金融危機或成長下景氣循環之資產定價---股價指數、公債殖利率指數與房價指數之實證

Abstract

自從Hamilton (1989)應用馬可夫轉換模型描述美國景氣循環的動態，掀起馬可夫轉換模型發展與實證的應用，然而近來發生重大事件造成股價暴跌跳躍的金融危機，如網路泡沫與金融風暴，或者在景氣低迷時政府提供刺激景氣方案；如金融風暴時大陸政府的家電下鄉政策或台灣與大陸政府之簽訂MOU 及ECFA 政策，造成股價暴漲的金融成長，顯示出在經濟景氣循環時可能會有跳躍事件的發生。因此本研究目的是主要有三方面：第一方面計量實證，發展景氣循環下是否有不正常訊息，好消息或壞消息，造成股價跳躍，也就是跳躍風險下馬可夫轉換模型是否可以描述各國家景氣循環的跳躍現象，我們以各股價指數、公債殖利率以及房價是否在景氣循環下有跳躍現象。利用估計與檢定的方法，偵測是否有景氣循環下有跳躍現象。第二方面財務實證，使用跳躍風險下景氣循環模型之偏態與峰態係數是否與資料之偏態與峰態係數接近，此模型是否可以描述波動聚集與波動度微笑的現象。第三方面是資產定價方面，在保險方面以無套利理論推導權益指數年金之定價、在利率衍生性商品方面之以無套利理論推導固定期間交換價差選擇權 (Constant maturity swap spread option)之定價，以及在不動產方面以無套利理論推導房屋抵押保險契約(Mortgage insurance contract)之定價。

Since Markov switching model to describe business cycle proposed by Hamilton (1989), the researches of Markov switching model is very popular. However, there are some abnormal events to make stock large decline such as financial crisis and internet bubble, or make stock large rise in the business policy of economic downturn such as MOU or ECFA. The phenomenon shows that there are abnormal events happened in business cycle. Therefore, there are three aspects in this project to proceed as follows. 1. In the empirical performance, we use the data of stock index, Government T-Bond yield, and house price in USA to find whether there are jump events in business cycle. 2. In the financial aspect, we investigate skewness, kurtosis, volatility clustering, and volatility smile features with business cycle with jump risk in the data of stock index, Government T-Bond yield, and house price in USA 3. For the asset pricing, we research the valuation of the equity index annuities, the constant maturity swap spread option, and mortgage insurance contract under the arbitrage theory.