殖利率利差與景氣預測—以台灣與韓國為例

Forecasting business cycles by yield spread: Cases of Taiwan and Korea

袁則銘(Tse-Ming Yuan)

指導教授 ： 高一誠

中原大學/商學院/企業管理研究所/碩士(2016年)

https://doi.org/10.6840/cycu201600541

摘要

殖利率曲線型態與經濟景氣間的關聯，一直是學者們感興趣之議題。以往的相關研究多取材與應用於西方先進國家，本文則將研究對象轉換為公債市場發展程度相對較為落後的東亞國家經濟體。台灣與韓國擁有相似的經濟發展歷史，且同以出口導向為主；本研究採用線性迴歸法與Probit模型，首先以台、韓兩國十年期公債殖利率減去金融業隔拆利率所得之利差作為單一自變數，探討其與各項景氣指標的相關性；隨後於模型中同時使用多個落後期利差作為自變數，再進行輔助說明。實證結果呈現利差對於台、韓兩國未來GDP成長率與經濟衰退有較好的預測能力；而預測失業增長率時，較容易因國情差異而產生偏誤。

關鍵字

殖利率曲線 ； 利差 ； 景氣預測

並列摘要

The relation between yield curve pattern and business cycle is always an interesting issue to economic scholars. Related researches in the past were mostly in adapted with fully-developed Western countries, yet this thesis focuses on the analyses of the yield and business cycle of Taiwan and South Korea, some less developed East Asian countries. Taiwan and South Korea have similar economic history and are both export-oriented. This thesis adopts linear regression and Probit model to discuss the relation of both countries’ business cycles to their respected term spreads of 10-year bond yields and the overnight rates. Multiple lagging terms are also used in defining term spreads in order to further justify the analyses. The result of the analyses show that the projecting of the term spread is adequate to forecast GDP growth rate and recession for either country; however, in forecasting of non-employment growth rate, diverging results are shown at different countries.

並列關鍵字

Yield curve ； Term spread ； Business cycle forecasting

參考文獻

Fisher, I. (1896), “Appreciation and interest”, Publications of the American Economic Association, [Monographs], 11(4).

Bernard, H. and Gerlach, S. (1998), “Does the Term Structure Predict Recessions? The International Evidence.”International Journal of Finance and Economics, 3, 195-215.

Culbertson, J. M. (1957), “The Term Structure of Interest Rates”, Quarterly Journal of Economics, 485-517.

Dotsey, M. (1998), “The Predictive Content of the Interest Rate Term Spread for Future Economic Growth”, Federal Reserve Bank of Richmond Economic Quarterly, 84(3), 31-51.

Dueker, M. J. (1997), “Strengthening the Case for the Yield Curve as a Predictor of U.S. Recessions”, Federal Reserve Bank of St. Louis Review, 79, 41-51.