臺灣博碩士論文加值系統

美國聯準會雖然只是美國的中央銀行，但其利率動態卻會透過股市、債市、匯市表現而傳導到全球金融市場都會被影響，本研究則希望藉由聯準會利率變動對全球股市與商品市場影響的實證數字，來探討美國對全球影響力有何變化？並希望因此可洞燭機先，掌握趨勢，採取最適的投資決策！
本研究先以相關係數法驗證美國股市與全球股市具有正向相關，惟獨日本因結構性空頭所以跟其他股市相關性不高。接著，本研究再計算1990年以來的聯邦基金利率與股市之間的相關係數，結果發現係數雖為正值，但沒有顯著相關。於是，本研究再將聯邦基金利率拆成升息、降息及維持利率不變各種期間進行比較，結果發現：
(1)升息期間，通常股市也是表現不錯的時候，分析原因在於因為當時經濟景氣高度成長、內需暢旺、股市有較好的表現，因此才需要聯準會祭出降溫手段。
(2)降息期間時，股市普遍表現不佳，分析原因在於降息的決策通常是因為經濟凋零、內需疲弱、股市表現不佳，因此降息期間股市的累積漲幅並不會太優。
(3)貨幣政策中立期間，股市表現優異，尤其是聯準會降息後，營造資金寬鬆、低利率環境，刺激民間消費及企業投資，也就會帶動股市呈現欣欣向榮。
(4)升息期間，油價及路透社編製的彙整19種商品期貨價格指數平均漲幅最高，而且也嘉惠能源廠商股價表現；但在降息或貨幣政策中立期間則漲跌互見。
(5)最後，本研究再探討聯準會意外降息是否會造成驚喜，結論也是肯定的。
由這些實證結果，也可望提醒投資人，當聯準會降息到尾聲時，其實可以留意低接的投資機會；而聯準會意外降息或降息幅度超出預期時，投資人不必太過悲觀，反而應相信政策會積極作多挽救經濟，而可進場投資股市。

This research would like to study the influence that US has on the global market by proving the global stock and commodity markets are correlated to the Fed''s interest rate policy. Meanwhile, hope this research can help investors to evaluate the market trend and make appropriate investment decision.
we look into detail by examining the correlation between the US stock market and different periods of rate hike, rate cut and neutral, respectively. The results are :
(1) In rate hike period, normally, the US stock market performed well. It''s the time with economy booming at high growth rate and strong domestic demand that the Fed needs to take action, hiking rate, to cool down the market.
(2) In the rate cut period, the US stock market was not good. That is because the rate cut decision is normally adopted due to slowing down economy, weak domestic demand, and stock market underperformance. Thus, the accumulated performance won''t be too exciting during the rate cut period.
(3) In the neutral period, the stock market performed excellently. Especially at the time after Fed''s rate cut period, the stock market is booming due to the high liquidity and low interest rate environment, stimulating consumers spending and enterprises investment.
(4) In the rate hike period, the oil price and commodity index (comprised by Reuters by averaging19 different commodity future index) were at the best performance. Besides, it also benefited the energy related share price. However, in the rate cut or neutral period, they were up and down without clear trend.
(5) At the last, we further study the unexpected rate cut will surprise the market in upside.
Given the results of these examinations, it is a good timing to buy when it''s approaching the end of rate cut period. If the rate cut is unexpected or the extent is over expectation, investors shouldn''t be too pessimistic. Instead, they should believe the government will continuously introduce favorable policy to boost the economy and it is good timing to invest in stock market.

頁數
中文摘要 ……………………………………………………………… 1
英文摘要 ……………………………………………………………… 2
目錄 ……………………………………………………………… 3
表次 ……………………………………………………………… 4
圖次 ……………………………………………………………… 5

第一章 緒論 ………………………… 6
第一節 研究動機 ………………………… 6
第二節 研究目的 ………………………… 7

第二章 研究背景與文獻探討 ………………………… 7
第一節 研究背景 ………………………… 7
第二節 文獻探討 ………………………… 18

第三章 研究方法及結果 ………………………… 20
第一節 相關係數法 ………………………… 21
第二節 各利率循環期間之股市表現 ………………………… 22
第三節 各利率循環期間之商品市場表現 ………………………… 26
第四節 意外降息是否會造成驚喜 ………………………… 29

第四章 結論與建議 ………………………… 33
第一節 結論 ………………………… 33
第二節 建議 ………………………… 33

參考書目 ………………………… 35

(1)葛林斯潘，我們的新世界(林茂昌譯)，2007年9月
(2)陳君達、林恩詰、林福來，貨幣政策、公司規模與股票報酬，風險管理學報第八卷第二期，2006/7。
(3)沈中華、李建然顧問，台灣經濟新報文化事業公司事件研究法暨Ｂ模組使用操作手冊
(4)葉盛，中國證券報，「美國利率和大宗商品價格的“蹺蹺板”」，www.cnfol.com 2006/3/29。
(5)朱美智，剖析全球長期利率走低的因素，國際金融參考資料第五十二輯，2006/9。
(6)參考網站：聯準會官方網站　http://www.federalreserve.gov/pf/pf.htm
(7)IMF，World Economic Outlook，April 2008
(8)The decoupling debate : As America''s economy struggles to stay aloft, the developing world is learning to spread its wings, The Economist, March 6, 2008
(9)Monetary Policy and the Stock Market: Some Empirical Results, Remarks by Governor Ben S. Bernanke , At the Fall 2003 Banking and Finance Lecture, Widener University, Chester, Pennsylvania October 2, 2003; and London School of Economics Public Lecture, London, England, October 9, 2003