美國公債殖利率高低對於投資組合績效的影響

The Impact of the U.S. Treasury Yields On Portfolio Performance

黃懷品(Huai-Pin Huang)

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.2022.00867

摘要

本研究採用Granger and Teräsvirta (1993)和Teräsvirta (1994)所提出的平滑移轉自我迴歸(Smooth Transition Autoregression, STAR)模型，進行美國公債殖利率不同高低區間，美國公債殖利率對於投資組合績效之影響探討。
研究發現模型設定為指數型平滑移轉自我迴歸(ESTAR)函數模型或對數型平滑移轉自我迴歸(LSTAR)，進一步發現新興市場債模型為LSTAR且有顯著門檻值，代表美國公債殖利率小於門檻值或大於門檻值將呈現不同表現，而成長型基金模型為ESTAR且有顯著門檻值，結果顯著代表美國公債殖利率在門檻值附近與遠離門檻值時將呈現不同表現，其餘在平衡型基金與高收益債基金則有門檻值但不顯著。研究最後發現美國公債殖利率對於新興市場債呈現顯著影響，而通膨對於平衡型基金、成長型基金、高收益債基金呈顯著影響。說明投資人在規劃投資組合配置時，若投資以美國為主，應當優先考慮當時美國通膨之情形。而若為新興市場，應考量美國公債殖利率。

關鍵字

美國公債殖利率 ； 基金 ； 投資組合 ； 平滑移轉自我回歸模型

並列摘要

This study employs the smooth transition autoregressive model elaborated by Granger and Teräsvirta (1993) and Teräsvirta (1994) to empirically investigate the impact of the U.S government bond yields on portfolio performance. Firstly, the result shows that the appropriate model should be the ESTAR model or the LSTAR model. Furthermore, the study finds that the emerging market bond fund is LSTAR model and threshold value is significant, which means that the U.S government bond yields is less than the threshold value or greater than the threshold value will show different performance. Besides, the study finds that the growth fund is ESTAR model and threshold value is significant,which indicates two regimes, around and depart from the threshold value.The rest in balanced funds and high-yield bond funds both have thresholds but not significant. Finally, the research shows the U.S. Treasury Yields have an impact on Emerging market bond fund. Moreover, Inflation have an impact on balanced mutual fund, high yield bond fund and growth fund. In conclusion, if the investors want to invest the U.S market, should refer to the inflation of the U.S. In addition, the investors should refer to the U.S treasury yields while they invest the emerging market.

並列關鍵字

U.S. Treasury Yield ； Mutual Fund ； Portfolio ； Smooth Transition Autoregression Model

參考文獻

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