匯率、利率與股價之關聯性探討：以台灣金融業為例

Abstract

2008年爆發金融危機使得各國的經濟及金融市場皆面臨極大的重創。各國利率、匯率與股價遭受巨大變動。股市、匯率與利率之聯繫的議題也受到了關係人之密切關注。匯率和股價是反應國家經濟實力的重要指標, 利率政策則是指央行為了實現既定之經濟目標，運用調整利率等方式干預市場，影響並改善總體經濟環境。台灣金融控股公司已完成立法，關於金融業之規範日益健全，2016年台灣金融機構分支機構逾六千多家。由於金融風暴中金融業首當其衝，本研究將針對台灣金融業市場，探討匯率、隔夜拆款利率、 股價三者之關連性。本研究採Chow test模型探討金融產業是否發生結構性改變；利用ADF進行單根檢定，使用Johansen（1988）所提出的共整合檢定方法來進一步探討利率、股價及匯率三者之時間序列彼此之間是否也會存在一種長期的均衡關係，而具有共整合的現象，同時我們使用Granger模型來探討利率、匯率與股價間的因果關係。研究結果發現匯率與股價兩者具有雙向的因果關係，而股價與隔夜拆款利率長期間彼此則不具有因果關係，匯率與隔夜拆款利率則彼此互為獨立。此結果顯示:股價與匯率可能互相影響，而股價在短期內雖與利率(隔夜拆款)有顯著的因果關係，但長期而言卻可能藉由市場因素而回歸基本面，最後利率(隔夜拆款)應主要反映台灣內需市場之故，因此不與匯率有相互影響。

The outbreak of the financial crisis in 2008 has made the economic and financial markets of all countries face great devastation. Interest rates, exchange rates and share prices have changed dramatically. The issue of how exchange rate and interest rate connected with the stock market has also been closely watched by the stakeholders. Exchange rate and stock price is an important indicator of the economic strength of the country, the interest rate policy refers to the central bank in order to achieve the established economic goals. As the financial crisis in the financial industry bear the brunt, this study will be focus on the Taiwan financial industry market, to explore the exchange rate, overnight lending rates, share price, the three variables of the relevance. In this study, the Chow test model was used to explore the structural changes in the financial industry. A single test was conducted using the ADF. The cointegration method proposed by Johansen (1988) was used to further explore the time series between the interest rate, stock price and exchange rate. Whether there is a long-term equilibrium relationship, but with a co-integration phenomenon, and we use the Granger model to explore the stock market, exchange rate and overnight lending rate of their causal relationship. The study found that both the exchange rate and the stock price have a two-way causal relationship, and the stock price and overnight lending rate for a long time each other does not have a causal relationship between the exchange rate and overnight lending rates are independent of each other.