臺灣匯率、利率與股市的關聯性及交易制度的變革

A Research on the Exchange Rate and Interest Rate to the Links and Trading System Development of Stock Market in Taiwan

本文使用Christopher（1980）向量自我迴歸模型所推導之格蘭傑因果關係檢定、衝擊反應函數分析與預測誤差變異數分解，來檢視臺灣股票市場、匯率市場與利率變動的關聯性，藉由1989年1月至2019年6月的歷史月資料，分析台灣加權股價指數、新台幣兌換美元之匯率與台灣央行重貼現率的互動關係。經實證結果發現，匯率的變動會影響股價指數的波動；股價指數的波動會影響利率的調控；匯率的變動對於利率的調控亦存在影響。

This paper used Vector Autoregression by Christopher Sims (1980) to examine the correlations of stock market, exchange rate, and interest rate in Taiwan from 1989 January to 2019 June. According to the empirical results, exchange rate fluctuations have a positive effect upon stock market volatility. Stock market volatility have a positive effect upon interest rate adjustment. Exchange rate fluctuations also have a positive effect upon interest rate adjustment.