臺灣股價與總體經濟變數之動態關係:向量誤差修正模型之應用

Abstract

本研究檢定總體經濟變數的變動，對股市造成的影響. 根據表準股 價評價模式,股價的變動,乃是由於預期的現金流量與折現率所造成的. Chen, Roll, and Ross(1986)指出經濟狀態變數<經由他們對未來股利與 折現率的影響,發揮系統影響力在股價的報酬上, 而對股價造成影響. 一 些相關財務研究指出, 匯率, 貨幣供給, 通貨膨脹,實質產出, 長期政府 公債利率, 與短期貨幣市場利率, 將造成對股價的影響. 藉由建立一 包含七個內生變數的系統的向量誤差修正模型, 我們發現臺灣股市是由一 群六個總體經濟變數共機在一起. 股價與總體經濟變數的長期均衡的正負 向變動關係, 與所預期的財務論點一致, 再者,對於這個共機關係做穩定 性檢定, 發現股價與六個經濟變數中的任五個, 其均衡關係都是穩定的. 本文並將樣本期間分成兩個子期間, 其結果也是穩定的. 最後, 在找 出系統的共積向量數目之後, 本研究繼續對於系統的弱外生性做檢定,並 對這些共機關托Y檢定一些結構化經濟關係.檢定的結果, 發現匯率與短期 利率對於整個系統而言是弱外生性的, 而對於共積關係所作的線性假設 檢定,也發現利率並不存在共積空間中. This paper test whether innovations in macroeconomic variables are risks that are rewarded in the stock market. According to the standard valuationmodel, the determinants of stock price are the expected cask flow from the stock and the required rate of return commensurate with the cash flow's riskiness. Chen, Roll, and Ross(1986) demonstrate that economic state variabls, via their effect on future dividends and the discount rates, exertsystematic influence on stock returns. Financial theory suggests that thefollowing macroeconomic variables should systematically affect stock market returns: exchange rate, inflation, money supply, real economic activity, long-term government bond rate, and call money rate. By Employing the vector error correction model(VECM) in a system of seven equation, we find that Taiwan stock index is cointegrated with a group od six macroeconomic variables. The sign of the long-term elasticity coefficients of the macroeconomic variables on stock prices generally support the hypothesized equilibrium relation. Our findings are robust to different combinations of 5macroeconomic variables in six-dimension systems and two subperiods. Lastly, having determining how many cointegration vectors there are, we test for weak exogeneity and some structural economic hypotheses. On the basisof these tests, both exchange rate and short-term interest rate are weakly exogenous to the system. The results obtained from testing for linear hypotheses on cointegration relations suggest that the term structure ofinterest rate doesn't exist in the cointegration space.