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    Title: 解構美國股市報酬與利差在瞬時相位上的因果關係
    An Analysis of The Causality Between The US Stock Returns and Spreads on Instantaneous Phase
    Authors: 陳科全
    Chen, Ke-Chuan
    Contributors: 徐士勛
    Shiu, Shr-Shiun
    陳科全
    Chen, Ke-Chuan
    Keywords: 股市報酬
    公債利差
    因果拆解法
    經驗模態分解法
    Granger 因果關係檢定法
    Date: 2019
    Issue Date: 2019-07-01 11:03:29 (UTC+8)
    Abstract: 由於美國的公債市場與股票市場對於全球經濟體系具相當程度的影響性,且公債市場裡不同種類的利差皆可用以預測股市的報酬,兩者應間存在一定的關聯性,故本文想藉由客觀的統計方法探討美國的利差與股市報酬間是否存在因果關係。
    根據美國的公債長短天期利差與S\\&P 500日報酬率的歷史資料發現,殖利率曲線出現或接近反轉(利差為負)後,S\\&P 500 日報酬率在短期內會因市場恐慌而出現較大的波動,但S\\&P 500指數在之後大多仍維持1年半到2年的多頭漲勢,漲勢結束後才隨即出現衰退,故我們認為股市報酬的波動可能是由公債長短天期利差所導致,兩者間可能存在因果關係。而由TED 利差與LOIS利差和S\\&P 500日報酬率的歷史資料皆發現雖然這兩個利差在金融危機過後皆不超過100個基點,但在這兩個利差出現比平常較大的值或出現持續上升走勢時,S\\&P 500日報酬率在該期間附近也出現較大波動,故我們猜測其之間亦可能存在因果關係。
    本文藉由傳統的Granger 因果關係檢定法以及因果拆解法進行因果關係的認定;其中,因果拆解法不只適用於分析各種型態的資料系統,也能避免忽略具同時性與相互性的因果關係,最後還可得出兩筆資料在不同時間尺度下的因果關係。Granger 因果關係檢定法以及因果拆解法的實證結果皆證明不同利差與股市報酬間確實存在因果關係,前者的實證結果為不同利差與股市報酬間存在雙向因果關係,彼此會互相影響;後者的結果則發現了不同利差皆會影響股市報酬的短期波動,且不同利差的中期波動會受到股市報酬的影響;最後利差與股市報酬在長期時具相互因果關係。大致而言,我們透過因果拆解法的結果也符合我們在歷史資料上觀察到的一些不同利差與股市報酬間的現象。
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    Description: 碩士
    國立政治大學
    經濟學系
    106258037
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1062580372
    Data Type: thesis
    DOI: 10.6814/NCCU201900048
    Appears in Collections:[經濟學系] 學位論文

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