| 摘要: | 美國經濟是世界經濟的櫥窗，其經濟政策不只是影響美國經濟的表現，與其依存度高的國家也都受連帶的影響；而一個國家股價的高低常可反映該國經濟情況的好壞，故本文乃透過向量自我迴歸模型、共整合檢定、誤差修正模型、GRANGER因果關係檢定、變異數分解以及衝擊反應，個別分析美國與加拿大、墨西哥、中國、日本、德國、英國、韓國及台灣之股價、利率、匯率之間的關聯性，以了解美國利率政策情況對美國主要貿易國家之股價、匯率及利率的互動關係，其研究結果如下： 1.由共整合檢定得知，美國—加拿大、美國—日本、美國—德國、美國—韓國、美國—台灣等五國模型，美國與各國至少存在有一個共整合向量，即美國與這些國家的經濟變數至少存在一長期趨勢關係。2.由GRANGER因果關係檢定及變異數分解之結果顯示，美國與加拿大、墨西哥、日本、德國、韓國及台灣之股價、利率及匯率的關聯性較高；而美國與中國、英國之股價、利率及匯率的關聯性則較低。3.美國利率不只是受到美國股價指數的影響，還受到加拿大股價指數、墨西哥股價指數、日本股價指數及德國股價指數的影響，表示美國的利率政策可能會受其高貿易依存度國家之經濟表現所影響。4.美國股價指數為全球經濟的櫥窗，幾乎每個國家都會受到美國股價指數的影響，美國經濟的好壞的確會影響全球景氣。
US economy is the global economy in a nutshell. Its economic policy impacts domestically as well as internationally on the countries highly dependent on the US. In light of the fact that a country’s economic performance is often shown in the fluctuation of its state stock price, this thesis adopted the vector autoregressive model, co-integrated test, error correction model, Granger causality test, variance decomposition and impact response to analyze the relevancy in the stock prices, interest rates and exchange rates between the US and Canada, Mexico, China, Japan, Germany, the United Kingdom, Korea and Taiwan, respectively and understand the impact US interest rate policy has on the stock price, exchange rate and interest rate of US major trade partners. We have reached the following conclusions. 1.The co-integrated test told us that there is at least one co-integrated vector in each of the five models, US-Canada, US-Japan, US-Germany, US-Korea, and US-Taiwan. That is, there is at least one long-term trend among the economic variables between the US and those countries.2.The Granger causality test and variance decomposition showed that the relevancy of US stock price, interest rate and exchange rate to those in Canada, Mexico, Japan, Germany, Korea, and Taiwan is higher than those in China and the United Kingdom.3.US interest rate is not impacted only by the US stock index. It is also influenced by the Canadian stock index, Mexican stock index, Japanese stock index and German stock index. This means that US interest rate policy may be determined based on the economic performance of its major trade partners. 4.US stock index is the benchmark for the global economy. Nearly all countries around the world will be impacted by the US stock index. Therefore, how well the global economy does depends on the US economy. |
