我國利率與總體經濟指標相關性之研究

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Title:	我國利率與總體經濟指標相關性之研究
Other Titles:	The relationship between macroeconomic indices and interest rate in Taiwan
Authors:	張文輔;Chang, Wen-fu
Contributors:	淡江大學管理科學研究所碩士班倪衍森;Ni, Yen-sen
Keywords:	總體經濟變數;向量自我迴歸模型;單根檢定;利率;共整合;Macroeconomic Indices;VAR Model;Unit Root;Interest rate;Co-integration
Date:	2009
Issue Date:	2010-01-11 03:05:22 (UTC+8)
Abstract:	金融市場主要功能在促進資金供需間的流通與均衡，其中支配資金流向最主要因素即為利率，且影響利率的因素甚多，從政府決策、消費、投資及個人儲蓄等等不勝枚舉。利率變動亦會影響企業與個人乃至整體經濟活動，對一國的外匯收支、匯率、貿易活動、幣值穩定及股市等均有重大影響。因此，本研究欲探討總體經濟變數是否對我國利率具有影響，研究期間1961年7月至2007年12月共558筆月資料，以向量自我迴歸模型、共整合檢定與雙變量GARCH模型，以國內五大銀行為基準所求得之我國銀行業牌告一個月期存款利率來探討我國利率與總體經濟變數之間的關聯性與波動性外溢效果。由Granger因果關係實證結果發現，我國利率將受到股價指數與美國利率之影響。股價指數向來列為領先指標，利率為同步指標，因此前期股價指數引領下期利率。至於美國利率，美國為全球金融重鎮，全球各國央行皆以美國聯邦銀行馬首是瞻，因此我國利率會受到美國利率之影響。此外，波動性外溢效果實證結果發現，利率波動性單向外溢至經濟變數之波動性者包括了工業生產指數與台幣兌美元匯率。經濟變數之波動性單向外溢至利率者，有失業率等其他六項變數。 The main function of a financial market is to promote balance and circulation between the supply and demand of cash flow. One major factor that effects this monetary circulation is interest rate. Events complicated in nature like government policy, consumer spending and other things affects interest rate. Ultimately, fluctuation on interest rate decides the future of individuals and corporations alike or even the economical performance such as foreign reserve, exchange rate, trading activity, currency stability and stock index performance of a country. Thus, the goal of this research is to determine if macroeconomic variable influences the interest rate. The effect on the monthly interest rate are being analyzed using five hundred and fifty eight data points collected by the Big Five banks from July of 1971 to December of 2007 and are analyzed using Bivariables GARCH model, VAR model, and Cointegration test. Also, the relationship and the volatility between interest rate and macroeconomic indicators are being discussed in this paper. Using Granger cause-and-effect analysis, we found the interest rate could be affected by both Taiwanese stock index prices and the American interest rate. Therefore, we know that the interest rate can be affected by historical stock performance since Taiwanese stock index price is a leading indicator, and interest rate is a coincide indicator. As to the American interest rate, our interest rate are affected by its movements since most countries'' central bank go alone with its direction including Taiwan.Besides, the result of Bivariable GARCH model shows that the industrial production index and the exchange rate between the currency of US dollar and new Taiwanese dollar could be affected by the volatilities of the interest rate. The interest rate could be affected by the volatilities of unemployment rate and other six indictors.
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