不同匯率制度下中國各項經濟指標之關聯性

• Main Authors: Wang,Ya-Ching, 王雅菁
• Other Authors: 林文昌
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/09195367822333911617

碩士 === 國立中正大學 === 財務金融研究所 === 101 === The aim of this thesis is to observe the impact on the dynamic of macroeconomic factors due to the adoption of the managed floating rate system on RMB in 2005. This thesis examines the intertemporal relationship among exchange rate, price index, interest rate, stock index across the fixed and floating exchange rate system during 2001~2011. By conducting the co-integration analysis and the vector error correction model (VECM) approaches, this paper sheds light on that the correlations exist between these variables can provide investors and researchers rich information for determining their investment decisions and research strategies. The results from the Johansen co-integration test reveal that, significant co-integrations exist among exchange rate, price index, real interest rate, stock index and output variables, suggesting that there is a long run equilibrium relationship embedded among the four variables. From the VECM, I find that the deviation between US Dollar index and the USD/RMB exchange rate from the long-run trend formed by the other four macroeconomic indexes will be adjusted reversely to align with the trend. The results from the Granger causality test based upon the sample period under the fixed RMB/USD exchange rate system, I find that a feedback causality relationship between the US Dollar index and the IPI. I also find more causal relationships between variables period are extant during the period that the floating exchange rate system is enforced.