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研究生:洪素美
研究生(外文):Su-Mei Hong
論文名稱:期間利差與經濟衰退之預測模型-理性預期假設之驗證
論文名稱(外文):Term Spread and Recession- The Application of Rational Expectation
指導教授:陳禮潭陳禮潭引用關係陳忠榮陳忠榮引用關係
指導教授(外文):Lii-Tarn ChenJong-Rong Chen
學位類別:碩士
校院名稱:國立中央大學
系所名稱:產業經濟研究所碩士在職專班
學門:商業及管理學門
學類:其他商業及管理學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:中文
論文頁數:59
中文關鍵詞:期間利差經濟衰退理性預期
外文關鍵詞:term spreadrational expectationterm structure
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經濟衰退一直是各國政府關心的議題,如果能夠事先預測到衰退發生的時間,貨幣當局才能透過調整貨幣政策工具,以避免衰退的發生。自1980年代起學者們陸續發現期間利差能夠顯著預測未來經濟活動,實證結果指出期間利差的預測內涵,不僅僅是含有短期貨幣政策的訊息,還包含巿場參與者對未來經濟情勢的預期。
本文引用Estrella and Hardouvelis(1991)提出之期間利差預測衰退的模型,以美國1960年第一季至2007年第一季樣本資料,探討期間利差預測衰退的能力。其中被解釋變數為美國經濟研究局(National Bureau of Economic Research)所公布之衰退時點,期間利差為十年期公債殖利率與三個月國庫券利率差距。接著分別於模型中加入聯邦基金利率(Federal Funds Rate)及通貨膨脹率,探討對模型預測能力的影響,本文實證結果再度證實期間利差模型極佳的預測能力。
然而,期間利差模型預測1990年-1991年景氣衰退失靈,使得相關學者們重新檢視期間利差模型的內涵,相關研究顯示期間利差模型預測經濟衰退仍有其顯著的表現。他們並且注意到1980年代起貨幣反應函數的改變,可能足以解釋期間利差模型預測能力下降的原因。
  本文接下來導入理性預期觀點,探討貨幣政策中無法預期的部分是否會影響期間利差模型的預測能力,以利驗證理性預期假說之正確性。實證結果顯示利用理性預期觀點得出之模型,其模型解釋能力的確較一般期間利差模型解釋能力佳,顯示理性預期假說之頑固性。
Recession is an import issue for the government . If a predictor provides significant signals prior to recessions, the monetary authority can use their operating instruments to prevent the episode of recessions. From the 1980s , research has shown that term spread help predict future real economic activity in the United States and in some other industrial countries. Researchers have offered two reasons for this empirical relationship. First , term spread may contain information about the short-term monetary policy. The other reason is that term spread reflects market expectations of future economic activity.
In this paper, we follow the paper of Estrella and Hardouvelis(1991)to predict recession. We use quarterly data from 1960:Q1 to 2007:Q1 in the United States to confirm and extend the conclusion . We use the data of recession dated by NBER as explained variable and the spread between the rate on the 10-year government bond and 3-month treasury bill rate as explanatory variable. Then we add the other independent variables such as federal funds rate and inflation rate. We want to examine the predictive content of model. The empirical result of the paper tells us that term spread also has prominent predictive power.

However, the more recent evidence shows that term spread have become less useful in recent years. In fact, term spread model failed to predict the episode of the 1990-1991 recession. Hence, many researchers reexamine the predictive content of term spread . The result is consistent with former research. The change of Federal reaction function from the 1980s may help explain the reason of declining predictive power of term spread model.
Finally, we channel into the idea of rational expectation to consider if the unexpected part of monetary policy could affect the predictive power of model. Furthermore, we test the robustness of rational expectation. Our research shows that term spread model bases on the theory of rational expectation is better than term spread model.
第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究架構 3
第二章 理論與實證文獻回顧 4
第一節 理論回顧 4
第二節 實證文獻回顧 10
第二章 研究方法 22
第一節 probit 模型 22
第二節 美國貨幣政策工具的演變 24
第四章 實證模型與實證分析 29
第一節 實證模型 29
第二節 實證結果與分析 31
第五章 結論與建議 36
第一節 結論 36
第二節 研究建議 37
附表 39
參考文獻 52
附錄 56
一、中文部分
洪士傑(2005),“貨幣政策、期間結構利差與實質產出成長之預測模型”,中央大學產業經濟研究所碩士論文。
二、英文部分
1.Ang, Andrew, Monika Piazzesi and Min Wei (2004), “What Does the Yield Curve Tell us about GDP Growth?,” mimeo, University of Chicago. Forthcoming, Journal of Econometrics.
2.Barro Robert J.(1977), “Unanticipated Money Growth and Unemployment in the United States, ” American Economic Review 67, No.2, pp.101-115.
3.Barro, Robert J., and Mark Rush(1980), “Unanticipated Money and Economic Activity, ” In Rational Expectations and Economic Policy, edited by Stanley Fischer. Chicago Press(for NBER).
