| 摘要: | 2007年8月美國次級房貸市場損失造成全球金融市場的動盪，進而在2008年9月擴大成全球金融危機，改變世界的經濟前景，引發自1930年代大蕭條以來最嚴重的全球經濟衰退。但在美國政府採取經濟刺激措施，且全球貿易反彈受到大型新興經濟體不斷增加的需求所支撐，以及商業復甦重振股市和房市逐漸穩定，這些因素都有助於美國經濟逐漸復甦。在投資者預期Fed將調升利率之下，2010年初美元匯率可能開始升值；由於短期消息有利於美元升值，然退場機制和其它不利消息仍抑制美元走勢。龐大的政府債務和居高不下的政府赤字嚴重影響美元長期為儲備貨幣的角色，也使得美元面臨貶值壓力。長期而言美元再次成為避險貨幣的誘因減少，美元相對於其他主要貨幣將持續貶值，以幫助美國穩定貿易失衡的情況。
本文旨在探討S&P500指數與歐元兌美元匯率的關聯性，運用Enders and Granger (1998)的門檻自我迴歸模型(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S&P500指數與歐元兌美元匯率間可能存在的非線性關係。並進一步利用Enders and Siklos (2001)的門檻誤差修正模型(threshold error-correction model, TECM)檢驗其長短期非對稱互動關係。實證結果發現S&P500指數與歐元兌美元匯率呈現非對稱門檻共整合關係。當前期S&P500指數產生變動，會對本期S&P500指數造成影響，當期匯率亦會受到前一期匯率之影響，若以長期動態關係而言，S&P500指數對歐元兌美元匯率具有領先關係，但歐元兌美元匯率卻對S&P500指數不具有領先關係。
The global financial crisis upheaval in September 2008 resulted from the enormous loss as a result of exposure to US Subprime Mortgages Crisis market in August 2007 and which moreover lead way to the global financial crisis, altering the world''s perspective on future economy and consequently cause the most serious global economical recession after the Great Depression in 1930s. But with the U.S government stimulus, global trade rebound is supported by the expansionary demand of emerging economy countries, stock market revitalization by reviving business and the gradually stable real estate are the major factors aim on US economy recovery. With the investor’s expectation on the gradual-rising interest rate from FED, US currency will probably start to appreciate at the beginning of 2010; despite the short-term news will beneficially cause US dollar to appreciate, but governmental exit mechanism and other detrimental news still suppress the trend of US dollars. Tremendous government debt and record-high government deficit seriously affect the US dollar as the role of long-term reserve currency, and therefore face the depreciation pressure. Over the long term, dollar will continuously depreciate against other major currencies to help US trade imbalance.
The main purpose of this research is to investigate the relationship between the index of S&P 500 and the exchange rate of dollar/euro. By employing Enders and Granger’s (1998) threshold autoregressive model (TAR) and momentum-thresholds autoregressive model (M-TAR), this research tests for the threshold-cointrgration to explore the possible existence of non-linear long term relations between the two variables considered. Applying threshold error-correction model (TECM) by Enders and Siklos (2001), this research further examine short/long terms asymmetrical interactive relations. The empirical finding illustrates that the index of S&P 500 and the exchange rate of dollar/euro shows an asymmetrical threshold co-integrated relations. Furthermore, both the stock index and exchange rate were influenced by their own previous stage. The final finding is that, for the long term dynamic relations, the index of S&P500 leads the exchange rate of dollar/euro, but not on the contrary. |
