本研究旨在探討總體經濟變數與美國股市（S&P 500）之長短期互動關係，並特別關注製造業庫存週期於不同景氣階段下對市場結構與資產價格反應之影響。有別於傳統文獻多聚焦單一總體指標之即時效應，本文採取多變數整合視角，運用向量誤差修正模型（VECM）建構同時涵蓋長期均衡與短期調整機制之實證架構，揭示總體變數如何形塑市場運作邏輯，並提供長期資產配置之結構依據。
研究採用 2000 年至 2024 年之月資料，內生變數包括非農就業人口（NFP）、個人消費支出（PCE）、製造業生產指數（MNFCTRIRSA）與 S&P 500 指數；外生變數則為零售銷售（Retail Sales）、初請失業救濟金人數（Initial Jobless Claims）與全球製造業 PMI，並以平穩序列原則透過 VECM 架構之外生項建模。Johansen 共整合檢定顯示模型變數間存在穩定長期關係，誤差修正項具統計顯著性，並輔以 IRF 與 FEVD 進行動態傳導結構分析。
實證結果指出，S&P 500 長期均衡結構受 PCE、NFP 與 MNFCTRIRSA 所共同制約，短期層面則呈現具節奏性之反應特徵：PCE 衝擊具即時顯著影響，MNFCTRIRSA 展現中期持續推動效果，NFP 則發揮延後調整之支持角色。外生變數雖未參與共整合關係，然透過短期傳導結構發揮穩定殘差與邊際調整之效果，增進模型整體穩健性。
進一步結合製造業補庫存與去化週期特徵，本文提出「補庫存—高峰—去庫存—低谷」四階段分類架構，成功對應市場行為轉折，補足總體變數於週期辨識與資產配置之應用邏輯。整體結果支持「市場短期波動難以預測，惟長期具結構規律可循」之命題，並建立一套具理論嚴謹性與應用潛力的總體—金融互動分析框架，為後續建構景氣監測系統與制度化資產配置模型提供理論依據。

This study examines the long- and short-term interactions between macroeconomic variables and the U.S. stock market (S&P 500), with a particular focus on the manufacturing inventory cycle across business cycle phases. Using monthly data from 2000 to 2024, a Vector Error Correction Model (VECM) is constructed to capture both long-run equilibrium and short-run dynamics among key variables, including Nonfarm Payrolls (NFP), Personal Consumption Expenditures (PCE), Manufacturing Production, and the S&P 500. Retail Sales, Initial Jobless Claims, and the Global Manufacturing PMI are incorporated as weakly exogenous factors. Johansen cointegration results confirm a stable long-term relationship, while impulse response and variance decomposition analyses reveal distinct transmission patterns. PCE shows immediate market impact, manufacturing output contributes to medium-term movements, and NFP provides lagged adjustment support. The study proposes a four-phase inventory-based business cycle framework to interpret structural shifts in market behavior. Findings support the hypothesis that while short-term price movements are volatile, long-term macro-financial relationships exhibit measurable regularities that can inform investment decision-making.

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