本研究旨在量化分析美國壽險業債券買賣行為、與外在總體經濟環境之間的互動關係，剖析外在總經環境與貨幣政策衝擊對壽險投資債券的比例影響，檢視壽險公司債券投資組合中投資級債券之配置比重,藉以觀察其在不同總經環境下對信用品質的偏好變化，實證檢驗壽險業的交易行為究竟具備穩定市場的特性，亦或助長市場波動。
本研究採用美國保險監理協會（NAIC）監理資料庫（Schedule D）中2014至2023 年美國壽險公司的債券部位年度資料，型態為面板數據（Panel Data） ，本研究透過 Hausman Test選擇使用隨機效果模型進行研究，同時也使用雙向固定效果模型，排除外界總經變數對於壽險公司投資債券的影響，以控制公司層級特徵與總體經濟變數。
實證結果顯示，壽險公司的債券佔總資產比在壽險公司的個別特徵中，受到投資級債券佔總債券比例、公司所在地區、短期債券比例、中長期債券比例等變因的影響，總經環境上則受到股價大盤變化、債券殖利率曲線走勢及 Fed宣告利率的影響；若單純觀察投資級債券佔總債券比例的影響，則該變數顯著受到該年度的淨資產、債券佔總資產比、短期債券以及股價大盤變化的影響。
本研究之貢獻在學術層面上，補足過往對壽險業交易行為與宏觀市場流動性、穩定性關聯的研究缺口；在實務層面上，研究結果可提供保險監理機關作為監理依據，並為資產配置部門與其他機構投資人提供極具價值的資金流向預測策略 。

This study quantitatively examines the relationship between the bond investment behavior of U.S. life insurance companies and the macroeconomic environment. It investigates how macroeconomic conditions and monetary policy shocks influence insurers’ bond portfolios by analyzing the proportion of investment-grade bonds, thereby exploring changes in credit quality preferences under different economic conditions and assessing whether insurers’ trading behavior stabilizes or amplifies market fluctuations.
The analysis is based on annual bond holding data of U.S. life insurance companies from 2014 to 2023 obtained from the National Association of Insurance Commissioners (NAIC) Schedule D database. The dataset is structured as panel data. The Hausman test is conducted, and a Two-Way Fixed Effects Model is additionally employed to control for firm-specific characteristics and time-specific macroeconomic factors.
The empirical results show that the ratio of bonds to total assets is significantly associated with the proportion of investment-grade bonds, company location, the proportions of short-term and medium- to long-term bonds, stock market performance, the bond yield curve, and the Federal Reserve’s policy interest rate. Furthermore, the proportion of investment-grade bonds is significantly influenced by net assets, the ratio of bonds to total assets, the proportion of short-term bonds, and stock market performance.
This study contributes to the literature by providing evidence on the relationship between life insurers’ trading behavior and macroeconomic factor. The findings also offer practical implications for insurance regulators and institutional investors in monitoring capital flows and formulating asset allocation strategies.

英文文獻:
Cai, F., Han, S., & Li, D. (2012). Institutional herding in the corporate bond market (International Finance Discussion Papers No. 1071). Board of Governors of the Federal Reserve System.
Chiang, C.-C., & Niehaus, G. (2019). Correlated trading by life insurers and its impact on bond prices. The Journal of Risk and Insurance, 87(1), 1-36.
Kim, K., & Li, X. (2025). Bond fund herding and corporate bond issuance. European Financial Management, 31(1), e12500. doi.org
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Paulson, A., & Rosen, R. (2016). The life insurance industry and systemic risk: A bond market perspective. Annual Review of Financial Economics, 8, 155-174.
Bonaccolto, G., Borri, N., Consiglio, A., & Di Giorgio, G. (2025). Systemic risk in the European insurance sector. arXiv. https://doi.org/10.48550/arXiv.2505.02635
Vaughan, T. (2012). Life insurance: Providing long-term stability in a volatile world. Risk Management and Insurance Review, 15(2), 255-261.

網路資料:
NAIC Securities Valuation Office、FRED Financial lndicators