| Summary: | 碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 102 === In this paper, we focus on the study of relationships among TAIEX, interest rate exchange rate and macroeconomic variables－Consumer Price Index (CPI), M1B End of Month (money supply), Export Order Index and Industrial Production Index, etc. Moreover, the data were selected for 166 months in the period from Jan. 2000 to October 2013. In this study, unit root test is adopted, and Vector Auto-Regression Model (Impulse Response Function and Variance Decomposition) is used to test how a variable will affect other variable when it meets external impact or change, and to test the exogenous strength. Furthermore, Johansen co-integration method is used to test long term balancing relationship, vector error correction model is used to test short term dynamic relationship, and Granger causality relationship is used to test the leading and lagging relationship among variables; in other words, all the above mentioned methods are used together to investigate the correlation among TAIEX, interest rate, exchange rate and macro-economic variables.
From the empirical result, it can be found that TAIEX can be mainly explained by the exchange rate, money supply and Industrial Production Index. When there is change on variables such as price index, money supply, exchange rate, export order index and industrial production index, TAIEX usually has a reaction of positive relationship to them, however, when there is change in the interest rate, TAIEX usually has a reaction of negative relationship to it. It can be seen that long term balanced co-integration relationship exists between TAIEX and macro-economic variables. From the vector error correction model, it is clear that under short term dynamic equilibrium, the variation of the current term of TAIEX is affected by its own previous term result. From Granger causality relationship test result, it is found that cause-and-effect relationship of mutual feedback characteristic exists between TAIEX and interest rate and money supply.
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