| dc.contributor.advisor | 陳松男<br>呂桔誠 | zh_TW |
| dc.contributor.author (Authors) | 曾繁榮 | zh_TW |
| dc.contributor.author (Authors) | Tseng, Fan Jung | en_US |
| dc.creator (作者) | 曾繁榮 | zh_TW |
| dc.creator (作者) | Tseng, Fan Jung | en_US |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 5-Oct-2011 14:33:37 (UTC+8) | - |
| dc.date.available | 5-Oct-2011 14:33:37 (UTC+8) | - |
| dc.date.issued (上傳時間) | 5-Oct-2011 14:33:37 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0090932220 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/51219 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 經營管理碩士學程(EMBA) | zh_TW |
| dc.description (描述) | 90932220 | zh_TW |
| dc.description (描述) | 96 | zh_TW |
| dc.description.abstract (摘要) | 本篇論文利用單根檢定(Unit Root Test)、向量自我迴歸模型(Vector Autoregression)與衝擊反應(Impulse Responses)，檢驗S&P500指數月報酬率、10年期公債月報酬率、消費者物價指數月增率與聯邦資金利率月增率的相關性，我們使用AIC與BIC選取向量自我迴歸最適落後期，最適落後期為落後兩期，S&P500受到其它變數影響並不顯著，10年期公債月報酬率除了受到本身前兩期的影響外，也受到S&P500指數月報酬率前一期的影響，而消費者物價指數月增率則受到本身影響，至於聯邦資金利率除受到本身前兩期的影響之外，也受到S&P500指數月報酬率前兩期與10年期公債月報酬率前一期的影響。 | zh_TW |
| dc.description.tableofcontents | 中文摘要 IV目錄 V表目錄 VI圖目錄 VI第一章 前言 1第二章 文獻回顧 22.1 物價指數、股市與債市的相關性 22.2 利率、股市與債市的相關性 22.3 股市與債市的相關性 3第三章 研究方法 43.1 單根檢定 (Unit Root Test) 43.1.1 Dickey Fuller(DF)檢定 43.1.2 Augmented Dickey-Fuller(ADF)檢定 53.1.3 Phillips-Perron(PP)檢定 63.2 向量自我迴歸 (Vector Autoregression, VAR)模型 63.3 衝擊反應函數(Impulse Response Function) 7第四章 實證結果與分析 84.1 資料來源與處理 84.1.1 股票市場與債券市場的選取 84.1.2 總體經濟變數的選取—消費者物價指數與聯邦資金利率 94.2 敘述性統計 104.2.1 S&P500股價指數與10年期公債殖利率 104.2.2 S&P500股價指數月報酬率與10年期公債月報酬率 114.2.3 總體經濟變數 154.3 實證分析 184.3.1單根檢定 (Unit Root Test) 184.3.2 向量自我迴歸(Vector Autoregression, VAR)模型 194.3.3 衝擊反應 (Impulse Responses) 23第五章 結論 30參考文獻 31 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0090932220 | en_US |
| dc.subject (關鍵詞) | 單根檢定 | zh_TW |
| dc.subject (關鍵詞) | 衝擊反應 | zh_TW |
| dc.subject (關鍵詞) | 向量自我迴歸模型 | zh_TW |
| dc.title (題名) | 美國物價指數與利率變動對於股市與債市的影響 | zh_TW |
| dc.title (題名) | The Correlation Analysis of both U.S. CPI and short-term Interest Rate against U.S. Stock market and Bond market | en_US |
| dc.type (資料類型) | thesis | en |
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