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| 研究生： |
曾繁榮 Tseng, Fan Jung |
|---|---|
| 論文名稱： |
美國物價指數與利率變動對於股市與債市的影響 The Correlation Analysis of both U.S. CPI and short-term Interest Rate against U.S. Stock market and Bond market |
| 指導教授： |
陳松男
呂桔誠 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 經營管理碩士學程(EMBA) Executive Master of Business Administration(EMBA) |
| 論文出版年： | 2008 |
| 畢業學年度： | 96 |
| 語文別： | 中文 |
| 論文頁數： | 38 |
| 中文關鍵詞： | 單根檢定 、衝擊反應 、向量自我迴歸模型 |
| 相關次數： | 點閱：142 下載：46 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
本篇論文利用單根檢定(Unit Root Test)、向量自我迴歸模型(Vector Autoregression)與衝擊反應(Impulse Responses)，檢驗S&P500指數月報酬率、10年期公債月報酬率、消費者物價指數月增率與聯邦資金利率月增率的相關性，我們使用AIC與BIC選取向量自我迴歸最適落後期，最適落後期為落後兩期，S&P500受到其它變數影響並不顯著，10年期公債月報酬率除了受到本身前兩期的影響外，也受到S&P500指數月報酬率前一期的影響，而消費者物價指數月增率則受到本身影響，至於聯邦資金利率除受到本身前兩期的影響之外，也受到S&P500指數月報酬率前兩期與10年期公債月報酬率前一期的影響。
中文摘要 IV
目錄 V
表目錄 VI
圖目錄 VI
第一章 前言 1
第二章 文獻回顧 2
2.1 物價指數、股市與債市的相關性 2
2.2 利率、股市與債市的相關性 2
2.3 股市與債市的相關性 3
第三章 研究方法 4
3.1 單根檢定 (Unit Root Test) 4
3.1.1 Dickey Fuller(DF)檢定 4
3.1.2 Augmented Dickey-Fuller(ADF)檢定 5
3.1.3 Phillips-Perron(PP)檢定 6
3.2 向量自我迴歸 (Vector Autoregression, VAR)模型 6
3.3 衝擊反應函數(Impulse Response Function) 7
第四章 實證結果與分析 8
4.1 資料來源與處理 8
4.1.1 股票市場與債券市場的選取 8
4.1.2 總體經濟變數的選取—消費者物價指數與聯邦資金利率 9
4.2 敘述性統計 10
4.2.1 S&P500股價指數與10年期公債殖利率 10
4.2.2 S&P500股價指數月報酬率與10年期公債月報酬率 11
4.2.3 總體經濟變數 15
4.3 實證分析 18
4.3.1單根檢定 (Unit Root Test) 18
4.3.2 向量自我迴歸(Vector Autoregression, VAR)模型 19
4.3.3 衝擊反應 (Impulse Responses) 23
第五章 結論 30
參考文獻 31
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