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金融風暴前後對先進國家之股匯市連動關係變化影響 聶建中1 李文傳2 洪榆雲3 1淡江大學財務金融系所系主任兼所長E-mail: niehcc@mail.tku.edu.tw Tel: 886-2ext.2090. Fax: 886-2 2逢甲大學經濟系所副教授 3美國賓州Drexel University企管碩士 摘要 本文選取美、德、法、日及英等五個先進國家，針對各國股價指數與匯率序列，分金融風暴前、中、後三期分別進行動態關係實證研究。所得結果：由共整關係發現，先進國家之股市間及匯市間之互動，受風暴之影響極巨，風暴期間無論股市及匯市，受風暴之影響，皆無共整之均衡關係存在；然於風暴後，當風暴衝擊之影響漸遠，各國間之股價及匯率均開始走向長期共移的趨勢。短期互動中，由VECM 及VAR模型檢定中發現，於金融風暴發生後，各國無論股價或匯率，其間的短期互動關係皆有下降的趨勢，此證明了這次亞洲金融風暴之影響所及不僅是區域性的，而是全球性的金融危機；另於Granger因果關係檢定發現，美國股市雖歷經金融風暴的衝擊，但對其他國家的股市仍具有領先的地位；反之，德國股市及匯率在經金融危機的打擊後，其影響力均逐漸下降。先進國家中唯一位於亞洲的日本，在各項檢定中發現，對美國股市的影響於金融風暴後皆有明顯上升的跡象。 關鍵詞: 金融風暴、股價、匯率 The Impact of the Asian Financial Crisis on the Dynamic Relationships among G-5 Countries for both Stock Market and Foreign Exchange Market 1Chien-Chung Nieh 2 Wen -Chuan Lee 3Yu-Yun Hung 1 Department of Banking and Finance, Tamkang University, Taiwan 2 Department of Economics,Feng Chia University, Taiwan 3 Drexel University, USA Abstract This paper empirically tests the impact of the Asian financial crisis (AFC) on the dynamic relationships among five industrialized countries (G-5) for both stock market and foreign exchange (FX) market. The results from the comparison among the three sub-periods are as follows: The cointegration test shows that the G-5 was seriously affected by the crisis. The existing of the long-run equilibrium relationship vanished for both markets during the crisis and it reappeared for the post crisis period. The short-run dynamic relationship also declined, from VECM and VAR, during the crisis. The Granger causality shows that, throughout the crisis, the American stock market maintained its leading position, however, the influential power of both the German stock and FX markets was decaying. Tests also showed that Japan, the only Asian country of the G-5, increased its influential power on the American stock market during the crisis. Key words: Asian financial crisis, stock price, foreign exchange rate 一、緒論 自1980年代起，許多新興國家為因應全球經濟環境的急速變遷及加速經濟發