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題名 長短期利差對股市空頭的預測能力–以2008後金融危機時代為例
Using yield curve to predict bear market-take 2008 post-financial crisis period as example作者 沈揚智
Shen, Yang-Chih貢獻者 李志宏
沈揚智
Shen, Yang-Chih關鍵詞 利率期間結構
殖利率曲線平坦
景氣預測
貨幣政策
財政政策
Term Structure of Interest Rates
Yield curve flatten
Forecast of recession
Monetary policy
Fiscal Policy日期 2019 上傳時間 1-Jul-2019 10:45:09 (UTC+8) 摘要 本文旨在透過長短期殖利率利差預測股市空頭，根據財務學的利率期間結構，長期利率隱含對未來經濟成長的預期，而短期利率則受央行貨幣政策影響，因此在過去的實證研究中，長短期利差的收斂可作為預測景氣衰退的領先指標。然而，關於長短期利差對景氣的預測能力並非一貫顯著，可能因國家的不同而有所差異，此外，央行貨幣政策的轉變也可能導致同一國家在不同時間有不同的預測能力。本文將以2008年後金融危機時代為例，在央行量化寬鬆造成市場結構轉變下，探討美國、歐元區（德國）、日本三大成熟市場殖利率利差對其股市空頭的預測能力。本文首先對單一期間利差（10年減3個月及10年減兩年）進行探討，發現德國的殖利率利差在歐元區實施量化寬鬆前對股市空頭具有預測能力，緊接著，考量到單一期間利差無法考量所有殖利率曲線的信息，本文試定義一利差收斂比率（Inversion Ratio）作為股市空頭預測，然而並沒有帶來額外的預測能力。最後，本文將探討除長短利差外，貨幣及財政政策在此期間對於市場扮演何種角色，本文發現當長短利差無法發揮預測能力之時，貨幣政策及財政政策對於股市空頭的機率具有解釋能力。
The main object of this paper is to predict the stock market recession by using the government yield spread. Based on the theory of Term Structure of Interest Rates, the long-term rate will be affected by economic growth, and the short-term rate is sensitive to the central bank’s monetary policy. Therefore, previous studies have shown that tightening yield spread can be indicated as a sign of economic recession.However, the predictive power of the yield spread is not always effective and may vary from country to country. Furthermore, monetary policy also result in different forecasting capabilities of the same country at different periods. This paper will take 2008 post-financial crisis period for example, as the market structure changing caused by Quantitative Easing policy. I will explore the forecasting ability of the three major mature markets in the US, the Eurozone (Germany) and Japan to predict the stock market recession. Our evidences show that Germany yield spread had the capability to forecast their stock market recession, but after the ECB implemented the QE policy, the predictive power was declined. Then, this paper try to define a “Inversion Ratio” which contain the information of the whole yield curve. However, I do not find additional information in the predictive power. Last, I also examine the effect of the fiscal and monetary policy. I find that monetary and fiscal policies have an explanatory power for stock market recession when yield spread fail to predict.參考文獻 Afonso, A., & Sousa, R. M. (2009). Fiscal policy, housing and stock prices.Bernard, H., & Gerlach, S. (1998). Does the term structure predict recessions? The international evidence. International Journal of Finance & Economics, 3(3), 195-215.Candelon, B., Piplack, J., & Straetmans, S. (2008). On measuring synchronization of bulls and bears: The case of East Asia. Journal of banking & finance, 32(6), 1022-1035.Christiansen, C. (2013). Predicting severe simultaneous recessions using yield spreads as leading indicators. Journal of International Money and Finance, 32, 1032-1043.Chatziantoniou, I., Duffy, D., & Filis, G. (2013). Stock market response to monetary and fiscal policy shocks: Multi-country evidence. Economic Modelling, 30, 754-769.Chinn, M., & Kucko, K. (2015). The predictive power of the yield curve across countries and time. International Finance, 18(2), 129-156.Campbell, J. Y., & Shiller, R. J. (1991). Yield spreads and interest rate movements: A bird`s eye view. The Review of Economic Studies, 58(3), 495-514.Chen, S. S. (2009). Predicting the bear stock market: Macroeconomic variables as leading indicators. Journal of Banking & Finance, 33(2), 211-223.Estrella, A., & Hardouvelis, G. A. (1991). The term structure as a predictor of real economic activity. The journal of Finance, 46(2), 555-576.Estrella, A., & Mishkin, F. S. (1996). The yield curve as a predictor of US recessions. Current issues in economics and finance, 2(7).Estrella, A., & Mishkin, F. S. (1997). The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank. European economic review, 41(7), 1375-1401.Estrella, A., & Mishkin, F. S. (1998). Predicting US recessions: Financial variables as leading indicators. Review of Economics and Statistics, 80(1), 45-61.Evgenidis, A., Papadamou, S., & Siriopoulos, C. (2018). The yield spread`s ability to forecast economic activity: What have we learned after 30 years of studies?. Journal of Business