臺灣博碩士論文加值系統

本研究以美元指數及新台幣匯率對臺灣加權股價指數資料為研究摽的，利用非線性模型架構，分別研究美元指數、新台幣匯率與台股之間之長短期因果關係。在研究方法上，採用以Enders and Granger（1998）門檻自我迴歸模型（TAR）及動差門檻自我回歸模型（M-TAR）進行門檻共整合檢定，並進一步利用Enders and Granger（1998）及Enders and Siklos（2001）門檻誤差修正模型（TECM），來探討變數間的長短期非對稱因果關係。
本文實證結果：
就門檻共整合檢定方法檢定模型均是以TART模型為最適模型。依該模型結果發現美元指數在長期間對股價有門檻共整合關係，新台幣匯率則無。考量修正模型以後，在探討二種匯率與股價短期動態關係方面，匯率與股市不互為影響。而在短期因果關係方面，美元指數與新台幣匯率變動對股價的影響為反向，即美元指數及匯率上升，台股下跌，惟美元指數較新台幣匯率與台股較為强烈，有顯著的領先關係，而短期間台股對匯率無領先關係作用。最後，在長期因果之下，無論美元指數或匯率對台股上下區間都有非常明顯的領先關係，短期間台股也會對美元指數及匯率產生些微影響;只是存在不同的區間。而在長短期因果檢定中皆發現無論長期或短期，美元指數及新台幣匯率均會影響股市，完全證實了傳統理論，匯率走勢影響股市的變動進而影響經濟的成長，其中以美元指數較匯率關係顯著且具有領先股市的關係。

This paper will compare and analyze the interactive relationship of both US dollar Index and exchange rate respectively with Taiwan stock price with the daily closing date from 2005 to 2011. It is empirically employed as the method of a full exploration that the threshold error-correction model( TECM) is elaborated by Enders and Granger(1998) 、Enders and Siklos(2001) and assume that it’s relative nature between the variables is on the basis of non-linearity.
This empirical evidence suggests that it has an asymmetric threshold cointegration relationship that exists only between of the US index and Taiwan stock with a long-term equilibrium relationship. In addition, the results of TECM Granger-Causality tests show that there is a causal relationship from the USDX and US exchange rate to the Taiwan stock either in short run or the long run but the former running more positive. The traditional approach is obviously supported by these findings, therefore domestic stock prices in Taiwan would be strongly influenced by the US index and it is readily available for individual investors.

(1)目錄
頁次
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 論文的架構與研究流程 4
第二章 相關文獻探討 7
第一節 匯率及美元指數相關文獻 7
第二節 股票市場相關文獻 11
第三節 以TAR 及MTAR模型對股市與匯率因果關係文獻 15
第四節 相關文獻彙整 18
第三章 研究方法 23
第一節 單根檢定 24
第二節 門檻共整合檢定 30
第三節 門檻誤差修正模型與Granger因果關係 34
第四章 實證結果與分析 38
第一節 來源及基本分析 38
第二節 單根檢定 41
第三節 門檻共整合檢定 43
第四節 門檻誤差修正模型與Granger因果關係檢定 45
第五章 結論與建議 54
第一節 研究結論 54
第二節 研究建議 56
參考文獻 57
中文部分 57
英文部分 59

(2)圖目錄
頁次
圖1.1 研究流程圖 6
圖4-1美元指數與台灣股價的走勢圖 40
圖4-2新台幣匯率與台灣股價的走勢圖40
圖4-3美元指數與美元兌新台幣的走勢圖41

(3)表目錄
頁次
表2-1 文獻回顧表一 19
表2-2 文獻回顧表二 21
表2-3 文獻回顧表三 22
表4-1 美元指數、匯率與台股股價之基本統計量 38
表4-2 美元指數、匯率及台灣股價之ADF、PP、NP 、KPSS及KSS之檢定 42
表4-3 美元指數與台股模型非線性共整合測試 44
表4-4 新台幣匯率與台股模型非線性共整合測試 45
表4-5 美元指數對台股之門檻誤差修正模型因果關係檢定 49
表4-6 新台幣匯率對台股之門檻誤差修正模型因果關係檢定 52

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