The Relationship between Brand funds and Macro-economic Variables─The Perspectives of USA, Euro Area and Taiwan

• Main Authors: Ya-Lin Chan, 詹雅琳
• Other Authors: Wei-Shan Hu
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/01333925072826656660

碩士 === 中原大學 === 企業管理研究所 === 96 === The luxury brand industries, like other industries has a business cycle. The long-term growing force of luxury brand stocks or funds are influenced by global economic growth and the momentum of consumers markets. This study examines the relationship between the returns of luxury brand funds and macroeconomic variables. Unit Roots test, Granger Causality test, Vector Autoregression model, Impulse Response analysis, and Variance Decomposition methods are utilized as the analytic tools. Empirical results are summarized as follows: (1) The finding of Granger Causality test indicates that the rate of return on luxury brand fund based on US dollars (USD) denomination causes the change in American consumer price index (CPI); the exchange rate of Euro converting into USD affects the return on luxury brand fund based on USD denomination; the money supply of Taiwan and the rate of return on luxury brand fund based on New Taiwan dollars (NTD) denomination behaved mutual causality. (2) The result of Impulse Response analysis shows that all the returns on luxury brand funds in every denomination are heavily affected by CPI. (3) The result of Variance Decomposition analysis demonstrates that, for USD denomination luxury brand fund, the exchange rate of Euro converts into USD and the American CPI have greater explanatory power than other factors do. However, the rate of return on the luxury brand fund in USD denomination, the Euro area CPI and unemployment rate have greater explanatory power on the rate of return of the luxury brand fund in Euro denomination. This investigation also finds that the Taiwanese unemployment rate and CPI have greater explanatory power than other parameters on the rate of return of the luxury brand fund in Taiwan dollar denomination. These empirical results provide helpful reference for investors to make their investment decisions.