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研究生:林庭毓
研究生(外文):Lin, Ting-Yu
論文名稱:債券收益線之行為
論文名稱(外文):The Behavior of Bond Yield Curve
指導教授:吳曼華吳曼華引用關係
指導教授(外文):Wu, Man-Hwa
口試委員:倪衍森李忠榮
口試委員(外文):Ni, Yen-SenLee, Chung-Jung
口試日期:2017-06-05
學位類別:碩士
校院名稱:銘傳大學
系所名稱:財務金融學系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2017
畢業學年度:105
語文別:中文
論文頁數:53
中文關鍵詞:債券收益利差信用利差經濟成長
外文關鍵詞:Bond Yield SpreadCredit SpreadEconomic Growth
相關次數:
  • 被引用被引用:2
  • 點閱點閱:295
  • 評分評分:
  • 下載下載:39
  • 收藏至我的研究室書目清單書目收藏:1
在古典經濟學的觀念,債券市場是資金供需的市場,債券利率代表借貸資金的價格,所以債券利率的變化就會反映借貸市場的供需。因此我們可以透過美國公債與公司債收益的變化,作為觀察當前各國金融或經濟情勢的重要指標。以往的文獻皆未將公司債券區分為投資級與投機級債券,且未同時使用公債(公司債)到期收益率利差、公司債收益之信用利差,以及公司債收益利差當作研究變數。而本研究將公司債分為投資級與投機級來作比較,進一步檢視債券到期收益率利差是否可以用來預測景氣循環、以公司債信用利差來預測經濟成長、以及應用公司債利差來預測股票市場的變動。實證結果顯示:當美國公債到期收益率利差變大,未來將有可能發生經濟衰退的現象。在美國道瓊工業指數呈現空頭情況下,投機級公司債利差的擴大將預測未來美國道瓊工業指數往下跌的機率越大。而投機級公司債信用利差相較投資級公司債信用利差更能預測未來的經濟成長,故投機級債券對經濟環境的反應敏感程度相較投資級債券來得敏感。
From the viewpoint of classical economics, the bond market is part of the capital market. The bond yield represents the price of loanable funds. Therefore, the bond yield curve reflects supply-demand phenomenon of loanable funds market. We can observe the financial or economy trends of all countries by applying the important indicator, such as the change of U.S. treasury bond yield and corporate bond yield. Most of studies don’t make a distinction between investment-grade and speculative-grade corporate bonds, and don’t use the spread of U.S. treasury or BBB-grade corporate bond yield, the credit spread of corporate bond yield, and the spread of corporate bond yield as research variables together. The study examines that if the yield spread can be used to as a predictor of recessions and if the credit spread can predict future economic growth. Additionally, we extend to study that if corporate yield curves can indeed predict future trends of stock market. Empirical results reveal as follows: When the spread of U.S. treasury bond yield increases, there will be a recession in the future. Under bear markets of the DJIA index, when the spread of speculative-grade corporate bond yield increases, the DJIA index will decline largely in the future. The credit spread of speculative-grade corporate bond yield has more predictive power than the credit spread of investment-grade corporate bond viewed as an indicator of future economic growth. Finally, we conclude that speculative-grade bonds are more sensitive than investment-grade bonds of economy.
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
第貳章 文獻探討 7
第一節 債券收益率與經濟活動之相關文獻 7
第二節 債券收益率與股票市場變化之相關文獻 12
第參章 研究方法 15
第一節 研究流程 15
第二節 樣本資料來源與期間 16
第三節 研究方法 18
第四節 實證模型 24
第肆章 實證結果與分析 26
第一節 樣本特性分析 26
第二節 單根檢定 28
第三節 ARCH效果檢定 30
第四節 債券收益率利差預測景氣循環 30
第五節 投資級與投機級公司債信用利差預測經濟成長 31
第六節 投資級與投機級公司債利差預測股票市場的變動 32
第伍章 結論 37
參考文獻 41
參考文獻
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