隨著金融危機的發生，將會伴隨嚴重的經濟衰退問題，故探討金融變數與實質經濟活動之間的關係有其必要性。本研究中，以股票市場及債券市場之金融變數探討與實質經濟活動的關聯性。衝擊反應函數結果顯示，G7工業國家之股市指數、股市波動對實質GDP呈現正向衝擊影響，而G7工業國家之殖利率曲線對實質GDP呈現負向衝擊影響，且美國、日本及加拿大之股市指數、股市波動對實質GDP較具有衝擊影響。而預測誤差變異數分解結果顯示，G7工業國家中，以美國、日本及英國之股市指數、股市波動對實質GDP較具有解釋能力，但解釋能力最高只達 1 成左右。

The occurrence of financial crisis will inevitably lead to serious economic recession. Thus, it is imperative to study the relationship between financial variables and real economic activities. This research examines the relationship between the financial variables of both the stock market and the bond market and real economic activities. The impulse response function result shows that the stock market index and stock market volatility have positive impact on the real GDP of the G7 Industrial Countries whereas the yield curve has negative impact on the real GDP of the G7 Industrial Countries. The stock market index and stock market volatility in Japan, the United States and Canada have greater impact on their real GDP. According to the forecast error variance decomposition, the stock market index and stock market volatility have better explanatory power about the real GDP in the cases of the United States, Japan and the United Kingdom. However, the explanatory power is around only 10%.

論文審定書...................................................................................................i
誌謝.............................................................................................................ii
中文摘要.....................................................................................................iii
英文摘要.....................................................................................................iv
第一章 緒論................................................................................................1
1.1 研究動機與目的...............................................................................1
1.2 研究架構..........................................................................................3
第二章 文獻回顧.........................................................................................4
2.1 股票市場與經濟活動之相關文獻......................................................4
2.2 債券市場與經濟活動之相關文獻......................................................8
第三章 研究方法.......................................................................................12
3.1 單根檢定........................................................................................12
3.2 向量自我迴歸模型..........................................................................14
3.3 共整合檢定及向量誤差修正模型....................................................15
3.4 衝擊反應函數.................................................................................17
3.5 預測誤差變異數分解......................................................................18
第四章 實證結果分析...............................................................................20
4.1 資料來源及處理.............................................................................20
4.2 實證模型........................................................................................21
4.3 敘述統計量.....................................................................................21
4.4 單根檢定結果.................................................................................24
4.5 Johansen共整合檢定結果..............................................................27
4.6 衝擊反應函數及預測誤差變異數分解結果......................................31
4.6.1 「模型一」－衝擊反應函數、預測誤差變異數分解.................32
4.6.2 「模型二」－衝擊反應函數、預測誤差變異數分解.................64
4.7 綜合研究分析.................................................................................99
第五章 結論與建議.................................................................................104
參考文獻.................................................................................................106

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