4.Bernanke, Ben and Alan Blinder(1992), “The Federal Funds Rate and the Channels of Monetary Transmission, ” American Economic Review 82, No.4(Sept), pp.901-921.
5.Bernard Henri and Stefan Gerlach(1998), “Does the Term Structure Predict Recessions? The International Evidence,” International Journal of Finance and Economics Int. J Fin econ3, pp.195-215.
6.Bonser-Neal, Catherine, and Timothy R. Morley(1997),“Does the Yield Spread Predict Real Economic Activity? A Multicountry Analysis,” Federal Reserve Bank of Kansas City, Economic Review, Third Quarter.
7.Campbell, John Y. and Robert J. Shiller(1987), “Cointegration and Tests of Present Value Models, ” Journal of Political Economy 95(5),p.1062-1088.
8.Clarida, Richard, Jordi Gali and Mark Gertler, “Monetary Policy Rules and Macroeconomic Stability: Theory and Some Evidence, ” Quarterly Journal of Economics, Vol.115, No.1, February 2000, pp.147-180.
9.Dotsey, Michael(1998), “The Predictive Content of the Interest Rate Term Spread for Future Economic Growth, ” Federal Reserve Bank of Richmond Economic Quarterly, Summer 1998, Vol.84, No.3, pp.31-51
10.Dueker, Michhael J.(1997), “ Strengthening the Case for the Yield Curve as a Predictor of U.S. Recessions, ” Federal Reserve Bank of St.Louis Review, vol.79, March/ April, p.41-50.
11.Estrella , Arturo and Gikas A. Hardouvelis(1991),“The Term Structure as a Predictor of Real Economic Activity,” Journal of Finance, Vol. 46, No.2, p.555-576.
12.Estrella, Arturo and Frederic S. Mishkin(1995a), “ Predicting U.S recessions: Financial variables as leading indicators, ”NBER Working Paper 5379.
13.Estrella, Arturo and Frederic S. Mishkin(1995b), “ The term structure of interest rates and its role in monetary policy for European Central Bank, ” Working paper no.5279 (National Bureau of Economic Research, Cambridge, MA) Sept.
14.Estrella Arturo and Frederi S. Mishkin(1998), “ Predicting U.S. Recessions: Financial Variables as Leading Indicators, ” Review of Economics and Statistics, vol.80 (February 1998),p.45-61.
15.Evans Paul(1984), “The Effects on Output of Money Growth and Interest Rate Volatility in the United States, ” Journal of Political Economy 92, No.2, pp.204-222.
16.Favero Carlo A , Iryna Kaminska and Ulf Soderstorm(2005), “The Predictive Power of the Yield Spread:Further Evidence and a Structural Interpretation.” CEPR Discussion Paper No.4910
17.Feroli, Michael (2004), “Monetary Policy and the Information Content of the Yield Spread,” Topics in Macroeconomics 4 (1), Article 13.
18.Gavin William T., Benjamin D. Keen, and Michael R. Pakko(2005), “The Monetary Instrument Matters, ” Federal Reserve Bank of St. Louis Review (September/October),p.633-658.
19.Hamilton, James D. and Dong Heon Kim (2002), “A Reexamination of the Predictability of Economic Activity Using the Yield Spread.” Journal of Money, Credit, and Banking 34 (2), 340—360.
20.Harvey, Campbell R. (1988), “The Real Term Structure and Consumption Growth,” Journal of Monetary Economics 22, p.305-333.
21.Harvey, Campbell R. (1989), “Forecasts of economic growth from the bond and stock markets,” Financial Analysts Journal 45, p.38-45.
22.Haubrich, Joseph G., and Ann M. Dombrosky(1996), “Predicting real growth using the yield curve, ” Federal Reserve Bank of Cleveland, Economic Review, vol. 32( First Quarter), pp.26-35.
23.McCallum Bennett T. (1989), Monetary Economics:Theory and Policy. Macmillan Publishing Company, a division of Macmillan,
24.Mccallum Bennett T. and Edward Nelson(1999), “An Optimizing IS-LM Specification for Monetary Policy and Business Cycle Analysis, ” Journal of Money, Credit and Banking 31, No.3, Part 1, pp.296-316.
25.Muth, John F.(1961), “Rational Expectations and the Theory of Price Movements, ” Econometrica, 29(3), pp.315-335.
26.Plosser Charles I. and K. Geert Rouwenhorst(1994), “International Term Structures and Real Economic Growth,” Journal of Monetary Economics 33(January/ February),pp.133-155.
27.Stock, J.H. and M.W. Watson(1989), “New Indexes of Coincident and Leading Indicators,” NBER Macroeconomics Annual 4,pp.351-394.
28.Stock, J.H. and M.W. Watson(2003), “How did Leading Indicator Forecasts Perform during the 2001 Recessions?,” Federal Reserve Bank of Richmond Economic Quarterly 89(3),p.71.
29.Taylor, John B.(1993), “Discretion versus Policy Rules in Practice, ” Carnegie-Rochester Conference Series on Public Policy 39,p.195-214.
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