ 6
（四） 論文架構------------------------------------ 7
（五） 研究流程------------------------------------ 8
二、文獻回顧與中國金融發展史之介紹-------------------- 9
（一）　中國金融市場的發展-------------------------- 9
（二） 中國通貨膨脹之由來-------------------------- 12
（三） 文獻回顧------------------------------------ 15
三、研究方法 ----------------------------------------- 26
（一） 單根檢定------------------------------------ 26
（二） 門檻共整合模型------------------------------ 30
（三） 門檻誤差修正模型---------------------------- 33
四、實證分析 ----------------------------------------- 36
（一） 變數定義與資料來源-------------------------- 36
（二）　敘述性統計分析------------------------------- 38
（三）　單根檢定------------------------------------- 40
（四） 門檻共整合檢定------------------------------- 42
（五） 門檻誤差修正模型----------------------------- 46
1. 消費者物價指數與狹義貨幣供給額之因果關係----- 46
2. 上證A股指數與消費者物價指數之因果關係-------- 51
3. 上證A股指數與狹義貨幣供給額之因果關係-------- 56
五、結論與建議 --------------------------------------- 61
（一）　研究發現------------------------------------- 61
（二）　研究貢獻------------------------------------- 64
（三） 後續研究建議--------------------------------- 65
參考文獻 --------------------------------------------- 66

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