| Summary: | 碩士 === 南華大學 === 財務管理研究所 === 91 === The study investigates the long-term interrelationships between stock index and monetary factors, by the cointegration analysis. Vector Autoregression (VAR) is first estimated, from which yields forecast error variance decomposition and impulse response function to captures their dynamic characteristics.
This paper uses monthly data from 1995 to 2001.
The empirical results indicate:
(1) By Johansen's estimation method, it is found that stock index has no stable long-term relationship with monetary variables.
(2) According to its forecast error variance decomposition from the VAR model, we find that M1B has a closer short-term dynamic relationship with the monetary variables of concern.
(3)Based on impulse response function, we conclude that a short-term change in the money supply has a positive effect on stock index returns, and over-night rate has a negative effect on stock index returns.
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