Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/24263
標題: 二十大工業國物價與實質匯率對股價的影響分析:追蹤資料模型的應用
The Effects of the Price Level and Real Exchange Rate on Stock Prices of the G -20: An Application of Panel Data Model
作者: 薛毓騰
Hsueh, Yu-Teng
關鍵字: Price level;物價;Real exchange rate,;Stock price;G-20;Panel cointegration;Panel FMOLS;Panel Granger causality;實質匯率;股價;G-20;Panel共整合;Panel FMOLS;Panel Granger 因果關係
出版社: 高階經理人碩士在職專班
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摘要: 
本研究運用Klevmarken (1989)與Hsiao(2003)提出的追蹤資料模型以探討二十大工業國(G-20)的實質匯率、物價與股價間的長短期動態關係。樣本期間為1999年9月到2010年3月,月資料取自DataStream資料庫。
首先,本研究使用Levin, Lin and Chu (2002)、Im, Pesaran and Shin(2003)以及Hadri(2000)所提出的方法進行 Panel單根檢定,結果發現實質匯率、物價與股價三個經濟變數的時間序列皆具有單根,為非恆定序列;資料經過一階差分後,再以三種相同方法進行單根檢定,結果為不具單根,皆呈恆定序列。
其次,本研究再採用Pedroni(1999, 2004)提出的Panel共整合檢定法,針對上述G-20的三個變數進行Panel共整合關係檢定,結果發現:除了Group rho與Group PP檢定統計量為不顯著外,其餘五個統計量皆拒絕虛無假說,此表示G-20整體的物價、實質匯率與股價三者間具有共整合的長期均衡關係。
接著,本研究再利用Phillips and Hansen(1990)提出的完全修正普通最小平方法(Fully modified ordinary least squares, FMOLS)進行Panel共整合係數估計,結果發現:(1)在個別國家方面,物價對股價有顯著正向影響的國家有英、德、中、日、巴西、印度、印尼,南韓、阿根廷、墨西哥以及南非;而物價對股價有顯著負向影響的國家有美國及加拿大。實質匯率對股價有顯著正向影響的國家有英、加、俄羅斯、巴西、印度、南韓、土耳其、阿根廷以及南非;而實質匯率對股價有顯著負向影響的國家有美、德、日、澳以及沙烏地阿拉伯。(2)在整體G-20方面,物價與實質匯率對股價皆呈顯著正向關係。
最後,本研究利用Granger et al.(2000)提出的Panel Granger因果關係檢定法針對G-20的三個經濟變數進行短期的因果關係檢定,結果發現在這三個變數中,實質匯率與物價之間,以及實質匯率與股價之間皆具有雙向的短期領先-落後關係。
根據本研究上述所獲得之結果得知,除少數國家外,大多數個別國家及整體工業國的物價和實質匯率與其股市間具有顯著的長短期互動關係,而這些重要的研究結果可提供全球基金經理人在考慮到二十大工業國的股市進行國際資產配置決策時一項極有意義的投資參考。

This study employs the panel data model developed by Klevmarken (1989) and Hsiao(2003) to examine the short- and long-run relationships between price levels, real exchange rates and stock prices for the Group of 20 countries (G-20). Monthly data on these three variables from September 1999 through March 2010 are sourced from DataStream databank.
First, the result of this study rejects the stationarities of the three time series for the G-20 by using the three panel unit-root tests of Levin, Lin and Chu (2002), Im, Pesaran and Shin(2003) and Hadri(2000), respectively. Then the first-difference series for these variables exhibit there exist no unit roots that are stationary.
Next, this study uses the panel cointegration approach developed by Pedroni(1999, 2004) to test the cointegrating relationship among the three variables. The result shows that, the other five testing statistics reject the null hypothesis of no cointegration except for the statistics of Group rho and Group PP. This implies that there is the long-run equilibrium relationship among price level, real exchange rate and stock price for the G-20.
This study further utilizes the fully modified ordinary least squares (FMOLS) method proposed by Phillips and Hansen (1990) to conduct the coefficient estimation of panel cointegration. The empirical results are as follows.(1) For every individual country, the effect of price levels on stock prices is significantly positive for the countries such as the United Kingdom, Germany, Japan, Brazil, India, Indonesia, South Korea, Argentina, Mexico and South Africa while that is significantly negative for the United States and Canada. On the other hand, the influence of real exchange rates on stock prices is significantly positive for the countries such as the United Kingdom, Canada, Russia, Brazil, India, South Korea, Turkey, Argentina and South Africa but the significantly negative relationship between these two variables is for the United States, Germany, Japan, Australia and Saudi Arabia. (2) For the G-20 as a whole, both price levels and real exchange rates,respectively, are significantly positively related to stock prices.
Finally, the result of this study indicates that there exist the short-run causal relations from real exchange rates to price levels, and from real exchange rates to stock prices using the panel Granger causality test presented by Granger et al. (2000).
Overall, for most of the countries surveyed in this study with the exception of a few countries, the empirical results obtained above concerning the short- and long-run relationships among price levels, real exchange rates and stock prices suggest that global fund managers take into consideration of the dynamic interactions among the three variables when making their international asset allocation decisions in the stock markets of the G-20.
URI: http://hdl.handle.net/11455/24263
其他識別: U0005-1006201121535800
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