本研究爰以道瓊工業指數（Dow Jones Industrial Average）與美元兌日圓匯率 (USD/JPY Exchange Rate)1998年1月1日至2008年8月31日之每日收盤價為研究對象，利用非線性模型架構，進行道瓊工業指數與美元兌日圓匯率關聯性之探討。在研究方法上，採用Kapetanios et al. (2003) KSS單根檢定法以測試非線性的定態關係，並以Enders and Granger (1998) 門檻自我迴歸模型 (Threshold autoregressive model; TAR)，以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，且進一步運用Enders and Granger (1998) 及Enders and Siklos (2001) 門檻誤差修正模型 (Threshod Error-Correction Model; TECM)，以捕捉變數間長短期非對稱之因果關係。
單根檢定之結果發現道瓊工業指數與美元兌日圓匯率資料均屬於 I ( 1 ) 的時間序列。而依M-TAR檢定結果，道瓊工業指數與美元兌日圓匯率間存有門檻共整合的關係，換言之，兩者有長期均衡的關係。至於在探討兩個時間序列之長短期互動關係方面，以門檻誤差修正模型為基礎之實證結果，在短期動態關係方面，發現前一期之美元兌日圓匯率，對當期美元兌日圓匯率之走勢有顯著的負向影響，但道瓊工業指數與美元兌日圓匯率間並無領先落後的關係;而在兩者的長期互動關係上，考慮門檻誤差修正項之Granger因果關係，則發現在門檻值之上，道瓊工業指數與美元兌日圓匯率互有領先及落後的雙向關係，其中又以美元兌日圓匯率影響道瓊工業指數的力道較強 ; 在門檻值之下，則只有道瓊工業指數單向影響美元兌日圓匯率的領先關係。而當道瓊工業指數與美元兌日圓匯率的長期均衡關係偏離時，道瓊工業指數與美元兌日圓匯率均會修正其本身的價格誤差，使之回復長期的均衡關係，而由於其誤差修正調整係數均為負且不相同，可看出當道瓊工業指數與美元兌日圓匯率之長期均衡關係偏離時，不論在門檻之上或之下，其回復均衡狀態之調整速度並不相同，其中以匯率市場回歸均值的調整速度較快。 The relationship between equity market and foreign exchange market has always received considerable amount of attention from the economists, international investors and policy makers. This study employs various linear and non-linear, time-series methodologies to investigate the short-term and long-term relationships between Dow Jones Industrial Average Index and USD/JPY exchange rate during the period of January 1998 to August 2008.
It is found that from both conventional ADF, PP, and NP tests and advanced KSS test,these two variabls are insured I(1) non-stationary time series; we also find there is significant co-intergation relationship between Dow Jones Index and USD/JPY; in another words, there is a long-run equilibrium relationship between Dow Jones Index and USD/JPY in time series.
The results from Granger-Gausality test based on corresponding TECM (Threshold Error-Correction Model) clearly point out there do exist a bidirectional causality running from Dow Jones Industrial Average Index to USD/JPY exchange rate in the long run; but there is no significant lead-lag causal relationship found between Dow Jones Index and USD/JPY in the short run.
This study might be valuable for those who are participating in equity market or foreign exchange market and policy makers.
