股價指數、匯率、外資比例與房價指數之不對稱因果關係研究──以台灣地區為例

Investigating Asymmetrical Causal Relationship among Stock Price, Exchange Rate, Foreign Capital Ratio and House Price-the Case of Taiwan

本研究是探討股價指數、匯率、外資比例與房價指數的不對稱因果關係。文中將股價指數、房價指數依其上漲或下跌及匯率上升或下降之情況加以區分。再者，因外資對於台灣金融市場的影響不容忽視，故也將加入外資變數。本文以日資料為分析頻率，採取ADF單根檢定、共整合檢定、不對稱Granger因果關係檢定等計量方法，來探討本文之研究目的。經實證結果發現：在短期內，匯率對股價指數、外資比例及房價指數都存在不對稱因果關係，且匯率對股價指數為正向因果，即匯率上升會影響股價指數，匯率下降不會影響股價指數。外資比例會影響匯率也會影響股價指數但不會影響房價指數。股價指數下跌會影響房價指數；房價指數上漲會影響匯率、外資比例與股價指數。上述的結論證實了股價指數、匯率與房價指數，這三個變數間有不對稱因果關係存在。

This study investigates stock price index, exchange rates, foreign capital and house prices index of asymmetrical causal relationship. Price index, home price and the exchange rate were distinguished between rising and falling. Also, as foreign capital for the effect in Taiwan financial market can not be ignored, it also will join the foreign capital variable. This frequency analysis based on daily data, ADF root test, co-integration test, and asymmetrical Granger causal relationship test, to explore the purpose of this article. The empirical results show: in the short term, exchange rate on stock price indice, the foreign capital ratio and house price index are with asymmetrical causal relationship and exchange rates on stock price index is positive causal relationship thatis: exchange rate appreciation would affect the stock price index, the exchange rate decline will not affect the stock price index. Foreign capital ratio would affect the exchange rate, will also affect the stock price index but it will not affect the house price index. Stock price index decline can affect home prices index; price index rising will affect exchange rates, foreign capital ratio and stock price index. The above conclusions show: stock price index, exchange rate and house price index, have asymmetrical causal relationship.