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題名 總體經濟指標與美國十年公債殖利率之關聯性研究
The Relationship Between The Macroeconomic Indicators and The Ten-Year US Treasury Bond Yield作者 胡芳瑜
Hu, Fang-Yu貢獻者 陳聖賢
胡芳瑜
Hu, Fang-Yu關鍵詞 總體經濟指標
美國十年公債殖利率
向量自我回歸模型
Granger因果關係檢定
衝擊反應函數
macroeconomic determinants
ten-year US government bond yields
vector autoregressions model
granger causality test
impulse response function日期 2020 上傳時間 3-Aug-2020 17:33:09 (UTC+8) 摘要 本研究使用彭博資料庫之債券與總體經濟資料庫，以美國十年公債為研究對象，而總體經濟變動與債券價格殖利率走勢息息相關，故本研究主要分析美國的總體經濟指標對公債殖利率是否具有影響力？何種總體經濟指標影響程度較高？本研究主要研究目的如下：(1) 觀察哪種類型的總體經濟指標領先美國十年公債殖利率？(2) 觀察哪種類型的總體經濟指標落後於美國十年公債殖利率？(3) 分析總體經濟指標對美國十年公債殖利率的影響能力與方向？本研究實證結果如下：(1) 政府負債比率(Debt-to-GDP)對美國十年公債殖利率有Granger影響，領先於美國十年公債殖利率；(2) 通貨膨脹率、VIX指數、工業生產指數、生產者物價指數、上週初領失業救濟金人數與美國十年公債殖利率為雙向回饋關係，互為因果關係；(3) 三個月商業本票利率、美元指數、失業率與美國十年公債殖利率無Granger因果關係；(4) 三個月商業本票利率、通貨膨脹率、生產者價格指數、失業率對美國十年公債殖利率具有顯著的正向影響；(5) VIX指數、政府負債比率(Debt-to-GDP)、工業生產指數、上週初次請領失業救濟金人數對美國十年公債殖利率具有顯著的負向影響。
All the data used in this study is from Bloomberg. The overall economic factors are closely related to the bond yield, so this paper studies the relationship between nine macroeconomic determinants and the US ten-year government bond yields. This study mainly analyzes whether the macroeconomic indicators of the United States have an influence on the bond yield? What kind of macroeconomic indicators have the stronger influence? Therefore, the main research objectives of this study are as follows: (1) To observe which macroeconomic indicator leads the ten-year US Treasury bond yield. (2) To observe which macroeconomic indicator lags the ten-year US Treasury bond yield. (3) Analyze the correlation between macroeconomic indicators and ten-year US government bond yield. The empirical results of this study are as follows: (1) The government debt ratio (Debt-to-GDP) has a Granger effect on the ten-year US Treasury bond yield, leading the ten-year US government bond yield；(2) The inflation rate, VIX index, industrial production index, producer price index, unemployment insurance weekly claims are feedback relationships with the ten-year US government bond yield；(3) The three-month commercial paper interest rate, US dollar index and unemployment rate have no Granger effect on the ten-year US government bond yield；(4) The three-month commercial paper interest rate, inflation rate, producer price index and unemployment rate have significant and positive relationship with ten-year US government bond yield；(5) The VIX index, government debt ratio (Debt-to-GDP), industrial production index and unemployment insurance weekly claims have significant and negative relationship with ten-year US government bond yield.參考文獻 Afonso, António, Michael G. Arghyrou, and Alexandros Kontonikas 2015, The determinants of sovereign bond yield spreads in the EMU, ECB Working Paper No. 1781Ahmad, Norliza, Joriah Muhammad and Tajul Ariffin Masron, 2009, Factor Influencing yield spreads of the Malaysians Bonds, Asian Academy of Management Journal Vol 14 (2), 95–114Akaike, H., 1974, A new look at the statistical model identification, Automatic Control IEEE Transations on Vol 19 (6), 716–723Akram, Tanweer and Anupam Das, 2014, Understanding the low yields of the long-term Japanese sovereign, Journal of Economic Issues Vol 48 (2), 331–340Ang, Andrew and Monika Piazzesi, 2003, A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables, Journal of