研究以S&P500股價指數、人民幣兌美元匯率及上海證券交易所股票價格綜合指數為研究標的，就美國實施量化寬鬆貨幣政策的期間，QE1的2008年12月至2010年3月，共16個月期間，QE2的2010年11月至2011年6月，共8個月期間，利用非線性門檻誤差修正模型架構，分別研究美國實施量化寬鬆的貨幣政策對美國、中國的股票市場與匯率市場其相互間之長短期非線性因果關係。在研究方法上，採用Kapetanios et al.(2003) KSS非線性單根檢定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(TAR)以及動差門檻自我迴歸模型(M-TAR)進行門檻共整合檢定，再進一步利用Enders and Granger(1998)及Enders and Siklos(2001)門檻誤差修正模型(TECM)來捕捉美國、中國的股票市場與匯率市場之長短期非線性不對稱效果。 從實證結果發現在非線性KSS與線性PP、KPSS與NP單根檢定法，檢測中、美股匯資料皆為I(1)數列。而在門檻共整合檢定部份，綜合發現無論是在QE1或QE2期間，中、美股匯皆存在有長期均衡的非對稱共整合關係。最後，由門檻誤差修正模型因果關係檢定綜合發現，在短期，美國的股價與匯率之間的關係屬於傳統理論。在長期，美國的股價與匯率之間的關係屬於傳統理論與投資組合理論，而中國的股價與匯率之間的關係，於QE1屬於傳統理論與投資組合理論，於QE2屬於投資組合理論。 This paper empirically investigates the exchange rate effects of the Chinese Yuan against the US dollar (CNY/US) on stock index in China and United State during the first round of quantitative easing (QE1) and the second round of quantitative easing (QE2). This study employs the newly threshold error-correction model (TECM) elaborated by Enders and Granger and Enders and Siklos, assuming the nature of the relationship between the variables is on the basis of non-linearity. The empirical evidence suggests that there is a long-run equilibrium relationship between CNY/US and the stock index of China and United State during the time period investigated. In addition, the results of TECM Granger-Causality tests show a short-run causal relationship exists between CNY/US and the stock index of United State. And no short-run causal relationship exists between CNY/US and the stock index of China. However, in the long-run a bidirectional causal relationships between CNY/US and the stock index of United State during in QE1 and QE2 strongly argues for the traditional approach and portfolio approach. And in the long-run a bidirectional causal relationships between CNY/US and the stock index of China during in QE1 strongly argues for the traditional approach and portfolio approach. But in QE2, there is positive causal relationship from the stock index of China to CNY/US, and also strongly argues for the portfolio approach.
