利率期間結構與產能利用率對半導體股價之影響－ARDL與NARDL模型的滾動分析

本研究主要探討Fed升息和半導體產能利用率對股價的影響。Fed公開市場委員會預計在2022年上調聯邦基準利率，緊縮的貨幣政策反映了景氣週期的位置，同時利率變動影響借貸成本，進而影響企業的獲利和價值；此外，產能利用率能反應半導體業的週期，兩種週期的影響之下，一定程度的影響股票價格的回報。我們利用非線性自我迴歸分配遞延模型（NARDL）來分析殖利率曲線三主成分（水平、斜率、曲率）、半導體產能利用率和台積電股價的共整合和滾動長、短非對稱因果關係。本研究區間從1994年起到2021年底至少經歷4個升息週期和9個半導體週期，NARDL的滾動分析結果發現：在特定的景氣和半導體業週期區間，自變數（產能利用率和殖利率曲線三成分）上升、下降和台積電股價的長、短期有顯著的關聯性。

關鍵字

Fed升息；生產力趨勢；半導體產能利用率；殖利率曲線成分； NARDL

並列摘要

This study focuses on the effect of Fed rate hikes and semiconductor capacity utilization on Taiwan Semiconductor Manufacturing (TSM) stock price. The Fed Open Market Committee expects to raise the federal benchmark interest rate in 2022. A tight monetary policy implies peak of the cycle, while a high rate of interest on bank lending negatively affects the demand, which in turn affect corporate profitability and value. In addition, the semiconductor industry cycles were mainly caused by the industry overcapacity. Under the influence of the two cycles, it will affect the return of the stock price. We use Auto Regressive Distributed Lag and Nonlinear ARDL (NARDL) tests to analyze the co-integration and rolling causality of the principle components of the yield curve (level, slope, and curvature), semiconductor capacity utilization, and TSM stock price. The study used time series for the time period of 1994-2022. It has experienced at least 4 interest rate hike cycles and 9 manufacturing cycles. The rolling analysis of NARDL can discover the behavior of business cycles and stock prices in the semiconductor industry.

並列關鍵字

Fed rate hike ； productivity trends ； semiconductor capacity utilization ； decomposing the yield curve ； NARDL

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