Using VAR To Investigate Association Among Stock Prices, Exchange Rate And Interest Rate Before And After The Interest Rate Cut

• Main Authors: Chen, Huiju, 陳慧儒
• Other Authors: Chen, Guanru
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/76956662336955805181

碩士 === 義守大學 === 財務金融學系 === 100 === This study focus on the stock price, exchange rate of NTD and interest rate in the macroeconomics as the variables. First, using the Johansen's cointegration analysis to examine whether there are cointegrating relationships and using the Granger causal to verify and clarify the interaction between the three variables before and after the interest rate cut. In addition, applying the impulse responses of one variable to the others in order to find out the interaction between stock price, exchange rate and interest rate. Hoped that the empirical results can provide the investors a important reference for financial management in the future. Due to the sample period cover the subprime crisis, the study makes two parts to discuss. First part: the interest rate hikes: 2004/09/27-2008/09/15; second part: the interest rate cuts: 2008/09/22-2010/06/28. First, the result of Johansen cointegration analysis on stock prices, exchange rates of NTD and interest rates showed that no matter before and after interest cuts, these three variables have long-term equilibrium. Second, the result of Granger casual relationship examination on these three variables showed that exchange rate lead to stock price but stock price lead to interest rate during the interest rate hikes; but during the interest rate cuts, there are the relationship between exchange rates and stock prices. Finally, as the impulse response analysis, there have a negative relationship between stock prices and exchange rates. Therefore, we know that the financial system of Taiwan and the international financial market have the certain degree of correlation, so any financial crisis is possible to make the stock and currency markets by the severe impact.