| Summary: | 碩士 === 開南大學 === 財務金融系碩士班 === 95 === This paper investigates of the relationship among International Crude Oil Prices, Taiwan’s stock price index and Macroeconomic Variables of M1b, NTD/USD Exchange Rate, Rediscount Rate, CPI. Daily data of these series are collected from January, 1999 to August, 2006. Using cointegration, Vector Error Correction Model, Granger Causality test, State Space Model techniques to analyze this issue, the estimated results as following：
1.The results from Johansen Cointegration there exist a long-term equilibrium relationship between the International Crude Oil Prices, Taiwan’s stock price index and Macroeconomic Variables.
2.The results from Granger Causality test , reveals that the International Crude Oil Prices leads the CPI. And the NTD/USD Exchange Rate, Taiwan’s stock price index, Rediscount Rate all leads International Crude Oil Prices. Only the M1b of International Crude Oil Prices has feedback relationship. The Granger Causality test result and VECM result homology.
3.The results from Forecast Error Variance, reveals that relationship among six variance is that Rediscount Rate is higher than Taiwan’s stock price index, International Crude Oil Prices, NTD/USD Exchange Rate, CPI, and M1b. As the Impulse Response Function analysis reveals the International Crude Oil Prices to each variance has the impulse, at the to M1b has the largest impulse.
4.The result from State Space Model display as follows, the International Crude Oil Prices, Taiwan’s stock price index and Macroeconomic Variables has no relationship. But in Taiwan’s Macroeconomic Variables has a relationship.
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