臺灣博碩士論文加值系統

本研究探討SARS以及Covid-19兩重大疫情下台灣總體經濟變數對台灣十年期公債殖利率與台灣加權指數報酬率的影響，樣本期間為2001年12月至2022年6月之季資料。透過OLS和QR分量迴歸分析，端看台灣總體經濟變數對於公債殖利率與加權指數報酬率間之領先指標為何。本文亦發現在一般的最小平方法下是很難以看出模型之顯著力，進而使用分量迴歸方式去做其檢驗。實證結果指出在重大疫情下，消費者物價指數有著顯著之影響力。
本研究為了解重大疫情下總體經濟變數是否影響台灣加權指數報酬率以及台灣公債殖利率，但因目前Covid-19疫情雖稍為趨緩，仍然尚未結束，若疫情結束後可做其更多之延伸，Covid-19影響小至國家大至全世界，每個國家也將面對疫情帶來的諸多挑戰，總體經濟變數可能影響的不止國民生產毛額成長率、消費者物價指數、貼現率、貨幣市場利率等，亦有可能受到匯率或是租稅等影響。

This paper examines the impact of Taiwan's macroeconomics economic variables on Taiwan's 10-year bond yield and Taiwan's weighted index return during the SARS and Covid-19 epidemics, with the sample period being the quarterly data from December 2001 to June 2022. The OLS and QR regressions are used to examine the leading indicators of the impact of macroeconomics economic variables on the return on the bond yield and the return on the weighted index. This paper also finds that it is difficult to see the significant power of the model under the normal least square approach, and then uses the quantile regression approach to test it. The empirical results indicate that the CPI has a significant effect in major epidemics.
In this paper, want to understand whether the total economic variables affect the return on the weighted index of Taiwan and the yield on Taiwan's public debt under a major epidemic. The total economic variables may affect not only the gross domestic product growth rate, consumer price index, discount rate, money market rate, but also the exchange rate and rent.

中文摘要 i
英文摘要 ii
誌謝 iii
目錄 iv
表目錄 v
圖目錄 vi
一、緒論 1
1.1研究背景與動機 1
1.2研究目的 2
1.3研究架構 3
貳、文獻探討 4
2.1總體經濟變數對加權指數報酬率公債殖利率的影響 4
2.2重大疫情下疫情下總體經濟對公債殖利率和股市報酬率的影響 4
2.3研究假說發展 5
參、研究方法 6
3.1變數定義 6
3.1.1國內生產毛額(GDP) 6
3.1.2短期貨幣市場利率(MMR) 6
3.1.3貼現率(DR) 7
3.1.4消費者物價指數(CPI) 7
3.1.5經濟成長率(EGR) 7
3.2總體經濟模型 7
3.2.1分量迴歸(QR) 8
肆、實證結果與分析 9
4.1敘述性統計與Spearman相關係數 10
4.2重大疫情下台灣總體經濟變數對於台灣股市與債市的預測 13
4.3用QR分量迴歸以重大疫情下台灣總體經濟變數對於台灣股市與債市的預測 16
伍、結論與限制 19
5.1結論 19
5.2建議 19
陸、參考文獻 20

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