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    题名: 股市與房價期限結構關係之研究
    Term Structure Relation Between Stock Market and House Price
    作者: 簡仕承
    Chine, Shih-Cheng
    贡献者: 郭維裕
    Kuo, Wei-Yu
    簡仕承
    Chine, Shih-Cheng
    关键词: 單根
    共整合
    向量自我迴歸
    向量誤差修正模型
    Unit root
    Cointegration
    Vector autoregression
    Vector error correction model
    日期: 2018
    上传时间: 2018-09-03 15:46:47 (UTC+8)
    摘要: 本研究考察了美國三大宏觀經濟變量、股票指數以及標準普爾500股票市場的股息收益率之間的關係。本文所分析的總體經濟變量是國債、國庫券和 Case-Shiller 房價指數，從1990年4月到2016年12月進行月度觀察。本文采用的方法包含幾種著名的統計方法，如協整檢驗，向量自我迴歸和向量誤差修正模型。 在過去幾次經濟研究中，結果支持了總體經濟變量與股票市場指數之間長期均衡關係的存在。 基於過去的研究基礎上，本研究將住房價格作為解釋變量，試圖加強實證結果。
    This study examines the relationship between three US macroeconomic variables, stock index and the dividend yield of S&P 500 Stock Market. The macroeconomic variables analyzed are Treasury Bond, Treasury Bill and Standard & Poor`s Case–Shiller Nominal Home Price Index, with monthly observations from April 1990 through December 2016. The approaches applied in this thesis contained several famous statistical methodologies, such as cointegration test, vector autoregression, and vector error correction model. In several past economic researches, the results support the existence of long-run equilibrium relationships between the macroeconomic variables and the stock market index. On the basis of past researches, the study here add housing price as a explaining variable, trying to strengthen the empirical result.
    參考文獻: Baum, A. and Moss, A. (2013), Are listed real estate stocks managed as part of the real estate allocation? EPRA.
    Brown S. and Dybvig, P. (1986), The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates, The Journal of Finance, No 3, 617-630.
    Campbell, J. and Shiller, R., Yield (1991), Spreads and Interest Rate Movements: A Bird`s Eye View, Review of Economic Studies, vol. 58, issue 3, 495-514.
    Campbell, J. and Viceira, L., The Term Structure of the Risk-Return Tradeoff, Financial Analysts Journal 61, 34-44.
    Chong, J., Miffre, J. and Stevenson, S. (2009). Conditional correlations and real estate investment trusts, Journal of Real Estate Portfolio Management, 15, 173–184.
    Culbertson, J. (1957), The Term Structure of Interest Rates, Quarterly Journal of Economics, 71, 485-517.
    Engle, R. and Granger, C. (1987), Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica, vol. 55, issue 2, 251-76.
    Fama, E.F. (1984), The Information in the Term Structure, Journal of Financial Economics, vol. 13, issue 4, 509-528.
    Granger, C. (1986), Developments in the Study of Cointegrated Economic Variables, Oxford Bulletin of Economics and Statistics, vol. 48, issue 3, 213-28.
    Hardouvelis, G. (1994), The term structure spread and future changes in long and short rates in the G7 countries: Is there a puzzle? Journal of Monetary Economics, vol. 33, issue 2, 255-283.
    Hudson-Wilson, S., Fabozzi F.J., and Gordon, J.(2003), Why Real Estate? The Journal of Portfolio Management, Special Real Estate Issue.
    Johansen, S. (1988), Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, vol. 12, issue 2-3, 231-254.
    Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration— With Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, vol. 52, issue 2, 169-210.
    Koch, P. and Rasche, R. (1988), An Examination of the Commerce Department Leading-Indicator Approach, Journal of Business & Economic Statistics, vol. 6, issue 2, 167-87.
    McCarthy, J. and Peach, R. (2004), Are home prices the next bubble? FRBNY Economic Policy Review, December, 1-17.
    Mishkin, F. (1988), The Information in the Term Structure: Some Further Results, NBER, Working Paper, No. 2575.
    Nelson, C.R., Plosser, C.I. (1982), Trends and random walks in macroeconomic time series, Journal of Monetary Economics, 10, 139-162.
    Perron, P. (1988), Trends and random walks in macroeconomic time series: Further evidence from a new approach, Journal of Economic Dynamics and Control, vol. 12, issue 2-3, 297-332.
    Poon, S. and Taylor, S.J. (1991), Macroeconomic Factors and the UK Stock Market, Journal of Business and Accounting, Vol. 18, No. 5, pp. 619-636.
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    105351040
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0105351040
    数据类型: thesis
    DOI: 10.6814/THE.NCCU.IB.034.2018.F06
    显示于类别:[國際經營與貿易學系 ] 學位論文

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