Research.Fernandez-Perez, A., Fernández-Rodríguez, F., & Sosvilla-Rivero, S. (2014). The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market. International Review of Economics & Finance, 31, 21-33.Fama, E. F. (1990). Term-structure forecasts of interest rates, inflation and real returns. Journal of Monetary Economics, 25(1), 59-76.Fama, E. F., & Bliss, R. R. (1987). The information in long-maturity forward rates. The American Economic Review, 680-692.Fatás, A., & Mihov, I. (2001). The effects of fiscal policy on consumption and employment: theory and evidence (Vol. 2760). London: Centre for Economic Policy Research.Jansen, D. W., Li, Q., Wang, Z., & Yang, J. (2008). Fiscal policy and asset markets: A semiparametric analysis. Journal of Econometrics, 147(1), 141-150.Jokinen, R. (2018). The Effect of Foreign Term Structure of Interest Rates on Finnish Stock Market.Mehl, A. (2009). The yield curve as a predictor and emerging economies. Open Economies Review, 20(5), 683.Moneta, F. (2005). Does the yield spread predict recessions in the Euro area?. International Finance, 8(2), 263-301.Muscatelli, V. A., & Tirelli, P. (2005). Analyzing the interaction of monetary and fiscal policy: Does fiscal policy play a valuable role in stabilisation?. CESifo Economic Studies, 51(4), 549-585.Resnick, B. G., & Shoesmith, G. L. (2002). Using the yield curve to time the stock market. Financial Analysts Journal, 58(3), 82-90.Stuart, R. (2018). The term structure, leading indicators and recessions: evidence from switzerland, 1974-2017. 描述 碩士
國立政治大學
財務管理學系
106357023資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106357023 資料類型 thesis dc.contributor.advisor 李志宏 zh_TW dc.contributor.author (Authors) 沈揚智 zh_TW dc.contributor.author (Authors) Shen, Yang-Chih en_US dc.creator (作者) 沈揚智 zh_TW dc.creator (作者) Shen, Yang-Chih en_US dc.date (日期) 2019 en_US dc.date.accessioned 1-Jul-2019 10:45:09 (UTC+8) - dc.date.available 1-Jul-2019 10:45:09 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2019 10:45:09 (UTC+8) - dc.identifier (Other Identifiers) G0106357023 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124129 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 106357023 zh_TW dc.description.abstract (摘要) 本文旨在透過長短期殖利率利差預測股市空頭，根據財務學的利率期間結構，長期利率隱含對未來經濟成長的預期，而短期利率則受央行貨幣政策影響，因此在過去的實證研究中，長短期利差的收斂可作為預測景氣衰退的領先指標。然而，關於長短期利差對景氣的預測能力並非一貫顯著，可能因國家的不同而有所差異，此外，央行貨幣政策的轉變也可能導致同一國家在不同時間有不同的預測能力。本文將以2008年後金融危機時代為例，在央行量化寬鬆造成市場結構轉變下，探討美國、歐元區（德國）、日本三大成熟市場殖利率利差對其股市空頭的預測能力。本文首先對單一期間利差（10年減3個月及10年減兩年）進行探討，發現德國的殖利率利差在歐元區實施量化寬鬆前對股市空頭具有預測能力，緊接著，考量到單一期間利差無法考量所有殖利率曲線的信息，本文試定義一利差收斂比率（Inversion Ratio）作為股市空頭預測，然而並沒有帶來額外的預測能力。最後，本文將探討除長短利差外，貨幣及財政政策在此期間對於市場扮演何種角色，本文發現當長短利差無法發揮預測能力之時，貨幣政策及財政政策對於股市空頭的機率具有解釋能力。 zh_TW dc.description.abstract (摘要) The main object of this paper is to predict the stock market recession by using the government yield spread. Based on the theory of Term Structure of Interest Rates, the long-term rate will be affected by economic growth, and the short-term rate is sensitive to the central bank’s monetary policy. Therefore, previous studies have shown that tightening yield spread can be indicated as a sign of economic recession.However, the predictive power of the yield spread is not always effective and may vary from country to country. Furthermore, monetary policy also result in different forecasting capabilities of the same country at different periods. This paper will take 2008 post-financial crisis period for example, as the market structure changing caused by Quantitative Easing policy. I will explore the forecasting ability of the three major mature markets in the US, the Eurozone (Germany) and Japan to predict the stock market recession. Our evidences show that Germany yield spread had the capability to forecast their stock market recession, but after the ECB implemented the QE policy, the predictive power was declined. Then, this paper try to define a “Inversion Ratio” which contain the information of the whole yield curve. However, I do not find additional information in the predictive power. Last, I also examine the effect of the fiscal and monetary policy. I find that monetary and fiscal policies have an explanatory power for stock market recession when yield spread fail to predict. en_US dc.description.tableofcontents 第一章 研究動機與目的 1第二章 文獻回顧 3第一節 利率期間結構 3第二節 長短殖利率利差對市場及經濟指標預測 4第三節 其他變數—貨幣與財政政策對實體經濟的影響 7第三章 研究方法 9第一節 股市空頭之定義 9第二節 長短期公債利差之定義 13第三節 貨幣政策及財政政策變數 16第四節 