臺灣博碩士論文加值系統

本文研究泰德價差(TED Spread) 與證券市場指數之關係。泰德價差是三個月期美國國庫券利率與三個月期歐洲美元利率(倫敦同業拆放利率)之差異數，此價差代表的經濟意涵有二：其一，從投資人的角度思考，價差變大（小）時，隱含系統風險增加（減少）；其二，從公司理財的角度分析，價差變大（小）時，隱含公司籌措資金成本增加（減少）。
研究方法採用單根檢定、因果關係檢定、共整合檢定、誤差修正模型等方法以瞭解泰德價差(TED Spread)與證券市場指數之關係。實證結果顯示：以單根檢定發現除了泰德價差之外，皆存在單根的現象，一階差分後則成定態；以共整合檢定發現存在長期均衡的共整合關係；以因果關係檢定發現台灣發行量加權股價指數與泰德價差為單向關係，而MSCI全球指數、美國道瓊工業指數、英國FT100指數、日本日經225指數和泰德價差則為雙向回饋關係。

The purpose of the thesis is to investigate the relation between TED Spread, a measurement of systematic risk, and Security Index from 1997 to 2009.This research apply ADF Unit Root Test, Granger Causality Test, Error Correction Model and other statistical methods to figure out relation between TED Spread and Security Index.
Our empirical results show that on the relation between TED Spread and Security Index, both TED Spread and Security Index exist the long-run equilibrium relationship. By Granger Causality Test, we distinguish that there exists a unidirectional relationship on TED Spread and TWSE Index takes the lead. Moreover, there exists a feedback relationship between TED Spread and Dow Jones Industrial Average, Nikkei 225 Stock Index, MSCI All Country World Index, and Financial Times Ordinary Shares Index. We contribute to the literatures another measure to proxy the systematic risk which includes the risk from money system into capital markets.

摘要 Ⅰ
Abstract Ⅱ
誌謝 Ⅲ
目錄 Ⅳ
表目錄 Ⅵ
圖目錄 IV
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 5
第三節 研究流程 6
第四節 研究架構 7
第貳章 文獻探討 8
第一節 泰德價差 8
第二節 美國國庫券 9
第三節 歐洲美元 10
第四節 相關參考文獻 10



第參章 研究設計 13
第一節 研究樣本與資料來源 13
第二節 研究方法 13
第三節 單根檢定(Unit Root Test) 14
第四節 模型最適落後期數 15
第五節 因果關係檢定 16
第六節 共整合檢定 17
第七節 誤差修正模型(ECM) 18
第八節 向量自我迴歸(VAR) 19
第肆章 實證分析 21
第一節 敘述統計分析.. 21
第二節 單根檢定 .. 27
第三節 因果關係檢定.. 29
第四節 共整合檢定.. 31
第五節 誤差修正模型(ECM) .. 32
第伍章 結論與建議.. 38
參考文獻 41

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