社會科學院: 經濟學研究所指導教授: 毛慶生林彥豪Lin, Yen-HaoYen-HaoLin2017-03-032018-06-282017-03-032018-06-282016http://ntur.lib.ntu.edu.tw//handle/246246/275293本研究採用時間序列模型探討油價、製造業指數、消費者信心指數、物價膨脹率、工業生產指數與股價指數之關聯性，目的在分析油價升貶如何影響製造業與消費者信心、生產需求與消費需求如何影響原油的價格變化、製造業與消費者信心預期上升如何推升實質工業生產、股價指數與其他變數之關係。本研究採用1989年12月至2015年11月的月資料進行美國金融市場的實證分析，研究結論如下: (1)Granger因果關係顯示在5%顯著水準下，油價影響消費者信心指數與物價膨脹率，製造業指數影響油價、物價膨脹率與工業生產指數，股價指數影響油價、製造業指數，消費者信心指數、物價膨脹率與工業生產指數。工業生產指數影響製造業指數、消費者信心指數、物價膨脹率與股價指數。製造業指數與工業生產指數，股價指數與工業生產指數以及消費者信心指數與工業生產指數皆為互饋關係。值得注意的是，油價並不是製造業指數與股價指數的Granger理由，消費者信心指數不是物價膨脹率的Granger理由。 (2)油價對於製造業信心、物價膨脹率有正向影響，對消費者信心與股價指數產生負向影響。製造業指數對於消費者信心提振、工業生產指數有正向影響，但對於股價指數並無顯著影響。消費者信心指數對於股價指數有正向影響，對於物價膨脹率短期有負向影響，中長期則有正向影響。此外，工業生產指數對於油價、製造業指數、消費者信心、物價膨脹率與股價指數有正面衝擊反應。 (3)透過預測誤差變異數分解，油價幾乎不受到本研究使用的市場變數影響，獨立性高，卻是影響其他變數的重要因素。製造業指數的預測誤差變異數有一定比例受自身影響，但也有相當程度受股價指數、工業生產指數與油價影響。消費者信心指數則有相當比例來自於股價指數影響，物價膨脹率受消費者信心指數影響較小，但很大的比例來自於油價影響。工業生產指數很大比例來自股價指數與製造業指數。股價指數則受到工業生產指數與油價些許影響。The paper adopts monthly data from 1989:M12 to 2015:M11 to verify the interactive relationship among oil price, ISM manufacturing index, consumer confidence index, stock price and industrial production in US market by quantitative time series models . Through the analysis: (1)Granger Causality Test shows that oil price effects consumer confidence index and inflation rate. Manufacturing index effects oil price, inflation rate and industrial production. Stock price effects oil price, manufacturing index, consumer confidence index, inflation rate and industrial production. Industrial production effects manufacturing index, consumer confidence index, inflation rate and stock price. Each of manufacturing index and industrial production Granger causes the other. Each of stock price and industrial production Granger causes the other. Each of consumer confidence index and industrial production Granger causes the other. Moreover, oil price does not Granger cause the manufacturing index and stock price, consumer confidence index Granger cause the inflation rate. (2)Oil price has positive effect on manufacturing index and inflation rate, but negative effect on consumer confidence index and stock price. Manufacturing index stimulates consumer confidence index and industrial production, but not stock price. Consumer confidence index has positive effect on stock price, but negative on inflation rate. Moreover, industrial production has positive effect on oil price, manufacturing index, consumer confidence index, inflation rate and stock price. (3)Oil price is independent from other market variable, but a key factor to them. Manufacturing index might be driven from stock price, industrial production and oil price. Consumer confidence index is affected by stock price, but index does not stimulate the inflation rate. Inflation rate is mainly affected from oil price. Stock price and manufacturing index are key factor to Industrial production; stock price is also affected by Industrial production and oil price.2794918 bytesapplication/pdf論文公開時間: 2021/7/11論文使用權限: 同意無償授權向量自我迴歸模型單根檢定Granger因果檢定衝擊反應分析預測誤差變異數分解Vector Autoregressive ModelGranger Casualty testImpulse Response functionVariance Decompositionthesis10.6342/NTU201600624http://ntur.lib.ntu.edu.tw/bitstream/246246/275293/1/ntu-105-P02323011-1.pdf