股市表現與消費支出

10.6985/TBFQ.200312.0087

方文碩；吳政勳

股票市場 ； 消費支出 ； 共整合分析 ； 誤差修正模型 ； 因果關係 ； 一般化衝擊反應 ； 變異數分解

台灣金融財務季刊

4卷4期（2003 / 12 / 01）

87 - 108

繁體中文

本文實證探討台灣股票市場表現與消費者支出間的長、短期關係。證據顯示，消費支出與股票市場價格指數、市場波動及實質所得存在共整合長期均衡關係，股價指數上漲增加消費支出、市場波動擴大則是減緩消費支出。對應消費支出共整合關係的向量誤差修正模型建議消費支出與實質所得單向影響股價指數，樣本期間不存在股價指數為消費或所得領先指標的證據，變異數分解亦支持上述因果關係檢定結論。一般化衝擊反應分析發現消費與所得，面對本身或股票市場衝擊，出現長期累積效果，股價指數與市場波動則沒有累積效果。 長期，股價指數與消费支出呈正相關，但在短期，消費者反應股價變動的支出行為却為遲緩、股價指數不為消費領先指標。存在文獻對股票市場價格變動影響消費的短期過程，是透過財富效果、未來所得預期效果、消費者信心、或生命週期规劃等，仍不確定，是個值得深入研究的方向。股票市場衝擊不僅立即造成本身市場的波動，而且影響長期消費、所得水準，此一發現隱含重要的政策建議：有關當局一方面要避免股票市場衝擊造成的本身市場不穩定，更需要補償股市衝擊產生的消費及所得缺口，避免經濟環境的惡化。

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