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題名 就業市場指標與公債殖利率之關聯性探討
The Research on Relationships Between Indicators of Labor Markets and Yields of US Treasury作者 蕭惟中
Hsiao, Wei-Chung貢獻者 張興華
蕭惟中
Hsiao, Wei-Chung關鍵詞 十年期美債殖利率
失業率
就業市場
單根檢定
向量自回歸模型
10-year bond yields
Unemployment rate
Labor market
Unit root test
Vector autoregression model日期 2020 上傳時間 3-Aug-2020 17:38:07 (UTC+8) 摘要 本文選用Bloomberg資料庫中的債券資料庫以及美國勞工統計局BLS公佈之各項就業指標，並使用各項時間序列計量方法，如單根檢定、Granger因果關係簡定、向量自回歸模型及衝擊反應函數等等，探討(1)各項就業數據與債券殖利率間是否存在領先或落後之關係、(2)各項就業數據相對債券殖利率而言為正或負向關係。實證結果顯示僅JOLT調查職位空缺數月變動可Granger影響債券殖利率利差，但非農就業月變動及失業率月變化亦影響JOLT職位空缺數月變動。另一方面，失業率月變化與JOLT調查職位空缺數月變動與債券殖利率利差顯著相關，但失業率月變化與債券殖利率利差同向變化、JOLT調查職位空缺數月變動與債券殖利率利差反向變化。
In this article, we use the bond yield data from the Bloomberg database and various employment indicators published by BLS (Bureau of Labor Statistics). Using multiple time-series measurement methods, such as unit root test, Granger causality test, vector autoregressive model and impulse response function, to prove our idea. First, whether there is a leading or lagging relationship between each employment indicators and bond yields. Second, whether each employment indicators and bond yields are positively or negatively related.The empirical results show that monthly change of JOLTs output is Granger cause the spread of 10-year bond yields, and monthly change of NFP and unemployment rate are Granger cause the monthly change of JOLTs output. On the other hand, monthly change of unemployment and JOLTs output are significantly related to the spread of 10-year bond yields. Monthly change of unemployment rate is positively related, but the other is negative related to spread of 10-year bond yields.參考文獻 1. Culbertson, J. M. (1957), “The term structure of interest rates.”, The quarterly Journal of Economics, 485-517.2. Dickey, D. A & W.A. Fuller (1979), “Distribution of the estimation for autoregressive time series with a unit root”, Journal of American Statistical Association, 74, 427-431.3. Fisher, I. (1896), “Appreciation and interest: A study of the influence of monetary appreciation and depreciation on the rate of interest with applications to the bimetallic controversy and the theory of interest”, American economic association.4. Goldberg, L. & Leonard, D. (2003), “What moves sovereign bond markets? The effects of economic news on U.S. and German yields”, Federal reserve bank of New York.5. Granger, C.(1969), “Investigating causal relations by econometric models and cross spectral methods”, Econometrica, 37, 424-438.6. Granger, C. & Newbold, P. (1974), “Spurious regression in econometrics”, Journal of Econometrics, 2, 111-120.7. Hicks, J. R. (1946), “Value and capital: An inquiry into some fundamental principles of economic theory”, Clarendon Press.8. Modigiani, F. & Sutch, R. (1966), “Innovations in interest rate policy”, The American Economic Review, 56(1/2), 178-197.9. Phillips, P. C. B. & P. Perron (1988), “Testing for a unit root in Time Series Regression”, Biometrica. 75, 335-346.10. Said, S. E. & Dickey, D. A. (1984), “Testing for unit roots in autoregressive-moving average models of unknown order”, Biometrika. 71(3), 599-607.11. Sims, C. A. (1980), “Macroeconomics and reality”, Econometrica, 48, 1-48.12. 陳旭昇(2013)。《時間序列分析-總體經濟與財務金融之應用二版》，東華書局。13. 陳谷劦(2002)。《公債殖利率與總體變數間關係之探討-台灣的實證研究》，世新大學經濟學研究所碩士專班論文。14. 陳香君(2010)。《美國公債、投資級債券與高收益債殖利率關係之研究》，國立台灣大學經濟學研究所碩士論文。15. 陳建德(2014)。《美國十年期公債殖利率是否為景氣領先指標?》，國立成功大學財務金融所碩士在職專班論文。16. 陳美蓉(2017)。《美國公債殖利率、美元指數及黃金價格互動關係之研究》，國立台北大學國際財務金融所碩士在職專班論文。17. 簡嘉瑛(2009)。《美國公債殖利率與景氣循環指標間關聯性之探討》，國立中央大學財務金融研究所碩士論文。 描述 碩士
國立政治大學
金融學系
107352020資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107352020 資料類型 thesis dc.contributor.advisor 張興華 zh_TW dc.contributor.author (Authors) 蕭惟中 zh_TW dc.contributor.author (Authors) Hsiao, Wei-Chung en_US dc.creator (作者) 蕭惟中 zh_TW dc.creator (作者) Hsiao, Wei-Chung en_US dc.date (日期) 2020 en_US dc.date.accessioned 3-Aug-2020 17:38:07 (UTC+8) - dc.date.available 3-Aug-2020 17:38:07 (UTC+8) - dc.date.issued (上傳時間) 3-Aug-2020 17:38:07 (UTC+8) - dc.identifier (Other Identifiers) G0107352020 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130990 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 107352020 zh_TW dc.description.abstract (摘要) 本文選用Bloomberg資料庫中的債券資料庫以及美國勞工統計局BLS公佈之各項就業指標，並使用各項時間序列計量方法，如單根檢定、Granger因果關係簡定、向量自回歸模型及衝擊反應函數等等，探討(1)各項就業數據與債券殖利率間是否存在領先或落後之關係、(2)各項就業數據相對債券殖利率而言為正或負向關係。