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系統識別號 U0026-0901201010300500
論文名稱(中文) 次級房貸危機對股票市場與總體經濟變數關係的影響:以美國及台灣為例
論文名稱(英文) The Impacts of Subprime Mortgage Crisis on the Relations between Stock Markets and Macroeconomic Variables: the Cases of the United States and Taiwan
校院名稱 成功大學
系所名稱(中) 國際經營管理研究所碩士在職專班
系所名稱(英) Institute of International Management (IIMBA--Master)(on the job class)
學年度 98
學期 1
出版年 99
研究生(中文) 劉釋允
研究生(英文) Shih-Yun Liu
學號 ra796114
學位類別 碩士
語文別 英文
論文頁數 64頁
口試委員 指導教授-張紹基
口試委員-康信鴻
口試委員-莊雙喜
口試委員-鄭至甫
口試委員-楊斯琴
中文關鍵字 次級房貸危機  股價指數  總體經濟變數  虛擬變數 
英文關鍵字 Subprime Mortgage Crisis  Stock Index  Macroeconomic Variable  Dummy Variable 
學科別分類
中文摘要 2007年肇因於美國次級房貸市場的信貸危機,已經使全球的投資人受到了影響並且中斷了全球經濟市場預期的成長。本研究延伸研究期間從1999年3月到2009年2月,本研究假設次級房貸危機已經對於所選取的國家造成影響。本研究使用多元回歸方程式去研究身處在危機事件震央的美國與遠在太平洋對岸的亞洲國家台灣,在這次的次級房貸危機中對於兩國股票市場的影響以及經濟結構上的變化。
本研究實證結果為:
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。
對於台灣實證模型:在本研究期間,次級房貸危機已經對於台灣股價加權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台幣對美元的匯率產生影響但尚不顯著,而對於台灣的消費者物價指數、工業生產指數跟貨幣供給尚無影響。
英文摘要 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.
論文目次 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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