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題名 國際公債市場期限溢價影響因子與模型實證分析
Determinants and Empirical Model Analysis of Term Premiums in International Bond Markets
作者 黃郁媃
Huang, Yu-Jou
貢獻者 林士貴
Lin, Shih-Kuei
黃郁媃
Huang, Yu-Jou
關鍵詞 公債
期限溢價
Sovereign Bonds
Term Premium
日期 2025
上傳時間 4-Aug-2025 13:27:56 (UTC+8)
摘要 期限溢價為投資人持有長期債券所要求的額外報酬，用以補償其面對未來總體經濟的不確定性與市場風險。相較於利差反映不同到期期間債券的名目殖利率差異，期限溢價排除市場對未來短期利率的預期，更純粹的衡量市場對風險的補償程度。在高利率水準、通膨黏著性上升及政策訊號不明確等情境下，期限溢價可視為觀察市場風險認知與金融穩定的重要指標，亦優於利差作為評估長期債券風險溢酬之依據。 作為殖利率曲線的重要組成部分，期限溢價的估計有助於拆解利率期限結構，理解市場對利率走勢與風險的定價邏輯。本研究從理論層面出發，探討影響期限溢價的主要因素，回顧既有文獻中不同模型對期限溢價之估計結果與解釋，作為實證分析的理論基礎，並進一步觀察聯準會、歐洲央行與日本央行，於不同貨幣政策與總體經濟條件下，其期限溢價走勢變動之差異。 實證分析聚焦於運用單因子與多元迴歸分析方法，探討影響國際公債市場期限溢價的主要因子，涵蓋貨幣政策、通膨預期、市場流動性與經濟活動指標等構面，且為進一步驗證迴歸模型對未來資料的預測能力，採用 70/30 的樣本分割方式，分別進行樣本內與樣本外分析，以評估模型之穩健性與實務適用性。 本研究期望建立一套具比較性與實用性的期限溢價分析框架，作為解析利率動態與金融市場風險的重要依據，透過理論與實證的交互驗證，不僅有助於深化對殖利率結構的理解，亦可作為政策評估與投資判斷的輔助工具，進一步提升對債券市場變化的觀察與掌握能力。
The term premium refers to the additional compensation investors demand for holding long-term bonds, serving as a reward for bearing uncertainties related to future macroeconomic conditions and market risks. Unlike yield spreads, which reflect nominal yield differences across maturities, the term premium excludes expectations of future short-term interest rates and more accurately captures the market’s perception of risk compensation. Under environments of elevated interest rates, persistent inflation, and ambiguous policy signals, the term premium emerges as a crucial indicator for assessing market risk sentiment and financial stability. It is also considered a more effective measure of long-term bond risk premiums than traditional yield spreads. As a key component of the yield curve, estimating the term premium helps decompose the term structure of interest rates and enhances understanding of how markets price interest rate expectations and risk. This study begins with a theoretical exploration of the main determinants of the term premium and reviews existing literature on various estimation models and their interpretations. These insights provide the foundation for the empirical analysis, which further examines the behavior of the term premium across different monetary policy regimes and macroeconomic conditions in the U.S., the euro area, and Japan. The empirical section employs both single-factor and multiple regression analyses to identify key drivers of the term premium in international sovereign bond markets. These include monetary policy variables, inflation expectations, market liquidity, and economic activity indicators. To test the predictive power of the regression models, a 70/30 data split is adopted to conduct both in-sample and out-of-sample analyses, thereby assessing the robustness and practical applicability of the models. This study aims to construct a comparative and practical analytical framework for term premium estimation, serving as a valuable reference for understanding interest rate dynamics and financial market risk. By integrating theoretical and empirical approaches, the findings contribute to a deeper understanding of the term structure of interest rates and provide useful insights for policy evaluation and investment decision-making, ultimately enhancing the ability to monitor and interpret developments in the bond market.
