長短期利率變動的不對稱性探討及利差與總體經濟的互動

Studies on the Asymmetry Adjustment Procedure for Short- and Long-Term Interest Rates, and the Interaction between Spread and the Macroeconomy

郭保蘭(Pao-Lan Kuo)

指導教授 ： 邱建良

共同指導教授 ： 張倉耀(Tsangyao Chang)

淡江大學/商管學院/財務金融學系博士班/博士(2020年)

https://doi.org/10.6846/TKU.2020.00297

摘要

短期利率為各國央行調控經濟的主要方式，貨幣政策決策者藉由調整短期利率及貨幣市場資金調控影響總體經濟，市場參與者因應貨幣政策之交易行為使市場利率產生變動，表達對於貨幣政策預期效果的看法，以及最終整體經濟成效的反饋。
此論文以檢定美、日兩國預期理論(Expectation Hypothesis)、利率期間結構的長期均衡關係，以及外在衝擊發生後兩國利率期間結構的調整模式作為開始，進而考量債券是金融市場重要的投資工具，期貨市場對現貨提供避險功能、槓桿效果(leverage effect)以及市場資訊(market wide information)的重要性不斷提升。我們重新檢視美國近年公債現貨市場與期貨市場價格發現的能力，並探討美國貨幣政策決策者最為重視的因子對於價格發現的影響。最後，主要國家央行非傳統的貨幣政策(unconventional monetary policy)可能改變了市場參與者的信心，也扭曲了金融資產的價格，使得其他研究發現長短期利差可能失去對景氣預測的能力。我們在論文的最終部分，嘗試探討美國利差與經濟變數間領先指標與同時指標的互動，試圖發現不同於利差，在不同的時域和頻域之下，更能預測景氣之經濟變數，冀能做為市場參與者與政策制定者的重要參考。

關鍵字

貨幣市場利率 ； 非傳統貨幣政策 ； 利差

並列摘要

The short-term rate is one of the most important prices, a key manipulation and policy transmission tool used by monetary authorities. Through the transmission channels, money market rates decline promptly, and the long-term rate may follow and then increase through expectations of economic improvement. This study examines the long-run dynamic adjustment between the BOJ and the Fed’s main monetary market rates and their respective treasury yields, and when exogenous shocks happen how the reactions of the interest rates in the two countries react. In response to the exogenous shocks, there is symmetric adjustment between the two Japanese interest rates, whereas an asymmetric revision occurs in the US. Then, we revisit the competition in price discovery between 10-Year treasury bonds and their future prices from the US. We find that when a FOMC announcement is released, the futures market gains information, and that surprises in both the core price indexes and the employment market raise the price discovery ability of futures. At last, as to the failing expectation contribution of macroeconomic outlook of treasury spreads, we explore the dynamic relationship between the treasury spreads and macroeconomic variables in the US across time and frequency scales, providing a further explanation for previous studies and suggest that investors and monetary policy decisionmakers link their strategies to macroeconomic factors.

並列關鍵字

money market rates ； unconventional monetary policy ； spread

參考文獻

PART Ⅰ

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