疫情與量化寬鬆時期經濟變數對美國公債殖利率影響

本研究分為兩個部分，第一部分主要探討2012年後傳統經濟指數、股價指數和聯準會公債持有對美國十年期公債殖利率之相關性，第二部分我們將進一步探討在Covid-19疫情爆發後，在美國實施量化寬鬆的影響下，經濟指數、股價指數及聯準會公債持有對美國十年期公債殖利率之相關性是否改變。透過單根檢定與共整合檢定，發現變數間存在共整合關係，故我們使用項量誤差修正模型(VECM)進行資料分析。分析結果顯示，在2012到2021這段期間，美國十年期公債殖利率與WTI原油價格為顯著之正相關，且在疫情爆發後，受到美國實施量化寬鬆挽救經濟的影響， S P500指數對美國十年期公債殖利率相關性轉變為顯著正相關，而CPI月增率與聯準會公債持有對美國十年期公債殖利率之相關性則轉變為顯著負相關。

關鍵字

美國十年期公債殖利率； Covid-19 ；量化寬鬆；向量誤差修正模型；單根檢定；共整合檢定

並列摘要

This research is divided into two parts. The first part mainly discusses the effect on the yield rate of 10-year US Treasury bonds after 2012, regarding traditional economic indexes, stock price index and Fed treasury bond holdings. In the second part, we evaluate whether the stock price index, price index and Fed treasury bond holdings have changed their correlation with the yield of the 10-year U.S. Treasury bond during Covid-19 and Quantitative Easing. Through the single-root test and the co-integration test, it is found that there is a co-integration relationship between the variables, so we must use the VECM for data analysis. The results of the analysis show that during the period from 2012 to 2021, the yield of U.S. 10-year Treasury bond yield and WTI crude oil prices are significantly positively correlated. During Covid-19 and QE, the correlation between macroeconomic variables and U.S. 10-year Treasury bond yield has changed.