實證結果顯示僅JOLT調查職位空缺數月變動可Granger影響債券殖利率利差，但非農就業月變動及失業率月變化亦影響JOLT職位空缺數月變動。另一方面，失業率月變化與JOLT調查職位空缺數月變動與債券殖利率利差顯著相關，但失業率月變化與債券殖利率利差同向變化、JOLT調查職位空缺數月變動與債券殖利率利差反向變化。 zh_TW dc.description.abstract (摘要) In this article, we use the bond yield data from the Bloomberg database and various employment indicators published by BLS (Bureau of Labor Statistics). Using multiple time-series measurement methods, such as unit root test, Granger causality test, vector autoregressive model and impulse response function, to prove our idea. First, whether there is a leading or lagging relationship between each employment indicators and bond yields. Second, whether each employment indicators and bond yields are positively or negatively related.The empirical results show that monthly change of JOLTs output is Granger cause the spread of 10-year bond yields, and monthly change of NFP and unemployment rate are Granger cause the monthly change of JOLTs output. On the other hand, monthly change of unemployment and JOLTs output are significantly related to the spread of 10-year bond yields. Monthly change of unemployment rate is positively related, but the other is negative related to spread of 10-year bond yields. en_US dc.description.tableofcontents 目 錄摘 要 1Abstract ii目 錄 iii圖 次 iv表 次 v第一章 緒論 1第一節 研究背景與動機 1第二節 研究目的 2第三節 研究架構 3第二章 文獻回顧 4第一節 債券殖利率相關理論文獻回顧 4第二節 實證結果文獻回顧 5第三章 研究方法 7第一節 單根檢定 8第二節 Granger因果檢定 9第三節 向量自回歸模型 10第四節 衝擊反應函數 11第四章 實證結果與分析 12第一節 資料來源與變數介紹 12第二節 敘述統計概述 16第三節 單根檢定實證結果 17第四節 Granger檢定實證結果 20第五節 最適落後期選擇 23第六節 向量自回歸模型實證結果 24第七節 衝擊反應函數實證分析 26第五章 結論與建議 31第一節 結論 31第二節 未來展望 33參考文獻 34 zh_TW dc.format.extent 1592215 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107352020 en_US dc.subject (關鍵詞) 十年期美債殖利率 zh_TW dc.subject (關鍵詞) 失業率 zh_TW dc.subject (關鍵詞) 就業市場 zh_TW dc.subject (關鍵詞) 單根檢定 zh_TW dc.subject (關鍵詞) 向量自回歸模型 zh_TW dc.subject (關鍵詞) 10-year bond yields en_US dc.subject (關鍵詞) Unemployment rate en_US dc.subject (關鍵詞) Labor market en_US dc.subject (關鍵詞) Unit root test en_US dc.subject (關鍵詞) Vector autoregression model en_US dc.title (題名) 就業市場指標與公債殖利率之關聯性探討 zh_TW dc.title (題名) The Research on Relationships Between Indicators of Labor Markets and Yields of US Treasury en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1. Culbertson, J. M. (1957), “The term structure of interest rates.”, The quarterly Journal of Economics, 485-517.2. Dickey, D. A & W.A. Fuller (1979), “Distribution of the estimation for autoregressive time series with a unit root”, Journal of American Statistical Association, 74, 427-431.3. Fisher, I. (1896), “Appreciation and interest: A study of the influence of monetary appreciation and depreciation on the rate of interest with applications to the bimetallic controversy and the theory of interest”, American economic association.4. Goldberg, L. & Leonard, D. (2003), “What moves sovereign bond markets? The effects of economic news on U.S. and German yields”, Federal reserve bank of New York.5. Granger, C.(1969), “Investigating causal relations by econometric models and cross spectral methods”, Econometrica, 37, 424-438.6. Granger, C. & Newbold, P. (1974), “Spurious regression in econometrics”, Journal of Econometrics, 2, 111-120.7. Hicks, J. R. (1946), “Value and capital: An inquiry into some fundamental principles of economic theory”, Clarendon Press.8. Modigiani, F. & Sutch, R. (1966), “Innovations in interest rate policy”, The American Economic Review, 56(1/2), 178-197.9. Phillips, P. C. B. & P. Perron (1988), “Testing for a unit root in Time Series Regression”, Biometrica. 75, 335-346.10. Said, S. E. & Dickey, D. A. (1984), “Testing for unit roots in autoregressive-moving average models of unknown order”, Biometrika. 71(3), 599-607.11. Sims, C. A. (1980), “Macroeconomics and reality”, Econometrica, 48, 1-48.12. 陳旭昇(2013)。《時間序列分析-總體經濟與財務金融之應用二版》，東華書局。13. 陳谷劦(2002)。《公債殖利率與總體變數間關係之探討-台灣的實證研究》，世新大學經濟學研究所碩士專班論文。14. 陳香君(2010)。《美國公債、投資級債券與高收益債殖利率關係之研究》，國立台灣大學經濟學研究所碩士論文。15. 陳建德(2014)。《美國十年期公債殖利率是否為景氣領先指標?》，國立成功大學財務金融所碩士在職專班論文。16. 陳美蓉(2017)。《美國公債殖利率、美元指數及黃金價格互動關係之研究》，國立台北大學國際財務金融所碩士在職專班論文。17. 簡嘉瑛(2009)。《美國公債殖利率與景氣循環指標間關聯性之探討》，國立中央大學財務金融研究所碩士論文。 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202001161 en_US
