台灣電子類股價指數與總體經濟變數關聯性實證研究

Abstract

本研究主要探討台灣電子類股價指數與總體經濟變數之關聯性。選取的總體經濟變數包括核心物價指數、美元兌新台幣匯率、貨幣供給M1B、電子外銷訂單、金融同業拆款利率。研究資料的期間為1995/01~2018/03之月資料，採用單根檢定、共整合檢定、向量誤差修正模型、Granger因果關係檢定、衝擊反應分析、預測誤差變異數分解進行實證分析。 實證結果為，總體經濟變數在5%顯著水準之下皆為I(1)，且具有共整合關係，另外電子類股價指數受落後1期與2期核心物價指數與落後2期貨幣供給M1B正向影響。並於雙變數之Granger因果檢定中發現，電子類股價指數領先核心物價指數與美元兌新台幣匯率，並與金融同業拆款利率為雙向回饋關係；貨幣供給M1B領先電子類股價指數。

This research studies the correlation between macroeconomic variables and Taiwan electronic Index. The macroeconomic variables consist of five variables, which are core consumer price index, exchange rate(New Taiwan dollars to 1 U.S dollars), monetary supply(Monetary Aggregate M1B), export orders for electronic products, and interbank call loan rates. This research used monthly data ranging from January 1995 to March 2018, using unit root test, cointegration test, VECM, Granger causality test, impulse response function and forecast error variance decomposition. I apply these methods do empirical study. The empirical results are as follows. Under 5% significant level, all macroeconomic variables are I(1)；Taiwan electronic Index and macroeconomic variables have cointegration；core consumer price index of lag 1 and 2 have positive influence on electronics index；monetary supply(M1B) of lag 2 has positive influence on electronic index. Based on results of Granger causality test, electronic index leads core consumer price index and exchange rate and has bidirectional feedback relationship；monetary supply leads electronic index.