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研究生:楊耀華
研究生(外文):Yao-Hua Yang
論文名稱:匯率與股價之總體計量分析
論文名稱(外文):Exchange Rate and Stock Prices in Macro-Econometric Analysis
指導教授:林建甫林建甫引用關係
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:經濟學研究所
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:2010
畢業學年度:98
語文別:中文
論文頁數:81
中文關鍵詞:總體計量匯率股價指數情境分析
外文關鍵詞:Macro-Econometricexchange ratestock indexclosely related
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本文主要的研究目的為建立台灣總體計量模型,並藉由模型模擬匯率波動以及股價波動對於台灣總體經濟所造成的影響。依據台灣目前現況,分別考量在不同情境下的評估以及分析:(1)新台幣兌美元匯率:由實證結果可知,新台幣貶值對於實質輸出的確有正面的影響,或者說,新台幣升值對於實質輸出有不利影響。此外,由於我國為一開放經濟,出口表現和總體經濟的表現息息相關,因此,台幣升(貶)值也連帶地具有減緩(刺激)經濟成長的效果。而台幣升值對於台灣消費者物價指數出現緩和物價上揚壓力的作用,表示新台幣匯率變動之後,將透過轉嫁效果,傳遞至進口物價以及國內一般物價水準。(2)股價指數:由實證結果可知,股票指數的上漲的確帶來財富效果,除了伴隨著景氣呈現擴張的情況,也使得民間實質消費增加。相反地,股票指數的下跌使得股票報酬的財富減少,使得民間實質消費減少。(3)美國經濟成長率:由實證結果可知,當美國經濟成長高於預期時,將提高我國經濟成長率,並且有助於改善我國失業率以及促進民間投資。

The main purpose of this study is constructing a macroeconomic model of Taiwan, and simulating how exchange rate and stock index fluctuations affect Taiwan''s overall economy. Based on the current status of Taiwan, analysis:
(1) The NT dollar exchange rate: the empirical analyses show NT dollar depreciation does have a positive impact on real exports and NT dollar appreciation would decrease real exports. In addition, since Taiwan is an open economy, the total value of exports and overall economic performance are closely related; therefore, NT appreciation (depreciation) have the effect to slow down (stimulate) overall economy. Not only affect the real output, the value of NT dollar can also affect consumer price index; for example , appreciation of NT dollars can slow down the rate of increasing consumer price index.
(2) Stock Index: The empirical results also provide us a suggestion that the increase of stock index can bring positive wealth effect for people. In addition to increase during the expansion of economy, it also makes private consumption increased in real terms. Besides the expansion of economy, it also increases the real private consumption. On the contrary, the decline in the stock index reduces the wealth, making reduction in private real spending.
(3) U.S. economic growth: The empirical results suggest that when the U.S. economic growth is higher than expected, it will enhances Taiwan''s economic growth and help to improve the rate of unemployment and to promote private investment.



目錄
謝辭.................................i
中文摘要.................................ii
英文摘要................................iii
目錄..................................iv
圖目錄.................................vi
表目錄................................vii

第一章 緒論 ............................1
第一節 研究背景...........................1
第二節 研究動機與目的........................2
第三節 本文架構...........................3
第二章 文獻回顧............................5
第一節 總體計量模型的發展...................5
第二節 匯率相關文獻.........................7
第三節 股價相關文獻.........................8
第三章 研究方法與步驟..........................11
第一節 研究方法.........................11
第二節 建構模型.........................12
第三節 模型求解.........................12
第四章 總體計量模型之建立.....................13
第一節 模型整體邏輯.......................13
第二節 商品市場.........................14
第三節 勞動市場.........................21
第四節 金融市場.........................22
第五節 政府財政.........................25
第五章 模型評估與基準預測.....................27
第一節 靜態評估.........................27
第二節 樣本外預測........................35
第三節 長期趨勢預測─基準預測..................37
第六章 情境模擬分析........................40
第一節 新台幣匯率波動情境分析.................40
第二節 股價指數波動情境分析..................45
第三節 美國經濟成長率波動情境分析...............49
第七章 結論與建議.........................53

參考文獻...............................55

附錄.................................59
(一)變數說明..............................59
一、內生變數...........................59
二、外生變數...........................66
(二) 模型設定及單一方程式估計結果..................68
一、商品市場...........................68
二、勞動市場...........................74
三、金融市場...........................74
四、政府財政...........................78
(三)定義式...............................79

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