利率波動對國際股市報酬之不對稱性效果

Asymmetric Effect of Interest Rate Volatility of Stock Returns-Evidence from International Stock Market

蘇欣玫(Hsin-Mei Su) ； 鄒易凭(Yi-Pin Tzou) ； 邱建良(Chien-Liang Chiu)

《東吳經濟商學學報》 62期 (2008/09) Pp. 23-45

https://doi.org/10.29735/SJEB.200809.0002

摘要

本文探討貨幣政策對於股市報酬之影響，選取貨幣政策代理變數－金融業隔夜拆款利率在分別採用Component-GARCH-Constant Jump與ARJI-Trend模型，並同時考量報酬率呈現非常態之特性，因此採用偏態t分配(skewed student t-distribution)進行估計條件變異數的恆常與移轉部份及跳躍機率與跳躍頻率，以捕捉政府實施預期及非預期的貨幣政策對股市報酬的影響，分析在預期及非預期的貨幣政策衝擊下對股市的影響是否存在不同之效果。實證結論發現：條件變異數的恆常要素與短暫要素的確存在，顯示出預期的利率波動對股市報酬具某種程度的影響，而預期與非預期的貨幣政策對股票報酬在美國確實存在不對稱性效果。顯示預期貨幣政策的實施，對於股市報酬將產生影響並使投資人的投資行為產生變化。

關鍵字

金融業隔夜拆款利率 ； Component-GARCH-Constant Jump模型 ； ARJI-Trend模型 ； 不對稱性效果

並列摘要

This paper examines whether or not stock return responds asymmetrically to monetary policy shocks. We use over-night rate volatility to measure monetary policy and apply Component-GARCH-Constant Jump and ARJI-Trend model to capture expected and unexpected effects of government's monetary policy on the stock return in American, Canada, Japan, and Britain. Considering the non-normality features of these assets returns, this paper use skewed student t distribution to estimate the relationship between the permanent and transitory components of the conditional variance and the frequency and intensity of jump of stock return. The results indicate that both permanent and transitory components of the conditional variance really exist in the whole sample period. It is found that stock return responds more to expected government's monetary policy shocks than to unexpected shocks in American. Furthermore, it indicates that the monetary policy shocks have asymmetric effect on stock return and the expected monetary policies execute will affect stock return and change investor's investing behaviors.

並列關鍵字

Over-Nig4ht Rate ； Component-GARCH-Constant Jump ； ARJI-Trend Model ； Asymmetric Effect

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