Monetary Economics Vol 50 (4), 745–787Baek, In-Mee, Arindam Bandopadhyaya, and Chan Du 2005, Determinants of market-assessed sovereign risk: Economic fundamentals or market risk appetite ?, Journal of International Money and Finance Vol 24, 533–548Bollerslev, Tim, Jun Cai, and Frank M. Song, 2000, Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market, Journal of Empirical Financial Vol 7, 37–55.Chee, Soh Wei and Cheng Fan Fah, 2013, Macro-economic Determinants of UK Treasury Bonds Spread, International Journal of Arts and Commerce Vol 2 (1), 163-172Diebold, Francis X., Glenn D. Rudebusch, and S. Boragan Aruoba, 2004, The macroeconomy and yield curve: A dynamic latent factor approach, Journal of Econometrics Vol 131 (7), 309-338Engle, Robert F. and C. W. J. Granger, 1987, Co-integration and error correction: representation, estimation, and testing, Econometric: Journal of the Econometric Society 251–276Evans, Charles L. and David Marshall, 2001, Economic determinants of the nominal Treasury Yield Curve, Journal of Monetary Economics Vol 54 (7), 1986-2003Gagnon, Joseph E., 2005, Currency crashes and bond yields in Industrial Countries, Board of Governors of the Federal Reserve System, International Finance Discussion Paper No.837Goldberg, Linda and Deborah Leonard, 2003, What moves sovereign bond markets? The effects of economic news on U.S. and German yields, Current Issues in Economics and Finance,Federal Reserve Bank of New York Vol 9 (9), 1–7Goldberg, Linda S. and Deborah Leonard, 2005, What moves sovereign bond market ? The effects of economic news on U.S. and German yields, Current Issues in Economics and Finance Vol.9, No.9Hilscher, Jens and Yves Nosbusch, 2010, Determinants of sovereign risk- macroeconomic fundamentals and the pricing of sovereign debt, Review of Finance Vol 14 (2), 235–262Johansen, S., 1988, Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control Vol 12 (2–3), 231–254Luo, Frank and Srikant Dash, 2011, VIX futures and the hedging of bond portfolios, S&P Indices Index Research and DesignPoghosyan, Tigran, 2012, Long-run and short-run determinants of sovereign bond yields in advanced economies, International Monetary Fund (IMF)Said, Said E. and David A. Dickey, 1984, Testing for unit roots in autoregressive-moving average models of unknown order, Biometrika, Vol 71 (3), 599–607Said, Said E. and David A. Dickey, 1984, Testing for unit roots in autoregressive-moving average models of unknown order, Biometrika Vol 71 (3) 599–607Schwarz, Gideon, 1978, Estimating the dimension of a model, The annuals of statistics Vol 6 (2), 461–464Sims, Christopher A., 1980, Macroeconomics and reality, Econometrica Vol 48 (1) 1–48 描述 碩士
國立政治大學
財務管理學系
107357002資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107357002 資料類型 thesis dc.contributor.advisor 陳聖賢 zh_TW dc.contributor.author (Authors) 胡芳瑜 zh_TW dc.contributor.author (Authors) Hu, Fang-Yu en_US dc.creator (作者) 胡芳瑜 zh_TW dc.creator (作者) Hu, Fang-Yu en_US dc.date (日期) 2020 en_US dc.date.accessioned 3-Aug-2020 17:33:09 (UTC+8) - dc.date.available 3-Aug-2020 17:33:09 (UTC+8) - dc.date.issued (上傳時間) 3-Aug-2020 17:33:09 (UTC+8) - dc.identifier (Other Identifiers) G0107357002 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130965 - 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) 107357002 zh_TW dc.description.abstract (摘要) 本研究使用彭博資料庫之債券與總體經濟資料庫，以美國十年公債為研究對象，而總體經濟變動與債券價格殖利率走勢息息相關，故本研究主要分析美國的總體經濟指標對公債殖利率是否具有影響力？