臺灣博碩士論文加值系統

聯邦模型（Fed Model）為一簡單股市報酬估計模型，認為股市之報酬率與政府十年期公債殖利率相近。本研究以此模型對亞太地區十個市場進行探討，並以反序累積平方和（Reversed Ordered Cusum squared，ROC）的方式偵測市場之結構變異，以做出更精確的預測與分析。所研究的市場包括澳洲、紐西蘭、日本、台灣、南韓、新加坡、香港、泰國、馬來西亞、以及菲律賓。我們得到的結論認為聯邦模型在澳洲、紐西蘭、日本、南韓、新加坡、及菲律賓的確有其效果存在，且在考量可能產生結構變異的時間點後，可使預測準確度提高。因此，我們可採用聯邦模型，做為資產在股市與債市間配置之參考工具。

The Fed Model indicates that the stock market returns are very close to the long-term government bond yields. This article examines the Fed model in 10 main Asia-Pacific markets- Australia, New Zealand, Japan, Taiwan, Korea, Singapore, Hong Kong, Thailand, Malaysia, and Philippine. The Reversed Ordered Cusum squared (ROC) test is used to detect the structural changes, and improve the out-of-sample forecasting results. We conclude that the Fed Model has some prediction power in these 10 markets, and can be considered as a useful dynamic asset allocation tool.

List of Figures
List of Tables
Acknowledgements
Abstract
1. Introduction
2. Data
3. Methodology
3.1 Regression
3.2 Reversed Ordered Cusum Squared (ROC) Structural Change Test
4. Empirical Result
4.1 Regression Result
4.2 ROC Structural Change Test and Out-of-sample Forecasting Result
5. Conclusion
References

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