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題名 股市與房價期限結構關係之研究
Term Structure Relation Between Stock Market and House Price作者 簡仕承
Chine, Shih-Cheng貢獻者 郭維裕
Kuo, Wei-Yu
簡仕承
Chine, Shih-Cheng關鍵詞 單根
共整合
向量自我迴歸
向量誤差修正模型
Unit root
Cointegration
Vector autoregression
Vector error correction model日期 2018 上傳時間 3-Sep-2018 15:46:47 (UTC+8) 摘要 本研究考察了美國三大宏觀經濟變量、股票指數以及標準普爾500股票市場的股息收益率之間的關係。本文所分析的總體經濟變量是國債、國庫券和 Case-Shiller 房價指數，從1990年4月到2016年12月進行月度觀察。本文采用的方法包含幾種著名的統計方法，如協整檢驗，向量自我迴歸和向量誤差修正模型。 在過去幾次經濟研究中，結果支持了總體經濟變量與股票市場指數之間長期均衡關係的存在。 基於過去的研究基礎上，本研究將住房價格作為解釋變量，試圖加強實證結果。
This study examines the relationship between three US macroeconomic variables, stock index and the dividend yield of S&P 500 Stock Market. The macroeconomic variables analyzed are Treasury Bond, Treasury Bill and Standard & Poor`s Case–Shiller Nominal Home Price Index, with monthly observations from April 1990 through December 2016. The approaches applied in this thesis contained several famous statistical methodologies, such as cointegration test, vector autoregression, and vector error correction model. In several past economic researches, the results support the existence of long-run equilibrium relationships between the macroeconomic variables and the stock market index. On the basis of past researches, the study here add housing price as a explaining variable, trying to strengthen the empirical result.參考文獻 Baum, A. and Moss, A. (2013), Are listed real estate stocks managed as part of the real estate allocation? EPRA.Brown S. and Dybvig, P. (1986), The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates, The Journal of Finance, No 3, 617-630.Campbell, J. and Shiller, R., Yield (1991), Spreads and Interest Rate Movements: A Bird`s Eye View, Review of Economic Studies, vol. 58, issue 3, 495-514.Campbell, J. and Viceira, L., The Term Structure of the Risk-Return Tradeoff, Financial Analysts Journal 61, 34-44.Chong, J., Miffre, J. and Stevenson, S. (2009). Conditional correlations and real estate investment trusts, Journal of Real Estate Portfolio Management, 15, 173–184.Culbertson, J. (1957), The Term Structure of Interest Rates, Quarterly Journal of Economics, 71, 485-517.Engle, R. and Granger, C. (1987), Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica, vol. 55, issue 2, 251-76.Fama, E.F. (1984), The Information in the Term Structure, Journal of Financial Economics, vol. 13, issue 4, 509-528.Granger, C. (1986), Developments in the Study of Cointegrated Economic Variables, Oxford Bulletin of Economics and Statistics, vol. 48, issue 3, 213-28.Hardouvelis, G. (1994), The term structure spread and future changes in long and short rates in the G7 countries: Is there a puzzle? Journal of Monetary Economics, vol. 33, issue 2, 255-283.Hudson-Wilson, S., Fabozzi F.J., and Gordon, J.(2003), Why Real Estate? The Journal of Portfolio Management, Special Real Estate Issue.Johansen, S. (1988), Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, vol. 12, issue 2-3, 231-254.Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration— With Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, vol. 52, issue 2, 169-210.Koch, P. and Rasche, R. (1988), An Examination of the Commerce Department Leading-Indicator Approach, Journal of Business & Economic Statistics, vol. 6, issue 2, 167-87.McCarthy, J. and Peach, R. (2004), Are home prices the next bubble? FRBNY Economic Policy Review, December, 1-17.Mishkin, F. (1988), The Information in the Term Structure: Some Further Results, NBER, Working Paper, No. 2575.Nelson, C.R., Plosser, C.I. (1982), Trends and random walks in macroeconomic time series, Journal of Monetary Economics, 10, 139-162.Perron, P. (1988), Trends and random walks in macroeconomic time series: Further evidence from a new approach, Journal of Economic Dynamics and Control, vol. 12, issue 2-3, 297-332.Poon, S. and Taylor, S.J. (1991), Macroeconomic Factors and the UK Stock Market, Journal of Business and Accounting, Vol. 18, No. 5, pp. 619-636. 描述 碩士
國立政治大學
國際經營與貿易學系
105351040資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105351040 資料類型 thesis dc.contributor.advisor 郭維裕 zh_TW dc.contributor.advisor Kuo, Wei-Yu en_US dc.contributor.author (Authors) 簡仕承 zh_TW dc.contributor.author (Authors) Chine, Shih-Cheng en_US dc.creator (作者) 簡仕承 zh_TW dc.creator (作者) Chine, Shih-Cheng en_US dc.date (日期) 2018 en_US dc.date.accessioned 3-Sep-2018 15:46:47 (UTC+8) - dc.date.available 3-Sep-2018 15:46:47 (UTC+8) - dc.date.issued (上傳時間) 3-Sep-2018 15:46:47 (UTC+8) - dc.identifier (Other Identifiers) G0105351040 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/119872 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 105351040 zh_TW dc.description.abstract (摘要) 本研究考察了美國三大宏觀經濟變量、股票指數以及標準普爾500股票市場的股息收益率之間的關係。本文所分析的總體經濟變量是國債、國庫券和 Case-Shiller 房價指數，從1990年4月到2016年12月進行月度觀察。