參考文獻 Adrian, T., Crump, R. K., & Moench, E. (2013). 《Pricing the term structure with linear regressions》 Journal of Financial Economics, 110(1), 110–138. Ang, A., Bekaert, G., & Wei, M. (2007). 《Do macro variables, asset markets or surveys forecast inflation better?》 Journal of Monetary Economics, 54(4), 1163–1212. Bauer, M., Rudebusch, G., & Wu, J. (2014). 《Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment》 American Economic Review, 104(1), 323–337. Beechey, M. J. (2007). 《Lowering the anchor: How the Bank of England's inflation targeting policies have shaped inflation expectations and perceptions of inflation risk》 Federal Reserve Board Working Paper, Bekaert, G., Engstrom, E., & Ermolov, A. (2017). 《Macro risks and the term structure of interest rates》 Finance and Economics Discussion Series, No. 2017-058. Board of Governors of the Federal Reserve System. Bekaert, G., Hoerova, M., & Lo Duca, M. (2013). 《Risk, uncertainty and monetary policy》 Journal of Monetary Economics, 60(7), 771–788. Bernanke, B. S., Laubach, T., Mishkin, F. S., & Posen, A. S. (2001). 《Inflation targeting: Lessons from the international experience》 Princeton University Press, Bonis, B., Ihrig, J., & Wei, M. (2017). 《The effect of the Federal Reserve’s securities holdings on longer-term interest rates》 FEDS Notes, Board of Governors of the Federal Reserve System. Bowman, M. W. (2025, March 7). 《Remarks on “Monetary Policy Transmission to Real Activity” and the recent experience》 Board of Governors of the Federal Reserve System, Brayton, F., Laubach, T., & Reifschneider, D. (2014, April 3). 《The FRB/US model: A tool for macroeconomic policy analysis》 FEDS Notes, Carpenter, S., Feroli, M., Mericle, D., Tesar, L., & West, K. (2025, March 7). 《Monetary policy transmission to real activity》 U.S. Monetary Policy Forum, University of Chicago Booth School of Business, Christensen, J. H. E., & Rudebusch, G. D. (2012). 《The response of interest rates to U.S. and U.K. quantitative easing》 Economic Journal, 122(564), F385–F414. Cochrane, J. H., & Piazzesi, M. (2005). 《Bond risk premia》 American Economic Review, 95(1), 138–160. Cohen, B. H., Hördahl, P., & Xia, D. (2018). 《Term premia: models and some stylised facts》 BIS Quarterly Review, September, 79–91. Friedman, M. (1977). 《Nobel lecture: Inflation and unemployment》 Journal of Political Economy, 85(3), 451–472. Gürkaynak, R. S., Levin, A. T., & Swanson, E. T. (2006). 《Does inflation targeting anchor long-run inflation expectations? Evidence from long-term bond yields in the U.S., U.K., and Sweden》 Federal Reserve Bank of San Francisco Working Paper, 2006-09. Gürkaynak, R. S., Sack, B., & Wright, J. H. (2007). 《The U.S. Treasury yield curve: 1961 to the present》 Journal of Monetary Economics, 54(8), 2291–2304. Hördahl, P., & Tristani, O. (2014). 《Inflation risk premia in the euro area and the United States》 International Journal of Central Banking, 10(3), 1–47. Ireland, P. N. (2015). 《Monetary policy, bond risk premia, and the economy》 Journal of Monetary Economics, 76, 124–140. Kim, D. H., & Wright, J. H. (2005). 《An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates》 Finance and Economics Discussion Series, 2005-33. Federal Reserve Board. Meldrum, A., & Wu, J. C. (2023). 《Robustness of long-maturity term premium estimates》 FEDS Notes, 2023-064. Board of Governors of the Federal Reserve System.
