聯邦公開市場委員會議利率決策對分析師遠近期資本支出預測值之影響

Effects of FOMC’s Interest Rate Decisions on Near- and Long-term Corporate Capital Expenditures as Perceived by Security Analysts

邱雅柔(Ya-Jeu Chiou)

指導教授 ： 林修葳

國立臺灣大學/管理學院/國際企業學研究所/碩士(2018年)

https://doi.org/10.6342/NTU201900199

摘要

本研究利用分析師發布之各期資本支出預測值測試其對美國聯邦公開市場委員會之利率決策的反應，藉此檢測利率政策衝擊對公司資本支出預測值的效果與分析師對該衝擊的反應適切度。利用分析師之資本支出預測值發布時點的及時性，取其在FOMC 年中例會與量化寬鬆政策前後的短窗期預測值差異代表企業因利率決策產生的投資決策變動，以實證研究降息是否能有效刺激投資，並測試分析師能否確實反應利率決策之影響。本文更進一步將利率政策分為升息、降息進行探討，並研究低利率水準時期是否對其衝擊效果產生影響，亦檢測不同公司特性如經濟壽命長短、累計折舊多寡以及不動產、廠房及設備成本比例等是否影響該類公司對利率政策的反應程度。實證結果顯示，所有年度期長之資本支出預測次數皆與FOMC 利率變動幅度呈現顯著正相關；然而，各期資本支出與利率變動值相關檢測則未達顯著水準；而分析師之預測誤差與升息呈現顯著負相關、與降息顯著正相關，顯示分析師傾向於對例會決策反應不足；低利率水準在升息期間對特定期長之預測值的衝擊效果會因此而減弱，而各公司特性對該類標的公司預測值之影響皆未達顯著水準。

關鍵字

分析師預測值 ； 資本支出 ； 分析師資本支出預測值 ； 利率政策衝擊 ； 利率 ； 投資 ； 聯準會 ； 聯邦公開市場委員會

並列摘要

This paper investigates the impact of interest rate decisions of the Federal Open Market Committee on analysts’ capital expenditures forecasts to measure the effect of those interest rate shocks on corporate investment decisions and how well analysts react to them. We use the change of forecast values between those announced before and after an interest rate decision to approximate for the change in firms’ investment decisions and regress them against the corresponding interest rate changes under the same decision. Moreover, we distinguish the impact of interest rate increase from that of decrease while conducting the empirical research. We also investigate the impact during low interest rate level periods, and the effects on different firm specific characteristics such as economic life, accumulated depreciation ratio as well as property, plant and equipment ratio. We find that forecast frequency is significantly correlated with the absolute change of interest rate, yet the result of regressing forecast revision against interest rate change is insignificant. In addition, we obtain significant result regarding the relation between analysts’ forecast error and interest rate change, showing that analysts tend to underreact to those interest rate shocks. Furthermore, the result shows that the impact of those decisions weakens to some extent during low interest rate periods, and that there is no sign of significant effects of firms’ characteristics on their investment responses to interest rate shocks.

並列關鍵字

Analysts’ Forecast Value ； Capital Expenditures ； Capital Expenditures Forecasts ； Interest Rate Policy Shocks ； Interest Rate ； Investments ； Federal Reserve ； FOMC

參考文獻

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