||The Impacts of Subprime Mortgage Crisis on the Relations between Stock Markets and
Macroeconomic Variables: the Cases
of the United States and Taiwan
||Institute of International Management (IIMBA--Master)(on the job class)
Subprime Mortgage Crisis
對於美國實證模型:在本研究期間，次級房貸危機已經對於美國 S&P 500 股價指數走勢產生影響但尚不顯著。研究結果亦顯示在總體經濟變數方面次級房貸危機對於美國工業生產指數跟貨幣供給產生顯著的影響，而對於美國的消費者物價指數尚無影響。
The credit crisis of 2007, starting in the subprime mortgage markets in the U. S., has influenced investors all over the world and shut down the global markets from expected growth. This research extends the analysis from March. 1999 to February 2009 and makes an assumption that the subprime mortgage crisis has had an impact on the selected countries, then employs multi regression equation to investigate the influence of the subprime mortgage crisis on stock index and economic structure change of the United States, the epicenter of subprime mortgage crisis, and Taiwan, an Asian country on the other side of the Pacific Ocean.
The empirical result of this research reveals:
For the United States empirical model: The subprime mortgage crisis has impacted on the United States S&P 500 stock index but it is not significantly during the study period. The result also shows that the subprime mortgage crisis has impacted on the industrial production index and money supply and has not influenced the consumer price index during the study period.
For Taiwan empirical model: The subprime mortgage crisis has impacted on Taiwan Capitalization Weighted Stock Index but it is not significantly during the study period. The result also shows that the subprime mortgage crisis has impacted on the exchange rate but it is not significantly and has not impacted the consumer price index, industrial production index and money supply.
CHAPTER ONE INTRODUCTION 1
1.1 Research Background. 1
1.2 Research Motivation and Purpose. 3
1.3 Scope and Limitation of the Research. 4
1.4 Research Structure. 4
CHAPTER TWO LITERATURE REVIEW 6
2.1 Subprime Mortgage Crisis. 6
2.1.1 Definition of Subprime Mortgage. 6
2.1.2 Subprime Mortgage Crisis Literature. 6
2.2 The Relationship between Subprime Mortgage Crisis and Stock Market. 11
2.3 The Relationship between Subprime Mortgage Crisis and Macroeconomic Variables. 14
2.4 The Relationship between Stock Price and Selected Macroeconomic Variables. 15
2.4.1 The Relationship between Stock Price and CPI (Consumer Price Index). 15
2.4.2 The Relationship between Stock Price and IP (Industrial Production). 16
2.4.3 The Relationship between Stock Price and Exchange Rate. 16
2.4.4 The Relationship between Stock Price and Money Supply. 16
2.5 Literature Review for Stock Price and Macroeconomic Variables. 17
2.5.1 Consumer Price Index (CPI). 17
2.5.2 Industrial Production (IP). 19
2.5.3 Exchange Rate. 20
2.5.4 Money Supply. 23
CHAPTER THREE RESEARCH DESIGN AND METHODOLOGY 27
3.1 Variables Selection and Data Resources. 28
3.2 Methodology. 31
3.2.1 Research Process. 31
3.2.2 Research Methods. 32
3.3 Empirical Model. 40
CHAPTER FOUR RESEARCH RESULTS 42
4.1 Empirical Results: Test for Collinearity and Significance. 42
4.2 Empirical Result: Test for Heteroscedasticity and Autocorrelation. 44
4.3 Empirical Result: Dummy Variables and Final Model. 45
4.4 Conclusion for Empirical Model Result. 47
4.5 Conclusion for Macroeconomic Variables Result. 48
4.5.1 Consumer Price Index. 48
4.5.2 Industrial Production Index 48
4.5.3 Exchange Rate. 48
4.5.4 Money Supply. 49
4.6 Conclusion for Dummy Variable Result. 51
4.6.1 Dummy Variable for Subprime Mortgage Crisis Event. 51
4.6.2 Dummy Variable for Macroeconomic Variables. 51
CHAPTER FIVE CONCLUSION AND SUGGESTION 53
5.1 Research Conclusion. 53
5.2 Research Contribution. 57
5.3 Limitation and Future Research. 58
5.4 Suggestion. 58
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