| Summary: | 碩士 === 國立臺灣大學 === 經濟學研究所 === 107 === This study applies the vector error correction model (VECM) to investigate the relationship between the US S&P 500 Index and five macroeconomic variables (money supply M2, the spread between 3-month and 10-year treasury yield, US investment-grade credit spread, retail sales and nonfarm payroll) over the period from January 2000 to December 2018.
The empirical results demonstrate that (1) there are five cointegration relationships. The S&P 500 Index is positively related to money supply, retail sales and nonfarm payroll, and is negatively related to the US treasury yield spread. (2) US investment-grade credit spread, retail sales and money supply do “Granger-cause” the S&P 500 Index. (3) When the VECM model faces the shock from the S&P 500 Index, retail sales and nonfarm payroll, the S&P 500 Index will react positively. However, when the model encounters the shock from the US investment-grade credit spread and the US treasury yield spread, the S&P 500 Index will react negatively. (4) The result of the forecast error variance decomposition shows that the macroeconomic variables’ explanatory power toward S&P 500 Index reaches 47% after 36 months. This indicates that for the US market, the shock from the macroeconomic variables influences the US stock prices to a certain degree. Moreover, the S&P 500 Index, retail sales and US investment-grade credit spread have better explanatory power among all the other variables.
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