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題名 聯準會模型的國際普遍性與門檻回歸應用
The International Test and the Threshold Regressive Analysis of the Fed model作者 潘彥君 貢獻者 郭維裕
Kuo, Wei Yu
潘彥君關鍵詞 聯準會模型
共整合檢定
門檻自我回歸
非線性模型
The Fed model
Cointegration test
Threshold Autoregressive
Non-linear model日期 2011 上傳時間 30-Oct-2012 10:39:31 (UTC+8) 摘要 本篇論文檢驗聯準會模型在六個亞洲市場：中國大陸、印度、馬來西亞、新加坡、台灣和泰國是否成立。我們首先檢驗共整合檢定來觀察變數之間長期的關係；另外，針對線性的指標模型，我們則檢測其是否具有非線性的門檻自回歸情形。實證結果顯示，於共整合檢定下，六個國家的股票價格、股票報酬和十年期債券殖利率具有長期共整合關係；而在非線性的TAR模型配適下，其解釋能力優於線性的AR模型。
This paper studies the Fed Model in six Asia countries, China, India, Malaysia, Singapore, Taiwan, and Thailand. We examine the cointegraiton test for the long-run relationship and build a nonlinear threshold autoregressive model (TAR) between the long -term government bond yield, the stock index and the earning s index. Our empirical results show that such a long-run relationship indeed exists for those countries. In addition, the explanatory power of TAR model is better than linear AR model.參考文獻 Aubert, S., and P. Giot, 2007, .An International Test of the Fed Model,. Journal of Asset Management, 86-100. Balke, N.S., Fomby, T.B., 1997. Threshold cointegration. International Economic Review 38, 627-645. Campbell J. Y., and R. J. Shiller 2005. Valuation Ratios and the Long-run Stock Market Outlook: An Update, in Advances in behavioural Finance (Vol II), R. H. Thaler (Ed), Princeton University Press, Princeton. Durré, A., Giot, P., 2004. Endorse of fight the Fed model? An international analysis of earnings, stock prices and bond yields, Working paper. Enders, W., Granger, C.W.J., 1998. Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. J. Bus. Econ. Stat. 16, 305-311. Enders, Walter, and Pierre L. Siklos, 2000. "Cointegration and Threshold Adjustment." Journal of Business and Economic Statistics. Forthcoming (2000). Estrada, J., 2009, The Fed model: The Bad, the Worse and the Ugly, Quarterly Review of Economics and Finance, 49, 214-238. Hansen, B.E., Seo, B., 2002. Testing for two-regime threshold cointegration in vector error correction models. J. Econometrics 110, 293-318. Koivu, Matti, Teemu Pennanen, and William Ziemba, 2005. “Cointegration Analysis of the Fed Model.” Working paper. Malkiel, B.G., 2004, ‘Models of stock market predictability’, Journal of Financial Research 27(4), 449-459. Shen and Chiu, 1999, Transaction Cost and the Arbitrage Opportunity Between GDR and Its Stock Price: The Application of Threshold Cointegration, Journal of Financial Studies 7(2), 89-112. Thomas, Jacob and Frank Zhang, 2008. Don’t fight the Fed model. Yale University Working Paper. Tsay, R. S., 1989. Testing and Modeling Threshold Autoregressive Processes. Journal of the American Statistical Association, 84, 231-240. Tsay, R. S., 1998. Testing and modeling multivariate threshold models. Journal of the American Statistical Association 93, 1188–1998. Yardeni, E., 2003. Stock valuation models. Topical study 58. Prudential Financial Research. 王俊化(2006)，「貨幣學派匯率偏離之非線性調整-門檻自我回歸之應用」，中原大學國際貿易學系碩士論文 楊奕農，「時間序列分析-經濟與財務上應用」，雙頁書廊有限公司，台北，民國98年 描述 碩士
國立政治大學
國際經營與貿易研究所
99351008
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099351008 資料類型 thesis dc.contributor.advisor 郭維裕 zh_TW dc.contributor.advisor Kuo, Wei Yu en_US dc.contributor.author (Authors) 潘彥君 zh_TW dc.creator (作者) 潘彥君 zh_TW dc.date (日期) 2011 en_US dc.date.accessioned 30-Oct-2012 10:39:31 (UTC+8) - dc.date.available 30-Oct-2012 10:39:31 (UTC+8) - dc.date.issued (上傳時間) 30-Oct-2012 10:39:31 (UTC+8) - dc.identifier (Other Identifiers) G0099351008 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54292 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易研究所 zh_TW dc.description (描述) 99351008 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) 本篇論文檢驗聯準會模型在六個亞洲市場：中國大陸、印度、馬來西亞、新加坡、台灣和泰國是否成立。