本論文研究目的在於探討: (1)美國股市至2014年來是否有大泡沫存在;(2)相較於過去自1951年起的股市泡沫，現今泡沫的大小；以及(3)為何美國貨幣政策會造成股市泡沫。不同於過去許多檢驗股市是否有泡沫存在的指標，本研究使用名目GDP，並認為名目GDP對股價指數(標準普爾 500指數)有吸引關係，但考慮1970年代的高通膨時期對兩變數關係的影響，研究中加入物價水準變數，再利用Engle-Granger共整合方法，根據S&P500股價指數、名目GDP與物價水準共整合之結果顯示，名目GDP、通膨率與股價之間有長期的關係存在，且美國股市有泡沫正在形成，其大小幾乎是歷史上最大的2000年網路泡沫時期泡沫的1/3到1/2，且其擴大的程度已經到達2007年金融危機時的泡沫的大小，此結果與美國金融研究辦公室報告中，用Q比率、CAPE 率和巴菲特率所得到的結果幾乎完全一樣，誤差修正穩定性檢驗的結果也顯示，1951到2014總共64年的季資料，有95%信度的資料結果，證實美國股市正處於一個泡沫之中。 The purpose of this research is to identify (i) whether there is a significant speculative bubble in the U.S. stock market as of late 2014, (ii) how large the bubble is relative to past bubbles dating back to 1951, and (iii) why current monetary policy may be causing the bubble. In contrast to traditional microeconomic indicators used to examine stock bubbles, we make use of nominal GDP only. Moreover, we explain why that this variable should be closely related to the stock price index. This thesis asserts that nominal GDP is a weak attractor for stock price (measured by the S&P 500 index). However, because of the high inflation period during the 1970s, which interrupted the close relation between stock prices and nominal GDP, the price level is added to the regression in a new and interesting manner. Using Engle-Granger cointegration methods, we found a surprisingly strong and complicated long run relation between nominal GDP, inflation, and stock prices. According to our empirical results, we found strong evidence of a bubble in the US stock market, whose size has already expanded to roughly 1/3 to 1/2 the size of the dotcom bubble of 2000, and is roughly the same size as the stock bubble in 2007. These results accord well with analysis made by the Office of Financial Research of the US government. Both CUSUM and CUSUMSQ tests verify that the associated error correction model is stable for quarterly data over the entire period 1951- 2014.
