- 學位論文
通貨膨脹和升息循環對債券市場之影響
The Impact of Inflation and Interest Rate Cycle on the Bond Market
摘要
近一年多來，由於新冠疫情(Covid-19)的持續，通貨膨脹的問題日益嚴重。鑑於過去的研究主要聚焦在通膨和股市的關係，甚少聚焦於通膨對債市之間的影響。本研究運用成熟市場和新興市場的20年縱橫資料(Panel data)，進一步探討通膨相關變數和兩年期債券殖利率，十年期債券殖利率和債券利差之間的關係。通過縱橫資料迴歸的三個模型來測試資料是否存在固定效果或者是隨機效果，最後選擇出最佳的研究模型。通過縱橫資料迴歸模型結果發現在升息循環下，兩年期和十年期債券殖利率上升並且存在固定效果。相反，在升息循環下，債券利差減小。同時，在高通貨膨脹的環境下一些優質的債券價值會被低估，建議投資人在投資債券時注意貨幣政策的變化，會增加獲利機會。此外，通過對比研究發現，所選擇之國家貨幣政策具有一致性，且會受到美國升息的外溢效果影響。並且我們也可以思考是否中國大陸之貨幣政策的變化在新興市場國家內部也逐漸產生外溢效果。
並列摘要
In the past year and a half, the issue of high inflation has garnered significant attention due to the lingering impact of the Covid-19 pandemic. Existing literature has predominantly explored the correlation between inflation and the stock market, but there is a dearth of studies investigating the impact of inflation on the bond market. This article examines the relationship between inflation variables and bond yields (specifically, 2-year and 10-year bond yields) as well as bond spreads. The study also incorporates interbank rates to account for the impact of rate hike cycles. In empirical study, the data consists of developed market and emerging market annual panel data during year 2002 to 2022. Using a panel data regression model, our study reveals that during rate hike cycles, both 2-year and 10-year bond yields tend to increase, after accounting for fixed effects. In contrast, rate hike cycles are associated with a contraction in bond spreads. Meanwhile, in an environment of high inflation, some excellent bond will be undervalued. Based on our findings, we suggest that investors should closely monitor changes in monetary policy, particularly rate hike cycles, and consider investing in bonds with longer maturities. Besides, we find that selected countries’ monetary policy are consistent, affected by the spillover effect of Fed monetary policy. And then, we might also think about whether the steady shift in monetary policy in mainland China is having an impact on other emerging market countries.