國際油價對產油國家國內匯率和股價之關聯: 以俄羅斯為例

Abstract

從2014年下半年開始，國際油價進入一個持續的下跌，同期間產油大國俄羅斯的貨幣: 盧布匯率及俄羅斯股票指數皆呈現貶值及下跌的趨勢，本研究用GARCH模型探討三變數之間的收益和波動有無外溢效果。本文以2014年1月4日至2016年2月19日之油價、匯率、股價指數為樣本，使用的計量方法有單根檢定、GARCH模型。得到結果為油價和匯率有顯著相關，且油價收益率會影響匯率收益率，方向為油價上漲，貨幣升值。匯率和股價也有顯著相關，且匯率收益率會影響股價收益率，方向為匯率升值，股價上漲。最後以俄羅斯央行介入貨幣市場為分割點，發現介入前油價收益率仍會影響匯率收益率，但介入後油價已不會影響匯率，匯率僅受到自身即央行利率的影響。本研究由時間序列分析證實了匯率理論和現金流導向模型，說明油價做為出口品如何影響匯率，以及匯率變動如何影響股市。

Since oil price encountered a huge decline in 2014.The exchange rate of Russia’s currency and Russia’s stock index also fall down dramatically. This article explores the relationship between oil price and exchange rate, and exchange rate to stock index. This research uses time-series methods to examine and interpret the result of them. The research period is from January 2014 to February 2016. The applied time-series methods include unit root test, GARCH model. The major findings in this research are: first, the rate of return of oil price significantly affects the rate of return of exchange rate. Second, the rate of return of exchange rate significantly affects the rate of return of stock index. Third, the monetary policy launched by Bank of Russia significantly changed the relationship between oil price and exchange rate. After Bank launched the policy, oil price does not affect exchange rate any more.