美國股市及十年期公債殖利率受通膨變化之影響研究-以美國為例

A study of the Impact of Changes in Inflation on U.S. Stock Markets and 10-year Treasury Yields -Take the United States as an Example

吳華德(Hua-Te Wu)

指導教授 ： 聶建中

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2022年)

https://doi.org/10.6846/TKU.2022.00833

摘要

本研究採用Granger and Teräsvirta (1993)和Teräsvirta (1994)所提出的平滑移轉迴歸模型，自非線性(non-linear)的角度切入探討通貨膨脹率不同之區間裡，失業率、美元指數對於標普500指數及十年期公債殖利率之影響探討。資料區間自2009年1月至2021年12月之月統計資料，每筆樣本皆有156筆觀察資料值。
本研究經實證得到模型為邏輯型平滑移轉迴歸(LSTR)函數模型，消費者物價指數對標普500指數在0.0486呈現為顯著門檻值。觀察分析發現消費者物價指數、美元指數及失業率對標普500指數小於門檻值或大於門檻值時，都出現顯著的影響效果，十年期公債殖利率之對標普500指數則皆呈現不顯著影響。更進一步分析得到，發現無論在何種消費者物價指數下，消費者物價指數及美元指數正向衝擊標普500指數，十年期公債殖利率則得到不一樣結果，無論在何種消費者物價指數下，對標普500指數呈現負向衝擊之影響。最後，失業率則出現對消費者物價指數在不同區間下之對於標普500指數之不同衝擊影響結果，當消費者物價指數數值小於門檻值0. 0486時，失業率對於標普500指數呈現負向影響，但當大於該門檻數值時，則呈現出正向之衝擊影響。
參數估計之所得結果發現，消費者物價指數對十年期公債殖利率在0.02呈現為顯著門檻值，進一步觀察分析，發現消費者物價指數及美元指數對十年期公債殖利率小於門檻值或大於門檻值時，都將出現顯著的影響效果，標普500指數及失業率之對十年期公債殖利率則皆呈現不顯著影響。研究進一步分析得到，發現無論在何種消費者物價指數下，美元指數正向衝擊十年期公債殖利率，標普500指數及消費者物價指數率則相反的出現無論在何種消費者物價指數下，對十年期公債殖利率呈現負向衝擊之影響。最後，失業率則出現對消費者物價指數在不同區間下之對十年期公債殖利率之不同衝擊影響結果，當消費者物價指數數值小於門檻值0. 02時，失業率對於標普500指數呈現負向影響，但當大於該門檻數值時，則多呈現出正向之衝擊影響。

關鍵字

消費者物價指數 ； 失業率 ； 美元指數 ； 標普500指數 ； 十年期公債殖利率 ； 平滑移轉迴歸模型

並列摘要

This paper applies the non-linear methodology of smooth transition autoregressive model (STAR) elaborated by Granger and Teräsvirta (1993) and Teräsvirta (1994) to investigate in different ranges of inflation rates, how the unemployment rate and the dollar index are for the S P 500Discussion on the impact of index and 10-year Treasury yields. Data range from January 2009 to December 2021 monthly statistics, each sample has 156 observations.
The study first empirically obtained that the model is a logical smooth transfer regression (LSTR) function model. The CPI is a significant threshold of 0.0486 against the S P 500. Observe the analysis further, discover the CPI、US dollar index and unemployment rate to S P500 less than threshold value or greater than thresholds have a significant effect when they are valued, both have a significant effect. The 10-year Treasury yield showed no significant impact on the S P 500 index. Further analysis of the study yielded, it was found that the CPI and US dollar Index positively impacted the S P 500, regardless of the CPI. The 10-year Treasury yield is the opposite of the negative impact of the S P 500 under the CPI. Finally, the unemployment rate has different effects on the impact of the consumer price index on the S P 500 at different intervals. When the CPI value is less than the threshold value of 0.486, the unemployment rate had a negative impact on the S P 500. When the threshold value is greater, there is a positive impact effect.
The result of the parameter estimation is found. The consumer price index presents a significant threshold of 0.02 for the 10-year Treasury yield. Observe the analysis further. Both the CPI and the US dollar index will be found to have a significant impact on the yield of the 10-year Treasury note when it is less than or above the threshold. Neither the S P 500 nor the unemployment rate had a significant impact on the 10-year Treasury yield. Further analysis of the study yielded. It was found that the dollar index was positively impacting the ten-year Treasury yield regardless of the consumer price index. The S P 500 index and the consumer price index rate on the contrary have a negative impact on the yield of 10-year Treasury bonds, regardless of the CPI. At last, the unemployment rate has the effect of different impacts on the consumer price index at different intervals on the yield of ten-year Treasury bonds. When the CPI value is less than the threshold value of 0.02, the unemployment rate had a negative impact on the S P 500. However, when it is greater than the threshold value, it mostly shows a positive impact.

並列關鍵字

Consumer Price Index ； Unemployment Rate ； U.S. Dollar Index ； S P 500 Index ； 10-year Treasury yields ； Smooth Transition Regression model

參考文獻

中文文獻

林主恩、林曉伶(2020)，“貨幣政策對公債殖利率曲線之影響”，財團法人台北外匯市場發展基金會-專題研究,頁1-19。

英文文獻

Agnieszka M., Chomicz Grabowska and Orłowski1, Lucjan T. (2020), “Financial Market Risk and Macroeconomic Stability Variables: Dynamic Interactions and Feedback Effects”, Journal of Economics and Finance,44(4), pp.655-669.

Ahmad, Muhammad Ishfaq; Naseem, Muhammad Akram; Farooq, Mian Muhammad and ur Rehman, Ramiz (2011), “The Impact of High Inflation on Stock Market Returns in Pakistan”, Journal of Business Strategies,5(2), pp.55-61.