何種總體經濟指標影響程度較高？本研究主要研究目的如下：(1) 觀察哪種類型的總體經濟指標領先美國十年公債殖利率？(2) 觀察哪種類型的總體經濟指標落後於美國十年公債殖利率？(3) 分析總體經濟指標對美國十年公債殖利率的影響能力與方向？本研究實證結果如下：(1) 政府負債比率(Debt-to-GDP)對美國十年公債殖利率有Granger影響，領先於美國十年公債殖利率；(2) 通貨膨脹率、VIX指數、工業生產指數、生產者物價指數、上週初領失業救濟金人數與美國十年公債殖利率為雙向回饋關係，互為因果關係；(3) 三個月商業本票利率、美元指數、失業率與美國十年公債殖利率無Granger因果關係；(4) 三個月商業本票利率、通貨膨脹率、生產者價格指數、失業率對美國十年公債殖利率具有顯著的正向影響；(5) VIX指數、政府負債比率(Debt-to-GDP)、工業生產指數、上週初次請領失業救濟金人數對美國十年公債殖利率具有顯著的負向影響。 zh_TW dc.description.abstract (摘要) All the data used in this study is from Bloomberg. The overall economic factors are closely related to the bond yield, so this paper studies the relationship between nine macroeconomic determinants and the US ten-year government bond yields. This study mainly analyzes whether the macroeconomic indicators of the United States have an influence on the bond yield? What kind of macroeconomic indicators have the stronger influence? Therefore, the main research objectives of this study are as follows: (1) To observe which macroeconomic indicator leads the ten-year US Treasury bond yield. (2) To observe which macroeconomic indicator lags the ten-year US Treasury bond yield. (3) Analyze the correlation between macroeconomic indicators and ten-year US government bond yield. The empirical results of this study are as follows: (1) The government debt ratio (Debt-to-GDP) has a Granger effect on the ten-year US Treasury bond yield, leading the ten-year US government bond yield；(2) The inflation rate, VIX index, industrial production index, producer price index, unemployment insurance weekly claims are feedback relationships with the ten-year US government bond yield；(3) The three-month commercial paper interest rate, US dollar index and unemployment rate have no Granger effect on the ten-year US government bond yield；(4) The three-month commercial paper interest rate, inflation rate, producer price index and unemployment rate have significant and positive relationship with ten-year US government bond yield；(5) The VIX index, government debt ratio (Debt-to-GDP), industrial production index and unemployment insurance weekly claims have significant and negative relationship with ten-year US government bond yield. en_US dc.description.tableofcontents 第一章、緒論 1第一節、研究動機與目的 1第二節、研究流程 2第三節、研究架構 3第二章、文獻回顧 4第三章、資料來源與假說設定 6第一節、資料來源與研究期間 6第二節、變數介紹 6第三節、研究假說 10第四章、研究方法 13第一節、ADF單根檢定 13第二節、共整合檢定 14第三節、最適落後期數 15第四節、向量自我迴歸模型 16第五節、Granger因果關係檢定 17第六節、衝擊反應函數 18第五章、實證結果與分析 19第一節、敘述性統計 19第二節、相關係數 20第三節、ADF單根檢定 23第四節、最適落後期數 24第五節、向量自我迴歸模型 25第六節、Granger因果關係檢定 32第七節、衝擊反應函數 38第六章、結論與未來研究方向 43第一節、結論 43第二節、未來研究方向 44第七章、參考文獻 45 zh_TW dc.format.extent 2350317 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107357002 en_US dc.subject (關鍵詞) 總體經濟指標 zh_TW dc.subject (關鍵詞) 美國十年公債殖利率 zh_TW dc.subject (關鍵詞) 向量自我回歸模型 zh_TW dc.subject (關鍵詞) Granger因果關係檢定 zh_TW dc.subject (關鍵詞) 衝擊反應函數 zh_TW dc.subject (關鍵詞) macroeconomic determinants en_US dc.subject (關鍵詞) ten-year US government bond yields en_US dc.subject (關鍵詞) vector autoregressions model en_US dc.subject (關鍵詞) granger causality test en_US dc.subject (關鍵詞) impulse response function en_US dc.title (題名) 總體經濟指標與美國十年公債殖利率之關聯性研究 zh_TW dc.title (題名) The Relationship Between The Macroeconomic Indicators and The Ten-Year US Treasury Bond Yield en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Afonso, António, Michael G. Arghyrou, and Alexandros Kontonikas 