| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 97 === This research utilizes the cointegration model to explore the long-run equilibrium relationships of monetary policy, stock market, foreign exchange market to the price level. In order to catch the phenomenon of short run fluctuations, that can''t be observed effectively by the linear model, the STECM model (Smooth Transition Error Correction Model) is also been used to analyze if there exist the nonlinear characteristics.
The empirical results find that the macroeconomic variables of monetary policy, stock market and foreign exchange market has long-run cointegration relationships with price level. The STECM Model can catch the phenomenon of short run fluctuations in nonlinear model better than the error correction model under the short run dynamics. About the short run adjustment behavior, in the stable regime, the change’s rate of previous period consumer price index, and of the U.S. dollar index are positively correlated to the change’s rate of consumer price index；the change of the federal funds rate of U.S.A. is negatively correlated to change’s rate of consumer price index；the coefficients of the error correction terms are negative, indicates the disequilibrium adjustment strength can revert the variables back to cointegrated equilibrium. In the severely deviated regime, the change’s rate of the Dow Jones industrial index, and change of the federal funds rate of U.S.A are positively correlated to the change’s rate of consumer price index；the change’s rate of U.S. dollar index is negatively correlated to the change’s rate of consumer price index；the coefficients of the error correction terms are positive, indicating the disequilibrium adjustment strength can not be revert the variables back to cointegrated equilibrium, no matter in the short run or in the long run. The disequilibrium situations are even more serious. The STECM Model can catch that the change’s rate of US stock market index is positively correlated and no correlated to change’s rate of consumer price index in different regimes.
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