Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/130965
|
| Title: | 總體經濟指標與美國十年公債殖利率之關聯性研究
The Relationship Between The Macroeconomic Indicators and The Ten-Year US Treasury Bond Yield |
| Authors: | 胡芳瑜
Hu, Fang-Yu |
| Contributors: | 陳聖賢
胡芳瑜
Hu, Fang-Yu |
| Keywords: | 總體經濟指標
美國十年公債殖利率
向量自我回歸模型
Granger因果關係檢定
衝擊反應函數
macroeconomic determinants
ten-year US government bond yields
vector autoregressions model
granger causality test
impulse response function |
| Date: | 2020 |
| Issue Date: | 2020-08-03 17:33:09 (UTC+8) |
| Abstract: | 本研究使用彭博資料庫之債券與總體經濟資料庫，以美國十年公債為研究對象，而總體經濟變動與債券價格殖利率走勢息息相關，故本研究主要分析美國的總體經濟指標對公債殖利率是否具有影響力？何種總體經濟指標影響程度較高？本研究主要研究目的如下：(1) 觀察哪種類型的總體經濟指標領先美國十年公債殖利率？(2) 觀察哪種類型的總體經濟指標落後於美國十年公債殖利率？(3) 分析總體經濟指標對美國十年公債殖利率的影響能力與方向？本研究實證結果如下：(1) 政府負債比率(Debt-to-GDP)對美國十年公債殖利率有Granger影響，領先於美國十年公債殖利率；(2) 通貨膨脹率、VIX指數、工業生產指數、生產者物價指數、上週初領失業救濟金人數與美國十年公債殖利率為雙向回饋關係，互為因果關係；(3) 三個月商業本票利率、美元指數、失業率與美國十年公債殖利率無Granger因果關係；(4) 三個月商業本票利率、通貨膨脹率、生產者價格指數、失業率對美國十年公債殖利率具有顯著的正向影響；(5) VIX指數、政府負債比率(Debt-to-GDP)、工業生產指數、上週初次請領失業救濟金人數對美國十年公債殖利率具有顯著的負向影響。
All the data used in this study is from Bloomberg. The overall economic factors are closely related to the bond yield, so this paper studies the relationship between nine macroeconomic determinants and the US ten-year government bond yields. This study mainly analyzes whether the macroeconomic indicators of the United States have an influence on the bond yield? What kind of macroeconomic indicators have the stronger influence? Therefore, the main research objectives of this study are as follows: (1) To observe which macroeconomic indicator leads the ten-year US Treasury bond yield. (2) To observe which macroeconomic indicator lags the ten-year US Treasury bond yield. (3) Analyze the correlation between macroeconomic indicators and ten-year US government bond yield. The empirical results of this study are as follows: (1) The government debt ratio (Debt-to-GDP) has a Granger effect on the ten-year US Treasury bond yield, leading the ten-year US government bond yield；(2) The inflation rate, VIX index, industrial production index, producer price index, unemployment insurance weekly claims are feedback relationships with the ten-year US government bond yield；(3) The three-month commercial paper interest rate, US dollar index and unemployment rate have no Granger effect on the ten-year US government bond yield；(4) The three-month commercial paper interest rate, inflation rate, producer price index and unemployment rate have significant and positive relationship with ten-year US government bond yield；(5) The VIX index, government debt ratio (Debt-to-GDP), industrial production index and unemployment insurance weekly claims have significant and negative relationship with ten-year US government bond yield. |
| Reference: | Afonso, António, Michael G. Arghyrou, and Alexandros Kontonikas 2015, The determinants of sovereign bond yield spreads in the EMU, ECB Working Paper No. 1781
Ahmad, Norliza, Joriah Muhammad and Tajul Ariffin Masron, 2009, Factor Influencing yield spreads of the Malaysians Bonds, Asian Academy of Management Journal Vol 14 (2), 95–114
Akaike, H., 1974, A new look at the statistical model identification, Automatic Control IEEE Transations on Vol 19 (6), 716–723
Akram, Tanweer and Anupam Das, 2014, Understanding the low yields of the long-term Japanese sovereign, Journal of Economic Issues Vol 48 (2), 331–340
Ang, Andrew and Monika Piazzesi, 2003, A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables, Journal of Monetary Economics Vol 50 (4), 745–787
Baek, In-Mee, Arindam Bandopadhyaya, and Chan Du 2005, Determinants of market-assessed sovereign risk: Economic fundamentals or market risk appetite ?, Journal of International Money and Finance Vol 24, 533–548
Bollerslev, Tim, Jun Cai, and Frank M. Song, 2000, Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market, Journal of Empirical Financial Vol 7, 37–55.
Chee, Soh Wei and Cheng Fan Fah, 2013, Macro-economic Determinants of UK Treasury Bonds Spread, International Journal of Arts and Commerce Vol 2 (1), 163-172
Diebold, Francis X., Glenn D. Rudebusch, and S. Boragan Aruoba, 2004, The macroeconomy and yield curve: A dynamic latent factor approach, Journal of Econometrics Vol 131 (7), 309-338
Engle, Robert F. and C. W. J. Granger, 1987, Co-integration and error correction: representation, estimation, and testing, Econometric: Journal of the Econometric Society 251–276
Evans, Charles L. and David Marshall, 2001, Economic determinants of the nominal Treasury Yield Curve, Journal of Monetary Economics Vol 54 (7), 1986-2003
Gagnon, Joseph E., 2005, Currency crashes and bond yields in Industrial Countries, Board of Governors of the Federal Reserve System, International Finance Discussion Paper No.837
Goldberg, Linda and Deborah Leonard, 2003, What moves sovereign bond markets? The effects of economic news on U.S. and German yields, Current Issues in Economics and Finance,Federal Reserve Bank of New York Vol 9 (9), 1–7
Goldberg, Linda S. and Deborah Leonard, 2005, What moves sovereign bond market ? The effects of economic news on U.S. and German yields, Current Issues in Economics and Finance Vol.9, No.9
Hilscher, Jens and Yves Nosbusch, 2010, Determinants of sovereign risk- macroeconomic fundamentals and the pricing of sovereign debt, Review of Finance Vol 14 (2), 235–262
Johansen, S., 1988, Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control Vol 12 (2–3), 231–254
Luo, Frank and Srikant Dash, 2011, VIX futures and the hedging of bond portfolios, S&P Indices Index Research and Design
Poghosyan, Tigran, 2012, Long-run and short-run determinants of sovereign bond yields in advanced economies, International Monetary Fund (IMF)
Said, Said E. and David A. Dickey, 1984, Testing for unit roots in autoregressive-moving average models of unknown order, Biometrika, Vol 71 (3), 599–607
Said, Said E. and David A. Dickey, 1984, Testing for unit roots in autoregressive-moving average models of unknown order, Biometrika Vol 71 (3) 599–607
Schwarz, Gideon, 1978, Estimating the dimension of a model, The annuals of statistics Vol 6 (2), 461–464
Sims, Christopher A., 1980, Macroeconomics and reality, Econometrica Vol 48 (1) 1–48 |
| Description: | 碩士
國立政治大學
財務管理學系
107357002 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0107357002 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202000711 |
| Appears in Collections: | [Department of Finance] Theses
|
Files in This Item:
| File |
Description |
Size | Format | |
|---|
| 700201.pdf | | 2295Kb | Adobe PDF2 | 0 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
