臺灣博碩士論文加值系統

股票是一個國家的經濟櫥窗，2008年金融海嘯爆發時石油價格來到歷史的新高、股市大崩盤與美元升值。本文主旨為探討台灣在2001/01 /03至2016/12/30期間之台股加權指數、北海布蘭特石油價格與台幣匯率價格之關聯性，並以2007/08/09開始浮現的金融危機做切割以探討金融危機前後之差異。本研究使用VAR 模型(vector autoregression model)、Granger因果關係檢定、衝擊反應函數與預測誤差變異數來分析變數。
實證結果顯示在金融危機前後變數都被自身變數強烈的影響，而金融危機後變數之間互相影響的關係變大，Granger因果關係檢定結果顯示金融危機後石油價格變動率對匯率價格變動率與股票報酬率有單項因果關係，而匯率價格變動率與股票報酬率有雙向因果關係，所以石油價格變動率領先於另外兩個變數，而衝擊反應分析結果顯示石油與匯率對股市的衝擊為短期。

The stock market is the national economical display window. In 2008, financial crisis broke out and gave rise to oil prices increased, stock market crashing and US dollar appreciated.
The study analyzes the connection with the return on investment of TSEC weighted index,the rate of change of oil prices in Brent and the rate of change of the currency exchange rate from January 3rd, 2001 to December 30th, 2016.Also, the differences before and after financial crisis are discussed.
To analyze the variables, the study operates VAR model, Granger causality test, impulse- response function and variance decomposition.
The empirical results show that the variables had been impacted only by themselves before financial crisis, but the variables had been impacted by each other after financial crisis. After financial crisis, the rate of change of oil prices had been Granger caused the rate of change of the currency exchange rate and the stock return rate, and the rate of change of the currency exchange rate and the stock return rate had been Granger caused each other. It’s be fully proved that the rate of change of oil prices led the other variables. The results of impulse- response function show that all the impact was in short run.

論文審定書 i
摘 要 ii
Abstract iii
目 錄 iv
圖 次 v
表 次 vi

第一章 緒論 1
第一節 研究動機與目的 1
第二章 文獻探討 4
第二節 匯率與股價指數關聯性之研究 5
第三節 油價、匯率與股價指數關聯性之研究 6
第三章 研究方法 8
第一節 研究方法流程圖 8
第二節 單根檢定 9
第三節 向量自我迴歸模型 10
第四節 Granger 因果關係檢定 11
第五節 衝擊反應函數 11
第六節 預測誤差變異數分解 12
第四章 實證結果與分析 14
第一節 資料來源與處理 14
第二節 ADF 單根檢定 15
第四節 Granger 因果關係檢定 18
第五節 衝擊反應函數 19
第六節 預測誤差變異數分解 22
第五章 結論 26
參考文獻 28

參考文獻
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