考量結構性變化之美國總體經濟與購併行為之互動

On the Dynamic Relationships with Structural Breaks among US's M&A and Macroeconomic Fundamentals

10.6656/MR.2004.23.2.CHI.91

聶建中(Chien-Chung Nieh)

購併 ； 總體經濟變數 ； 時間序列 ； 結構性變化 ； M&A ； Macroeconomic Fundamentals ； Time Series ； structural break

管理評論

23卷2期（2004 / 04 / 01）

91 - 115

繁體中文

本文先經文獻整理，得知國內生產毛額、股價、利率、通貨膨脹以及失業率等五個總體經濟變數對購併行為發生之影響至巨。研究之進行，於考量內生結構性變化(endogenous structural break)下，利用多項時間序列方法，深入探討購併行為與相關總體經濟變數間之長、短期動態互動。由研究結果綜合發現，五個總體變數與購併行為之間，無論考量結構性變化與否，皆支持長期均衡共整關係之存在，另於所選取進行探討之五個總體經濟變數中，股價及物價與購併活動之關係最為相互影響；而購併活動之走勢，亦受物價之短暫衝擊影響，至於購併活動之短暫衝擊，則影響至失業率以及國內生產毛額；另外，在波動變異上，亦發現物價為購併行為波動產生之主要解釋因子，而購併活動則對失業率之波動變異產生顯著之解釋力。綜上所述，發現若當物價反應在購併投資成本上時，無論於短期之衝擊或波動變異之產生，物價之走勢將為購併行為之主要影響因子，吾人若要瞭解購併行為之活動，掌握物價之走勢，似為主要方針，而政府相關單位，若要遏止購併活動之過渡波動變化，穩定物價亦為最主要策略。

We found from the previous literature that the five macroeconomic fundamentals-GDP, stock price, interest, inflation, and the unemployment rate-are potentially correlated with the number of merger and acquisitions (M&A). We thus employ various time series methodologies to investigate the dynamic relationship among US's M&A and these five variables with the consideration of structural breaks. The overall finding first shows that, whatever an existing of the structural break, there exist long-run equilibrium relationship among M&A and macroeconomic variables considered. Moreover, pairs of M&A and stock price and M&A and inflation are significantly interacted. From the impulse response analysis, with the exception of M&A itself, the shock of inflation shows relatively higher impact on M&A. On the other hand, the shock of M&A shows a positive effect on the GDP and a negative effect on the unemployment rate. Among the forecast error variances, the inflation well explains the variance of the M&A; whereas, M&A shows strong power in explaining the variance of the unemployment rate. Since the price level is the key factor affecting the trend of M&A, we should suggest policy makers to focus on the price stability in means of control the movement of M&A.

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