描述 碩士
國立政治大學
國際金融碩士學位學程
112ZB1017
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112ZB1017
資料類型 thesis
dc.contributor.advisor 林士貴zh_TW
dc.contributor.advisor Lin, Shih-Kueien_US
dc.contributor.author (Authors) 黃郁媃zh_TW
dc.contributor.author (Authors) Huang, Yu-Jouen_US
dc.creator (作者) 黃郁媃zh_TW
dc.creator (作者) Huang, Yu-Jouen_US
dc.date (日期) 2025en_US
dc.date.accessioned 4-Aug-2025 13:27:56 (UTC+8)-
dc.date.available 4-Aug-2025 13:27:56 (UTC+8)-
dc.date.issued (上傳時間) 4-Aug-2025 13:27:56 (UTC+8)-
dc.identifier (Other Identifiers) G0112ZB1017en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/158375-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際金融碩士學位學程zh_TW
dc.description (描述) 112ZB1017zh_TW
dc.description.abstract (摘要) 期限溢價為投資人持有長期債券所要求的額外報酬，用以補償其面對未來總體經濟的不確定性與市場風險。相較於利差反映不同到期期間債券的名目殖利率差異，期限溢價排除市場對未來短期利率的預期，更純粹的衡量市場對風險的補償程度。在高利率水準、通膨黏著性上升及政策訊號不明確等情境下，期限溢價可視為觀察市場風險認知與金融穩定的重要指標，亦優於利差作為評估長期債券風險溢酬之依據。 作為殖利率曲線的重要組成部分，期限溢價的估計有助於拆解利率期限結構，理解市場對利率走勢與風險的定價邏輯。本研究從理論層面出發，探討影響期限溢價的主要因素，回顧既有文獻中不同模型對期限溢價之估計結果與解釋，作為實證分析的理論基礎，並進一步觀察聯準會、歐洲央行與日本央行，於不同貨幣政策與總體經濟條件下，其期限溢價走勢變動之差異。 實證分析聚焦於運用單因子與多元迴歸分析方法，探討影響國際公債市場期限溢價的主要因子，涵蓋貨幣政策、通膨預期、市場流動性與經濟活動指標等構面，且為進一步驗證迴歸模型對未來資料的預測能力，採用 70/30 的樣本分割方式，分別進行樣本內與樣本外分析，以評估模型之穩健性與實務適用性。 本研究期望建立一套具比較性與實用性的期限溢價分析框架，作為解析利率動態與金融市場風險的重要依據，透過理論與實證的交互驗證，不僅有助於深化對殖利率結構的理解，亦可作為政策評估與投資判斷的輔助工具，進一步提升對債券市場變化的觀察與掌握能力。zh_TW
dc.description.abstract (摘要) The term premium refers to the additional compensation investors demand for holding long-term bonds, serving as a reward for bearing uncertainties related to future macroeconomic conditions and market risks. Unlike yield spreads, which reflect nominal yield differences across maturities, the term premium excludes expectations of future short-term interest rates and more accurately captures the market’s perception of risk compensation. Under environments of elevated interest rates, persistent inflation, and ambiguous policy signals, the term premium emerges as a crucial indicator for assessing market risk sentiment and financial stability. It is also considered a more effective measure of long-term bond risk premiums than traditional yield spreads. As a key component of the yield curve, estimating the term premium helps decompose the term structure of interest rates and enhances understanding of how markets price interest rate expectations and risk. This study begins with a theoretical exploration of the main determinants of the term premium and reviews existing literature on various estimation models and their interpretations. These insights provide the foundation for the empirical analysis, which further examines the behavior of the term premium across different monetary policy regimes and macroeconomic conditions in the U.S., the euro area, and Japan. The empirical section employs both single-factor and multiple regression analyses to identify key drivers of the term premium in international sovereign bond markets. These include monetary policy variables, inflation expectations, market liquidity, and economic activity indicators. To test the predictive power of the regression models, a 70/30 data split is adopted to conduct both in-sample and out-of-sample analyses, thereby assessing the robustness and practical applicability of the models. This study aims to construct a comparative and practical analytical framework for term premium estimation, serving as a valuable reference for understanding interest rate dynamics and financial market risk. By integrating theoretical and empirical approaches, the findings contribute to a deeper understanding of the term structure of interest rates and provide useful insights for policy evaluation and investment decision-making, ultimately enhancing the ability to monitor and interpret developments in the bond market.en_US
dc.description.tableofcontents 第一章 緒論 1 第一節 研究背景 1 第二節、研究動機 6 第三節、研究目的 7 第二章 文獻探討 8 第一節、期限溢價理論與估計模型 8 第二節、貨幣政策對期限溢價與經濟之影響 10 第三章 期限溢價模型與差異分析 12 第一節、Kim & Wright模型 13 第二節、ACM模型 15 第三節、模型架構差異 16 第四章 期限溢價的模型驗證與實證分析 19 第一節、期限溢價的模型選擇與估計方法 19 第二節 美歐日期限溢價之走勢分析與比較 22 第三節 美歐日期限溢價之單因子迴歸分析 27 第四節 美歐日期限溢價多元迴歸分析與模型適用性評估 33 第五章 結論與未來展望 43 第一節 結論 43 第二節 未來展望 44 文獻參考 46zh_TW