研究對象、期間及資料來源 18第四章 實證結果與分析 20第一節 長短期利差對股市空頭預測實證之研究結果 20第二節 利差反轉比率對股市空頭預測之實證結果 25第三節 利差、貨幣及財政政策對股市空頭預測之效果分析 28第五章 結論 37第一節 實證結果 37第二節 後續研究方向與建議 39第七章 參考文獻 40附錄 42 zh_TW dc.format.extent 1024464 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106357023 en_US dc.subject (關鍵詞) 利率期間結構 zh_TW dc.subject (關鍵詞) 殖利率曲線平坦 zh_TW dc.subject (關鍵詞) 景氣預測 zh_TW dc.subject (關鍵詞) 貨幣政策 zh_TW dc.subject (關鍵詞) 財政政策 zh_TW dc.subject (關鍵詞) Term Structure of Interest Rates en_US dc.subject (關鍵詞) Yield curve flatten en_US dc.subject (關鍵詞) Forecast of recession en_US dc.subject (關鍵詞) Monetary policy en_US dc.subject (關鍵詞) Fiscal Policy en_US dc.title (題名) 長短期利差對股市空頭的預測能力–以2008後金融危機時代為例 zh_TW dc.title (題名) Using yield curve to predict bear market-take 2008 post-financial crisis period as example en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Afonso, A., & Sousa, R. M. (2009). Fiscal policy, housing and stock prices.Bernard, H., & Gerlach, S. (1998). Does the term structure predict recessions? The international evidence. International Journal of Finance & Economics, 3(3), 195-215.Candelon, B., Piplack, J., & Straetmans, S. (2008). On measuring synchronization of bulls and bears: The case of East Asia. Journal of banking & finance, 32(6), 1022-1035.Christiansen, C. (2013). Predicting severe simultaneous recessions using yield spreads as leading indicators. Journal of International Money and Finance, 32, 1032-1043.Chatziantoniou, I., Duffy, D., & Filis, G. (2013). Stock market response to monetary and fiscal policy shocks: Multi-country evidence. Economic Modelling, 30, 754-769.Chinn, M., & Kucko, K. (2015). The predictive power of the yield curve across countries and time. International Finance, 18(2), 129-156.Campbell, J. Y., & Shiller, R. J. (1991). Yield spreads and interest rate movements: A bird`s eye view. The Review of Economic Studies, 58(3), 495-514.Chen, S. S. (2009). Predicting the bear stock market: Macroeconomic variables as leading indicators. Journal of Banking & Finance, 33(2), 211-223.Estrella, A., & Hardouvelis, G. A. (1991). The term structure as a predictor of real economic activity. The journal of Finance, 46(2), 555-576.Estrella, A., & Mishkin, F. S. (1996). The yield curve as a predictor of US recessions. Current issues in economics and finance, 2(7).Estrella, A., & Mishkin, F. S. (1997). The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank. European economic review, 41(7), 1375-1401.Estrella, A., & Mishkin, F. S. (1998). Predicting US recessions: Financial variables as leading indicators. Review of Economics and Statistics, 80(1), 45-61.Evgenidis, A., Papadamou, S., & Siriopoulos, C. (2018). The yield spread`s ability to forecast economic activity: What have we learned after 30 years of studies?. Journal of Business Research.Fernandez-Perez, A., Fernández-Rodríguez, F., & Sosvilla-Rivero, S. (2014). The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market. International Review of Economics & Finance, 31, 21-33.Fama, E. F. (1990). Term-structure forecasts of interest rates, inflation and real returns. Journal of Monetary Economics, 25(1), 59-76.Fama, E. F., & Bliss, R. R. (1987). The information in long-maturity forward rates. The American Economic Review, 680-692.Fatás, A., & Mihov, I. (2001). The effects of fiscal policy on consumption and employment: theory and evidence (Vol. 2760). London: Centre for Economic Policy Research.Jansen, D. W., Li, Q., Wang, Z., & Yang, J. (2008). Fiscal policy and asset markets: A semiparametric analysis. Journal of Econometrics, 147(1), 141-150.Jokinen, R. (2018). The Effect of Foreign Term Structure of Interest Rates on Finnish Stock Market.Mehl, A. (2009). The yield curve as a predictor and emerging economies. Open Economies Review, 20(5), 683.Moneta, F. (2005). Does the yield spread predict recessions in the Euro area?. International Finance, 8(2), 263-301.Muscatelli, V. A., & Tirelli, P. (2005). Analyzing the interaction of monetary and fiscal policy: Does fiscal policy play a valuable role in stabilisation?. CESifo Economic Studies, 51(4), 549-585.Resnick, B. G., & Shoesmith, G. L. (2002). Using the yield curve to time the stock market. Financial Analysts Journal, 58(3), 82-90.Stuart, R. (2018). The term structure, leading indicators and recessions: evidence from switzerland, 1974-2017. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900134 en_US
