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| Title: | 股市與房價期限結構關係之研究
Term Structure Relation Between Stock Market and House Price |
| Authors: | 簡仕承
Chine, Shih-Cheng |
| Contributors: | 郭維裕
Kuo, Wei-Yu
簡仕承
Chine, Shih-Cheng |
| Keywords: | 單根
共整合
向量自我迴歸
向量誤差修正模型
Unit root
Cointegration
Vector autoregression
Vector error correction model |
| Date: | 2018 |
| Issue Date: | 2018-09-03 15:46:47 (UTC+8) |
| Abstract: | 本研究考察了美國三大宏觀經濟變量、股票指數以及標準普爾500股票市場的股息收益率之間的關係。本文所分析的總體經濟變量是國債、國庫券和 Case-Shiller 房價指數，從1990年4月到2016年12月進行月度觀察。本文采用的方法包含幾種著名的統計方法，如協整檢驗，向量自我迴歸和向量誤差修正模型。 在過去幾次經濟研究中，結果支持了總體經濟變量與股票市場指數之間長期均衡關係的存在。 基於過去的研究基礎上，本研究將住房價格作為解釋變量，試圖加強實證結果。
This study examines the relationship between three US macroeconomic variables, stock index and the dividend yield of S&P 500 Stock Market. The macroeconomic variables analyzed are Treasury Bond, Treasury Bill and Standard & Poor`s Case–Shiller Nominal Home Price Index, with monthly observations from April 1990 through December 2016. The approaches applied in this thesis contained several famous statistical methodologies, such as cointegration test, vector autoregression, and vector error correction model. In several past economic researches, the results support the existence of long-run equilibrium relationships between the macroeconomic variables and the stock market index. On the basis of past researches, the study here add housing price as a explaining variable, trying to strengthen the empirical result. |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
105351040 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0105351040 |
| Data Type: | thesis |
| DOI: | 10.6814/THE.NCCU.IB.034.2018.F06 |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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