dc.format.extent 1000856 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112ZB1017en_US
dc.subject (關鍵詞) 公債zh_TW
dc.subject (關鍵詞) 期限溢價zh_TW
dc.subject (關鍵詞) Sovereign Bondsen_US
dc.subject (關鍵詞) Term Premiumen_US
dc.title (題名) 國際公債市場期限溢價影響因子與模型實證分析zh_TW
dc.title (題名) Determinants and Empirical Model Analysis of Term Premiums in International Bond Marketsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Adrian, T., Crump, R. K., & Moench, E. (2013). 《Pricing the term structure with linear regressions》 Journal of Financial Economics, 110(1), 110–138. Ang, A., Bekaert, G., & Wei, M. (2007). 《Do macro variables, asset markets or surveys forecast inflation better?》 Journal of Monetary Economics, 54(4), 1163–1212. Bauer, M., Rudebusch, G., & Wu, J. (2014). 《Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment》 American Economic Review, 104(1), 323–337. Beechey, M. J. (2007). 《Lowering the anchor: How the Bank of England's inflation targeting policies have shaped inflation expectations and perceptions of inflation risk》 Federal Reserve Board Working Paper, Bekaert, G., Engstrom, E., & Ermolov, A. (2017). 《Macro risks and the term structure of interest rates》 Finance and Economics Discussion Series, No. 2017-058. Board of Governors of the Federal Reserve System. Bekaert, G., Hoerova, M., & Lo Duca, M. (2013). 《Risk, uncertainty and monetary policy》 Journal of Monetary Economics, 60(7), 771–788. Bernanke, B. S., Laubach, T., Mishkin, F. S., & Posen, A. S. (2001). 《Inflation targeting: Lessons from the international experience》 Princeton University Press, Bonis, B., Ihrig, J., & Wei, M. (2017). 《The effect of the Federal Reserve’s securities holdings on longer-term interest rates》 FEDS Notes, Board of Governors of the Federal Reserve System. Bowman, M. W. (2025, March 7). 《Remarks on “Monetary Policy Transmission to Real Activity” and the recent experience》 Board of Governors of the Federal Reserve System, Brayton, F., Laubach, T., & Reifschneider, D. (2014, April 3). 《The FRB/US model: A tool for macroeconomic policy analysis》 FEDS Notes, Carpenter, S., Feroli, M., Mericle, D., Tesar, L., & West, K. (2025, March 7). 《Monetary policy transmission to real activity》 U.S. Monetary Policy Forum, University of Chicago Booth School of Business, Christensen, J. H. E., & Rudebusch, G. D. (2012). 《The response of interest rates to U.S. and U.K. quantitative easing》 Economic Journal, 122(564), F385–F414. Cochrane, J. H., & Piazzesi, M. (2005). 《Bond risk premia》 American Economic Review, 95(1), 138–160. Cohen, B. H., Hördahl, P., & Xia, D. (2018). 《Term premia: models and some stylised facts》 BIS Quarterly Review, September, 79–91. Friedman, M. (1977). 《Nobel lecture: Inflation and unemployment》 Journal of Political Economy, 85(3), 451–472. Gürkaynak, R. S., Levin, A. T., & Swanson, E. T. (2006). 《Does inflation targeting anchor long-run inflation expectations? Evidence from long-term bond yields in the U.S., U.K., and Sweden》 Federal Reserve Bank of San Francisco Working Paper, 2006-09. Gürkaynak, R. S., Sack, B., & Wright, J. H. (2007). 《The U.S. Treasury yield curve: 1961 to the present》 Journal of Monetary Economics, 54(8), 2291–2304. Hördahl, P., & Tristani, O. (2014). 《Inflation risk premia in the euro area and the United States》 International Journal of Central Banking, 10(3), 1–47. Ireland, P. N. (2015). 《Monetary policy, bond risk premia, and the economy》 Journal of Monetary Economics, 76, 124–140. Kim, D. H., & Wright, J. H. (2005). 《An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates》 Finance and Economics Discussion Series, 2005-33. Federal Reserve Board. Meldrum, A., & Wu, J. C. (2023). 《Robustness of long-maturity term premium estimates》 FEDS Notes, 2023-064. Board of Governors of the Federal Reserve System.zh_TW