臺灣博碩士論文加值系統

影響外匯市場的因素一直是國內外學者所熱衷研究的議題，本文針對台幣兌美元匯率與股價、利率及國際原油價格等總體經濟因素及與台灣貿易往來頻繁或競爭激烈的亞洲各國貨幣的關聯性進行探討。由於傳統的共整合檢定法只能檢定總體經濟及亞洲各國匯率與台幣是否具長期均衡關係，但無法分析其間連動關係的強弱，本文採用Yang et al. (2014) 提出的均等變異數檢定來探討台幣與總體經濟及亞洲各國匯率連動關係的緊密程度。

研究結果顯示台幣匯率與股價、利率及原油價格並不存在長期均衡關係，但在短期存在連動關係且隨著不同研究期間而有所變動，第一次金融風暴後股價及油價與台幣之關聯性較利率與台幣之關聯性強，亦即國際金融市場對台幣匯率的影響在第一次金融風暴之後逐漸加深。台幣與亞洲各國匯率關聯性的強弱亦會隨著研究期間的不同而改變，本研究結果顯示台幣兌美元匯率與新加坡幣、韓圜、馬來西亞幣、泰銖與港幣存在長期均衡的關係，在全樣本期間及第一次金融風暴時泰銖及馬來西亞幣對台幣的關聯性最強，第二次金融風暴時新加坡幣及澳幣與台幣的關聯性開始逐漸轉強並延續至2015年年底。

Factors influencing foreign exchange market had been heavily studied by researchers. The major objective of this study is to test the co-movement between New Taiwan Dollar (NTD) and some macroeconomic factors such as stock prices, interest rate, and oil prices and those foreign exchange markets of major trading partners of Taiwan in Asia. Other than traditional co-integration test which can only analyze the existence of long run equilibrium relationships, this study utilizes the equal variance test proposed by Yang et al. (2014) to analyze the co-movement relationships between NTD and some macroeconomic factors and Asian foreign
exchange markets.
Results show that there exist no long run equilibrium relationships between NTD and stock prices, interest rate, and oil prices. Different sample periods exhibit different co-movement relationships between NTD and stock prices, interest rate and oil prices. Among these, periods after Asian financial crisis, the co-movement relationships between NTD and stock and oil prices are found to be stronger than that of interest rate. It implies that NTD is more closely affected by the international financial market after Asian financial crisis. Long run equilibrium relationships are found existed between NTD and Singapore, Korean, Malaysia, Thailand, and Hong Kung currencies. Among these, Thailand and Malaysia are found to have stronger co-movement relationships with NTD during Asian financial crisis. Co-movement relationships between NTD and Singapore and Australia currencies become stronger
after the second financial crisis.

第一章 緒論 1
第一節 研究動機及背景 1
第二節 研究目的 3
第三節 研究架構 3
第二章 文獻回顧 5
第一節 匯率與利率關係之文獻回顧 5
第二節 匯率與股價關係之文獻回顧 7
第三節 匯率與油價關係之文獻回顧 8
第四節 小結 10
第三章 研究方法 11
第一節 理論基礎 11
一、利率對匯率的影響 11
二、股價對匯率的影響 12
第二節 單根檢定 14
一、 Augmented Dickey-Fuller單根檢定(ADF) 14
二、Phillips-Perron單根檢定(PP) 15
三、Dickey-Fuller Test with GLS單根檢定(DF-GLS) 16
第三節 Granger因果關係檢定 17
第四節 共整合檢定 18
第五節 均等變異數檢定 19
一、模型假設 20
二、使用OLS估計共整合誤差項平方之漸近分配 23
三、檢定統計量 25
第四章 實證結果分析 28
第一節 資料來源及說明 28
一、台幣兌美元匯率與利率、股價及油價 28
二、台幣兌美元匯率與亞洲各國匯率 29
三、敘述統計分析 29
第二節 台幣匯率與利率、股價及油價之關聯性檢定結果 32
一、單根檢定 32
二、Granger因果關係檢定 34
三、共整合檢定 35
四、均等變異數檢定 36
第三節 台幣匯率與亞洲各國匯率關聯性之檢定結果 40
一、單根檢定 40
二、Granger因果關係檢定 42
三、共整合檢定 44
四、均等變異數檢定 46
第五章 結論與建議 51
第一節 研究結論 51
第二節 研究建議 53
參考文獻 54
附錄 59

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