[[alternative]]The Effect of Macro Policies on the Stock Market - Taiwan Evidence

[[abstract]]本文探討並比較財政政策與貨幣政策之施政有效性，以股票市場為主要目標，導入相關總體經濟變數，分析政府施以不同之政策，對於股票市場的影響結果。運用多項時間序列分析技術，首先共整發現，財政政策與貨幣政策兩政策變數分別皆與股價加權指數及總體經濟變數中的消費者物價指數、工業生產指數及匯率存在著相同趨勢的長期均衡關係。另於因果關係中，明顯得知在影響股市之施政中，貨幣政策的擬定與施行顯著優於財政政策措施。綜合預測變異數分解之分析，吾人得知貨幣政策對股價變異之解釋力，為所選取變數中唯一最能影響股市波動的因素，表示貨幣政策因子為所選取變數中外生性最強之政策變數，至於財政政策解釋股市波動的能力則相當有限，其外生性極弱。政策建議為：央行擴張性或緊縮性貨幣政策之適時施行為股市增降溫之良方。[[abstract]]This paper investigates and compares the effectiveness of fiscal policy and monetary policy. Macroeconomic variables are considered for the analysis of the policies effects on the stock market. Employing the time series techniques, we first find that, from the cointegration test, both the proxy variables for fiscal policy and monetary policy are sharing the long-run equilibrium relationship with stock price and other macro-variables considered, which include consumer price index, industrial production, and exchange rate. The results of Granger causality test significantly show that monetary policy overwhelms fiscal policy in leading the stock market. Moreover, in the variance decomposition, monetary policy is found to have strongest influence power in explaining the volatility of other variables considered. Therefore, we conclude that the monetary variable shows the strongest exogeniety, whereas exogenety of the fiscal variable is weak. The policy suggestions are that central bank should employ monetary policy rather than fiscal policy in influencing the trend of the stock market.[[sponsorship]]真理大學管理學院[[conferencetype]]國內[[conferencedate]]20030516~20030516[[booktype]]電子[[iscallforpapers]]Y[[conferencelocation]]臺北縣, 臺