隨著經濟全球化，金融全球化的步伐不斷加快，國際經濟聯繫的日益緊密與加深，使匯率與股市之間的關係將變得日益深入與複雜，加上各國經濟狀況的巨大差異，理論上很難對匯率與股市的關係作出一般性的絕對判斷。本文旨在探討日經N225股價指數與美元兌日圓匯率的關聯性，運用Enders and Granger (1998)進行門檻自我迴歸模型(Threshold autoregressive model, TAR)，及動差門檻自我迴歸模型(Momentum-Threshold Autoregressive Model, M-TAR)進行門檻共整合檢定，捕捉日經N225股價指數與美元兌日圓匯率間可能存在的非線性關係。並進一步利用門檻誤差修正模型(Threshold Error-Correction Model, TECM)檢驗其長短期非對稱互動關係，並與傳統之誤差修正模型(Error-Correction Model, ECM)之估計結果進行比較分析。 實證結果發現日經N225股價指數與美元兌日圓匯率呈現非對稱門檻共整合關係。當前二期的日經指數上漲，美元兌日圓匯率貶值。探究其原因可能由於預期日本股市漲勢將更加強勁，美國和歐洲的機構投資者買入大量的日本股票，但出於對日本出口不斷下滑的擔心，他們將持續拋售這些股票，使美元兌日圓匯率貶值。反之，當前期匯率或前期日經指數產生變動，卻對本期日經指數的影響皆不顯著，日本為成熟的經濟個體，因國際資金熱錢的流動而對匯率產生變化，較不會直接影響日本的股市，而是直接反映經濟基本面與企業盈餘，故日經指數與美元兌日圓匯率的關係為單向之因果關係。長期而言日經N225指數對美元兌日圓匯率具有領先關係。 The acceleration of the globalization upon economics and finance makes the relations among countries’ economies closer and closer. The relationships between exchange rates and stock prices also become more and more complicated. Moreover, the huge changes of the economy condition for each country among the world within these few years cause the judgment on the relationships between exchange rates and stock prices hard to be fulfilled. The aim of this paper is to investigation the relationships between Japanese N225 stock index and the exchange rate of Japanese yen against US Dollar (Yen/USD). The methodologies employed are threshold autoregressive model (TAR) and momentum-threshold autoregressive model (M-TAR) by Enders and Granger (1998) testing for the asymmetric cointegration and thresholderror-correction model (TECM) by Enders and Siklos (2001) for the short run and long run Granger causality. The empirical result shows that there exists an asymmetric threshold cointegration relationship between N225 stock index and Yen/USD exchange rate. The depreciation of Yen/USD accompanies with the increasing of the N225 stock prices for two lags. The reason for that might be caused by more investment from US and European institutional investors when Japanese stock market booms, and hence more US dollar prevails in Japan financial market and causes an appreciation of the Japanese Yen. On the other hand, there is no significant impact of Yen/USD movement on N225 stock index. This can be explained by that the Japanese financial market is a relatively mature market, hence increasing of hot money inflow to the Japanese market affects the foreign exchange market in Japan, but not the stock market. It reflects directly to the economy fundamentals and firm earnings. Therefore, a uni-directional causal relationship exists from stock market to exchange rate market in Japan. Overall speaking, for the long run, N225 leads the Yen/USD.
