美國債市、股市、通貨膨脹率與利率走勢之互動關係

The Interactions among Bond Market, Stock Market, Inflation Rate and Interest Rate in the United States

翁子恩(Tzu-En Weng)

指導教授 ： 李存修

國立臺灣大學/管理學院/財務金融學研究所/碩士(2015年)

https://doi.org/10.6342/NTU.2015.01206

摘要

本研究利用單根檢定(Unit Root Test)、向量自我迴歸模型(Vector Autoregressive)與衝擊反應函數(Impulse Responses)，來檢驗S&P500指數月報酬率、美國投資級債指數月報酬率、高收益債指數月報酬率、公債指數月報酬率及消費者物價指數月增率的關聯性。本研究使用AIC、BIC及HQC選取最適落後期數，並將樣本期間切割為「升息期間」及「降息期間」，分別檢視各變數的相互影響關係。

以全樣本階段來看，S&P500指數前兩期(負向)、美國投資級債前一期(正向)都顯著影響當期美國投資級債月報酬率，也就是說當股市前兩期大跌時，資金將從股市流入投資級債市，使得當期投資級債市報酬率上升。除此之外，高收益債市前兩期暴跌，也會使得當期債券報酬率上升，隱含債券價格反應過度的情形。

以降息期間而言，投資級債指數及公債指數的前兩期的報酬率更容易影響當期消費者物價指數的月增率。顯示在降息期間時，景氣過熱的現象可以透過上述兩債券市場窺見一些端倪。此外，也可以發現前一期投資級債指數正向且顯著影響當期的投資級債指數、高收益債指數、公債指數。也就是說當投資級債市上漲時，所有債券市場也將會上漲，本研究認為這是因為此階段是利率非常低的時期，且維持了五年，故債券市場相互影響程度非常高所致。

以升息期間來看，可以發現消費者物價指數月增率對資本市場的影響較其他期間來的大。該變數影響的市場包含S&P500指數及高收益債指數。

關鍵字

股票市場 ； 債券市場 ； 升息 ； 降息 ； 消費者物價指數 ； 報酬率

並列摘要

In this paper, we use Unit Root Test, VAR model and Impulse Responses to examine the relationship between monthly return of S&P500 Index, investment grade bonds, high yield bonds, government bonds, and CPI. By leveraging AIC, BIC, and HQC method, we choose the best lag period. Then we divide whole sample interval into “Rate-Hike Period” and “Rate-Cut Period” to see how they affect each other.

In the full time interval, we find when stock market fell two periods ago, current investment grade bond market would surge. Besides, the situation is the same when it comes to high yield bond market. This implies bond market might me overreacted sometimes.

In terms of “Rate-Cut Period,” we might find overheated economy by examining either investment grade bond market or government bond market. In addition to that, in this time frame we also find that each sub-markets of bond markets interact with each other.

When it comes to “Rate-Hike Period,” we find that the importance of CPI increase largely. That is, how CPI influences other markets is stronger in this period than other period.

並列關鍵字

Stock Market ； Bond Market ； Rate Hike ； Rate Cut ； CPI ； Return

參考文獻

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