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| Title: | 聯準會量化寬鬆政策對美國股債動態條件相關性之影響
The impact of the Federal Reserve Quantitative Easing on Dynamic Conditional Correlations between US stock and bond |
| Authors: | 李昀
Lee, Yun |
| Contributors: | 陳聖賢
李昀
Lee, Yun |
| Keywords: | 股債報酬率相關性
量化寬鬆
貨幣供給量
動態條件相關係數模型
Stock-bond correlations
Quantitative easing
Money supply
DCC-GARCH |
| Date: | 2021 |
| Issue Date: | 2021-07-03 00:39:03 (UTC+8) |
| Abstract: | 股票及債券為投資組合資產配置中兩大常見且重要的金融資產，美國為全球主要金融市場之一，了解美國股債相關性變化並探討影響股債相關性變化之因素，將有助於投資人進行投資組合之資產配置及風險控管。受到2008年金融海嘯影響，美國聯準會於2008年至2014年多次實施量化寬鬆政策來穩定市場流動性並刺激經濟； 2020年為因應Covid–19的衝擊，更進一步實施無限量量化寬鬆政策；我們可以觀察到近年聯準會更加頻繁的透過量化寬鬆政策來穩定金融市場，使市場資金量持續增長。故本研究將探討美國聯準會執行量化寬鬆政策和市場貨幣供給量增長對於股債相關性之影響。
本研究分為兩個部份，第一部分是利用Engle（2002）動態條件相關係數（DCC-GARCH）模型來探討自2001年至2021年美國股票及債券相關性之變化。研究發現美國股債動態相關係數持續隨時間改變，主要介於-0.3至-0.7之中度負相關，平均動態相關係數達-0.45，顯示適當的配置股票和債券於投資組合中將能有效發揮分散風險的功能。
第二部分為採用OLS迴歸分析探討2003年至2021年聯準會量化寬鬆政策及市場貨幣供給量對於美國股債相關性之影響。實證結果顯示聯準會之量化寬鬆政策對於股債相關性有顯著負向影響，說明當聯準會執行量化寬鬆政策導致所持有的公債、Agency Debt和Agency MBS增加，股債相關係數會降低（負相關增加），此一現象在QE1和QE2的時候較為明顯；貨幣供給量和股債相關性呈現顯著負相關，貨幣供給量增加可能使市場對未來經濟表現保持樂觀態度、降低要求之風險溢酬，使股價上升、債券價格下滑，股債相關係數下降。
Stock and bond are two main asset classes in investors’ portfolios. The United State is an important financial market in the world. Therefore, investigating the changes and determinants of the US stock-bond correlations is critical for investors to allocate their assets and control risks. Due to the financial crisis in 2008, the Federal Reserve implemented a series of quantitative easing policy to restore market liquidity and stimulate the economy from 2008 to 2014. In 2020, the Fed announced an unlimited QE to support the financial market affected by the coronavirus pandemic. We can find that the Fed uses QE policy to stabilize the financial market more frequently in recent years, leading to the growth of money supply. This study will discuss impacts of the QE and money supply on the US stock-bond correlations.
The study is divided into two parts. First of all, I use DCC-GARCH model (Engle, 2002) to build the US dynamic conditional stock-bond correlations from 2001 to 2021. The empirical results show that the US stock-bond correlation coefficient changes over time with an average of -0.45, which means that allocating stock and bond appropriately will effectively diversify the portfolio and minimize the risks. Next, I use OLS regression to investigate the impact of the QE policy and money supply on the US stock-bond correlations. The empirical results show that the QE policy and money supply are important determinants of the US stock-bond correlations. The QE policy has a significantly negative relationship with the US stock-bond correlations, especially during QE1 and QE2. Money supply also has a significantly negative relationship with the US stock-bond correlations. |
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| Description: | 碩士
國立政治大學
財務管理學系
108357006 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108357006 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202100565 |
| Appears in Collections: | [財務管理學系] 學位論文
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