Stock Market, Exchange Rate, Interest Rate, and Money Supply—Evidence from ASEAN-Five before and after Southeast Asian Financial Crisis
Date Issued
2007
Date
2007
Author(s)
Chen, Chao-Mu
DOI
zh-TW
Abstract
Countries in East Asia had experienced decades of highly fast economic growth before Asia Financial Crisis, and the momentum of growth attracted giant amounts of international capital flows into stock markets at that time. However, the truths behind the prosperity were lame financial system and weak fundamental of economy in each country. The continuously growing bubble finally crashed when Thai government and enterprises were doubted on their debt-paying ability by the market in 1997. The economic crisis, like a plague, transmitted to neighbors very quickly.
This thesis uses data covering from January 1990 to April 2006 and sets July 1st 1997, the day Thailand decided to float Baht, as the watershed which separates our data into “pre-financial crisis” and “post-financial crisis.” Then this article discusses how stock market would interact with exchange rate, interest rate and money supply in Asian-Five, which are all small and open economic systems, by adopting unit root test, Granger causality test, VAR model and impulse-response analysis.
This article finds that stock market is highly related to exchange rate. The fluctuation of exchange rate leads stock market before crisis in most countries and even in some cases we find a mutual-leading relation. However, these interaction relations changes in post-crisis era. In addition to different results in Granger causality test, distributed-lag analysis also shows the duration that exchange rate’s lag item would affect stock indices decreased and lag item’s coefficient becomes intensified. Impulse-response analysis shows stock indices of ASIAN-5 would response to the random shock resulted from exchange rate in similar direction and more quickly after crisis, meaning financial crisis does change the interaction among economic parameters.
The interaction of interest rate and money supply to stock index are comparatively smaller than exchange rate to stock index, but they become more important because distributed-lag analysis and impulse-response analysis shows the similar outcome.
Subjects
匯率
利率
貨幣供給
股價
單根檢定
Granger因果檢定
VAR模型
衝擊反應分析
東南亞金融風暴
Exchange Rate
Interest Rate
Money Supply
Stock Index
Uni-root Test
Granger Causality Test
VAR
Impulse-Response Analysis
Southeast Asian Financial Crisis
SDGs
Type
thesis
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