2015, The determinants of sovereign bond yield spreads in the EMU, ECB Working Paper No. 1781Ahmad, Norliza, Joriah Muhammad and Tajul Ariffin Masron, 2009, Factor Influencing yield spreads of the Malaysians Bonds, Asian Academy of Management Journal Vol 14 (2), 95–114Akaike, H., 1974, A new look at the statistical model identification, Automatic Control IEEE Transations on Vol 19 (6), 716–723Akram, Tanweer and Anupam Das, 2014, Understanding the low yields of the long-term Japanese sovereign, Journal of Economic Issues Vol 48 (2), 331–340Ang, Andrew and Monika Piazzesi, 2003, A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables, Journal of Monetary Economics Vol 50 (4), 745–787Baek, In-Mee, Arindam Bandopadhyaya, and Chan Du 2005, Determinants of market-assessed sovereign risk: Economic fundamentals or market risk appetite ?, Journal of International Money and Finance Vol 24, 533–548Bollerslev, Tim, Jun Cai, and Frank M. Song, 2000, Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market, Journal of Empirical Financial Vol 7, 37–55.Chee, Soh Wei and Cheng Fan Fah, 2013, Macro-economic Determinants of UK Treasury Bonds Spread, International Journal of Arts and Commerce Vol 2 (1), 163-172Diebold, Francis X., Glenn D. Rudebusch, and S. Boragan Aruoba, 2004, The macroeconomy and yield curve: A dynamic latent factor approach, Journal of Econometrics Vol 131 (7), 309-338Engle, Robert F. and C. W. J. Granger, 1987, Co-integration and error correction: representation, estimation, and testing, Econometric: Journal of the Econometric Society 251–276Evans, Charles L. and David Marshall, 2001, Economic determinants of the nominal Treasury Yield Curve, Journal of Monetary Economics Vol 54 (7), 1986-2003Gagnon, Joseph E., 2005, Currency crashes and bond yields in Industrial Countries, Board of Governors of the Federal Reserve System, International Finance Discussion Paper No.837Goldberg, Linda and Deborah Leonard, 2003, What moves sovereign bond markets? The effects of economic news on U.S. and German yields, Current Issues in Economics and Finance,Federal Reserve Bank of New York Vol 9 (9), 1–7Goldberg, Linda S. and Deborah Leonard, 2005, What moves sovereign bond market ? The effects of economic news on U.S. and German yields, Current Issues in Economics and Finance Vol.9, No.9Hilscher, Jens and Yves Nosbusch, 2010, Determinants of sovereign risk- macroeconomic fundamentals and the pricing of sovereign debt, Review of Finance Vol 14 (2), 235–262Johansen, S., 1988, Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control Vol 12 (2–3), 231–254Luo, Frank and Srikant Dash, 2011, VIX futures and the hedging of bond portfolios, S&P Indices Index Research and DesignPoghosyan, Tigran, 2012, Long-run and short-run determinants of sovereign bond yields in advanced economies, International Monetary Fund (IMF)Said, Said E. and David A. Dickey, 1984, Testing for unit roots in autoregressive-moving average models of unknown order, Biometrika, Vol 71 (3), 599–607Said, Said E. and David A. Dickey, 1984, Testing for unit roots in autoregressive-moving average models of unknown order, Biometrika Vol 71 (3) 599–607Schwarz, Gideon, 1978, Estimating the dimension of a model, The annuals of statistics Vol 6 (2), 461–464Sims, Christopher A., 1980, Macroeconomics and reality, Econometrica Vol 48 (1) 1–48 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000711 en_US
