傳統貨幣需求函數的估計，使用的影響因素包括物價、所得及利率。但是近年股市的蓬勃發展，對貨幣需求造成了一定程度的影響。 Friedman 就股市對貨幣需求的影響提出 4 大效果，分別是交易效果、資產組合調整效果、財富效果及替代效果。其中替代效果為負，其他的效果為正。然而並非只有股市會對貨幣需求造成影響，貨幣需求同樣會影響股市。本文採用 Johansen Procedure 估計法，首先建立一般的貨幣需求模型，使用的雙變數包括貨幣需求、物價、所得及利率，實證結果確定這些變數存在 2 條共積關係，一是貨幣需求共積方程式，一是物價共積方程式。然後我們將股市成交量放入，同樣確定這些變數間具有 2 條共積關係。
Johansen Procedure 有 5 種模型，分別適用於不同的情況，我們要事先由資料來判斷使用哪一個模型並不容易，因此本文採用了多項標準，包括共積係數符號及其大小、向量誤差修正模型誤差項常態性與序列相關檢定、重要統計值(RSS、AIC、SC)等，用來作為選擇最適模型的依據。經由實證結果我們發現，不論是否加入股市成交量，模型三都是最適當的模型，也就是資料有不為零的平均數與線性趨勢，但共積方程式只有截距項。
就貨幣需求共積方程式殘差對各變數的影響來看，M1A 與 M1B 的連續增加，都會使股市成交量擴大，而 M1B 的連續增加還會形成物價上漲的壓力。而就物價共積方程式殘差對各變數的影響來看，解釋上較不容易。這可能是因為台灣地區物價長期處於穩定，加上台灣股市受到心理及消息面的影響性很大，要用總體變數作一個完整的解釋並不十分容易。雖然如此，貨幣市場與股票市場間的互動仍然極具有研究價值。 / Traditionally, when estimating the money demand, we use price index, income, and interest rate as its influcing factors. But the stock market that is booming these years has made certain influence on money demand.
Milton Friedman pointed out that there are 4 effects that stock market can influcnce money demand. They are trading effect, portfolio reconstruction effect, wealth effect, and subsitution effect. Among these effects, subsitution effect has negative influence on money demand and other 3 effects have positive influence on mondy demand. However, not only does the stock market has influence on mondy demand, money demand also has influence on stock market. In my thesis, I applied Johansen Procedure estimation method. First, I established a traditional model on money demand. The variables I used including money demand, price index, income, and interest rate. From the empirical outcome we are sure that there are 2 cointegration equations among these variables.One is the money demand cointegration equation and the other is the price cointegration equation. Next we add the stock trading volume to the model. We also make sure that there are 2 cointegration relationships among them.
There are 5 models in Johansen Procedure estimation method, and they are applied in different situations. It is not easy to decide which model to apply in advance. So in the thesis, we used many criteria, including the value and the sign of the coefficients, the the serial correlation and the normality test of the residuals from the vector error correction model, and important statistics(RSS, AIC, SC) to decide which model to apply. According to the empirical outcome, whether stock trading volume is included, model 3, which is there are means and linear trend in data but the cointegration equation only has intercept is the proper model we selected.
About the residuals from the money demand cointegration quation's influence on variables, we find that the continuous increase in M1A and M1B will make enlarge the stock trading volume. Besides, the coutinuous increase in M1B will cause the price to raise. And about the residuals from the price cointegration equation's influence on variables, it is a little bit difficult to interpret. Maybe it is because the price is very stable in Taiwan and the stock market in Taiwan is affected by psychology side and information side easily. So it is not easy to use the macro economic variables to interpret fully. Althought it is the case, the interaction between the money market and the stock market still worth researching.
| Identifer | oai:union.ndltd.org:CHENGCHI/B2002001910 |
| Creators | 李博遠, Li, Po-Yuan |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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