我們首先檢驗共整合檢定來觀察變數之間長期的關係；另外，針對線性的指標模型，我們則檢測其是否具有非線性的門檻自回歸情形。實證結果顯示，於共整合檢定下，六個國家的股票價格、股票報酬和十年期債券殖利率具有長期共整合關係；而在非線性的TAR模型配適下，其解釋能力優於線性的AR模型。 zh_TW dc.description.abstract (摘要) This paper studies the Fed Model in six Asia countries, China, India, Malaysia, Singapore, Taiwan, and Thailand. We examine the cointegraiton test for the long-run relationship and build a nonlinear threshold autoregressive model (TAR) between the long -term government bond yield, the stock index and the earning s index. Our empirical results show that such a long-run relationship indeed exists for those countries. In addition, the explanatory power of TAR model is better than linear AR model. en_US dc.description.tableofcontents Abstract I LIST OF FIGURES VI LIST OF TABLES VII Chapter 1 Introduction 1 1-1 Background and Literature Survey 1 Chapter 2 Data 4 Chapter 3 Test for cointegration 6 3-1 Unit Root Test 6 3-2 Cointegration Test 12 Chapter 4 Test of Threshold Autoregressive 15 4-1 Nonlinear model of the Fed model 17 4-2 Estimation of TAR model 21 Chapter 5 Conclusion 26 Reference 28 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099351008 en_US dc.subject (關鍵詞) 聯準會模型 zh_TW dc.subject (關鍵詞) 共整合檢定 zh_TW dc.subject (關鍵詞) 門檻自我回歸 zh_TW dc.subject (關鍵詞) 非線性模型 zh_TW dc.subject (關鍵詞) The Fed model en_US dc.subject (關鍵詞) Cointegration test en_US dc.subject (關鍵詞) Threshold Autoregressive en_US dc.subject (關鍵詞) Non-linear model en_US dc.title (題名) 聯準會模型的國際普遍性與門檻回歸應用 zh_TW dc.title (題名) The International Test and the Threshold Regressive Analysis of the Fed model en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Aubert, S., and P. Giot, 2007, .An International Test of the Fed Model,. Journal of Asset Management, 86-100. Balke, N.S., Fomby, T.B., 1997. Threshold cointegration. International Economic Review 38, 627-645. Campbell J. Y., and R. J. Shiller 2005. Valuation Ratios and the Long-run Stock Market Outlook: An Update, in Advances in behavioural Finance (Vol II), R. H. Thaler (Ed), Princeton University Press, Princeton. Durré, A., Giot, P., 2004. Endorse of fight the Fed model? An international analysis of earnings, stock prices and bond yields, Working paper. Enders, W., Granger, C.W.J., 1998. Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. J. Bus. Econ. Stat. 16, 305-311. Enders, Walter, and Pierre L. Siklos, 2000. "Cointegration and Threshold Adjustment." Journal of Business and Economic Statistics. Forthcoming (2000). Estrada, J., 2009, The Fed model: The Bad, the Worse and the Ugly, Quarterly Review of Economics and Finance, 49, 214-238. Hansen, B.E., Seo, B., 2002. Testing for two-regime threshold cointegration in vector error correction models. J. Econometrics 110, 293-318. Koivu, Matti, Teemu Pennanen, and William Ziemba, 2005. “Cointegration Analysis of the Fed Model.” Working paper. Malkiel, B.G., 2004, ‘Models of stock market predictability’, Journal of Financial Research 27(4), 449-459. Shen and Chiu, 1999, Transaction Cost and the Arbitrage Opportunity Between GDR and Its Stock Price: The Application of Threshold Cointegration, Journal of Financial Studies 7(2), 89-112. Thomas, Jacob and Frank Zhang, 2008. Don’t fight the Fed model. Yale University Working Paper. Tsay, R. S., 1989. Testing and Modeling Threshold Autoregressive Processes. Journal of the American Statistical Association, 84, 231-240. Tsay, R. S., 1998. Testing and modeling multivariate threshold models. Journal of the American Statistical Association 93, 1188–1998. Yardeni, E., 2003. Stock valuation models. Topical study 58. Prudential Financial Research. 王俊化(2006)，「貨幣學派匯率偏離之非線性調整-門檻自我回歸之應用」，中原大學國際貿易學系碩士論文 楊奕農，「時間序列分析-經濟與財務上應用」，雙頁書廊有限公司，台北，民國98年 zh_TW
