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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/120698


    Title: 臺灣匯率利率與股市的關聯性及交易制度的變革
    Other Titles: A Research on the Exchange Rate and Interest Rate to the Links and Trading System Development of Stock Market in Taiwan
    Authors: 黃威儒;李文雄
    Keywords: 向量自我迴歸模型;格蘭傑因果關係檢定;衝擊反應函數分析;預測誤差變異數分解
    Date: 2019-12
    Issue Date: 2021-05-04 12:11:16 (UTC+8)
    Publisher: 台灣金融法律學會
    Abstract: 本文使用Christopher(1980)向量自我迴歸模型所推導之格蘭傑因果關係檢定、衝擊反應函數分析與預測誤差變異數分解,來檢視臺灣股票市場、匯率市場與利率變動的關聯性,藉由1989年1月至2019年6月的歷史月資料,分析台灣加權股價指數、新台幣兌換美元之匯率與台灣央行重貼現率的互動關係。經實證結果發現,匯率的變動會影響股價指數的波動;股價指數的波動會影響利率的調控;匯率的變動對於利率的調控亦存在影響。
    Relation: 商業法律與財金期刊 2(1),頁1-13
    Appears in Collections:[Graduate Institute & Department of Business Administration] Journal Article

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