本文采用的方法包含幾種著名的統計方法，如協整檢驗，向量自我迴歸和向量誤差修正模型。 在過去幾次經濟研究中，結果支持了總體經濟變量與股票市場指數之間長期均衡關係的存在。 基於過去的研究基礎上，本研究將住房價格作為解釋變量，試圖加強實證結果。 zh_TW dc.description.abstract (摘要) This study examines the relationship between three US macroeconomic variables, stock index and the dividend yield of S&P 500 Stock Market. The macroeconomic variables analyzed are Treasury Bond, Treasury Bill and Standard & Poor`s Case–Shiller Nominal Home Price Index, with monthly observations from April 1990 through December 2016. The approaches applied in this thesis contained several famous statistical methodologies, such as cointegration test, vector autoregression, and vector error correction model. In several past economic researches, the results support the existence of long-run equilibrium relationships between the macroeconomic variables and the stock market index. On the basis of past researches, the study here add housing price as a explaining variable, trying to strengthen the empirical result. en_US dc.description.tableofcontents 1 Introduction1 2 Literature Review 33 Methodology 53.1 Unit Root Test 53.2 Cointegration Test 73.3 Vector Autoregression Model 103.4 Vector Error Correction Model 114 Data 124.1 Data Selection 124.2 Rates of Treasury Bond & Treasury Bill 134.3 Standard & Poor`s Case–Shiller Nominal Home Price Index 134.4 S&P 500 Index and S&P 500 Dividend Yield 144.5 Descriptive Statistics 155 Empirical Results 285.1 Unit Root Test 285.2 Cointegration Test 315.3 Vector Autoregression and Vector Error Correction in Periods 386. Conclusions 46Reference 48Appendices 50 zh_TW dc.format.extent 637810 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105351040 en_US dc.subject (關鍵詞) 單根 zh_TW dc.subject (關鍵詞) 共整合 zh_TW dc.subject (關鍵詞) 向量自我迴歸 zh_TW dc.subject (關鍵詞) 向量誤差修正模型 zh_TW dc.subject (關鍵詞) Unit root en_US dc.subject (關鍵詞) Cointegration en_US dc.subject (關鍵詞) Vector autoregression en_US dc.subject (關鍵詞) Vector error correction model en_US dc.title (題名) 股市與房價期限結構關係之研究 zh_TW dc.title (題名) Term Structure Relation Between Stock Market and House Price en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Baum, A. and Moss, A. (2013), Are listed real estate stocks managed as part of the real estate allocation? EPRA.Brown S. and Dybvig, P. (1986), The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates, The Journal of Finance, No 3, 617-630.Campbell, J. and Shiller, R., Yield (1991), Spreads and Interest Rate Movements: A Bird`s Eye View, Review of Economic Studies, vol. 58, issue 3, 495-514.Campbell, J. and Viceira, L., The Term Structure of the Risk-Return Tradeoff, Financial Analysts Journal 61, 34-44.Chong, J., Miffre, J. and Stevenson, S. (2009). Conditional correlations and real estate investment trusts, Journal of Real Estate Portfolio Management, 15, 173–184.Culbertson, J. (1957), The Term Structure of Interest Rates, Quarterly Journal of Economics, 71, 485-517.Engle, R. and Granger, C. (1987), Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica, vol. 55, issue 2, 251-76.Fama, E.F. (1984), The Information in the Term Structure, Journal of Financial Economics, vol. 13, issue 4, 509-528.Granger, C. (1986), Developments in the Study of Cointegrated Economic Variables, Oxford Bulletin of Economics and Statistics, vol. 48, issue 3, 213-28.Hardouvelis, G. (1994), The term structure spread and future changes in long and short rates in the G7 countries: Is there a puzzle? Journal of Monetary Economics, vol. 33, issue 2, 255-283.Hudson-Wilson, S., Fabozzi F.J., and Gordon, J.(2003), Why Real Estate? The Journal of Portfolio Management, Special Real Estate Issue.Johansen, S. (1988), Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, vol. 12, issue 2-3, 231-254.Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration— With Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, vol. 52, issue 2, 169-210.Koch, P. and Rasche, R. (1988), An Examination of the Commerce Department Leading-Indicator Approach, Journal of Business & Economic Statistics, vol. 6, issue 2, 167-87.McCarthy, J. and Peach, R. (2004), Are home prices the next bubble? FRBNY Economic Policy Review, December, 1-17.Mishkin, F. (1988), The Information in the Term Structure: Some Further Results, NBER, Working Paper, No. 2575.Nelson, C.R., Plosser, C.I. (1982), Trends and random walks in macroeconomic time series, Journal of Monetary Economics, 10, 139-162.Perron, P. (1988), Trends and random walks in macroeconomic time series: Further evidence from a new approach, Journal of Economic Dynamics and Control, vol. 12, issue 2-3, 297-332.Poon, S. and Taylor, S.J. (1991), Macroeconomic Factors and the UK Stock Market, Journal of Business and Accounting, Vol. 18, No. 5, pp. 619-636. zh_TW dc.identifier.doi (DOI) 10.6814/THE.NCCU.IB.034.2018.F06 -
