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    题名: 金融情勢指數在債券投資上的應用
    Application of financial conditions index on bond investment
    作者: 郭明玉
    贡献者: 李志宏
    郭明玉
    关键词: 金融情勢指數
    債券指數
    自我向量回歸模型
    日期: 2010
    上传时间: 2011-09-29 16:54:48 (UTC+8)
    摘要: 本研究旨在探討金融情勢指數與公債、投資等級公司債與非投資等級公司債之關係，藉此探討金融情勢指數應用於債券投資上的實用價值。在研究方法上利用時間序列模型中自我向量回歸模型(Vector Autoregressive Model, VAR)，以Granger因果檢定、衝擊反應函數模型與預測誤差變異分解模型作為分析。研究樣本為聯邦儲備銀行芝加哥分行全國金融情勢指數、聯邦儲備銀行芝加哥分行調整後全國金融情勢指數、彭博金融情勢指數以及美林-美國銀行公債指數報酬率、美林-美國銀行投資等級債券指數報酬率與美林-美國銀行高收益投資債券指數報酬率，研究期間涵蓋1994年7月1日至2011年5月27日之周頻率資料。經實證研究分析後，獲得以下幾點結論：

    1.彭博金融情勢指數具有領先公債指數報酬率之單向因果關係；全國金融情勢指數與調整後全國金融情勢指數與公債指數報酬率互為獨立關係。彭博金融情勢指數、全國金融情勢指數以及調整後全國金融情勢指數與投資等級債券指數報酬率具有雙向回饋關係。全國金融情勢指數則與高收益債券指數報酬率具有雙向回饋關係。彭博金融情勢指數與調整後全國金融情勢指數皆無領先高收益債券指數報酬率的關係，但高收益債券指數報酬率則有領先前述兩者之單向因果關係。

    2.經Granger因果檢定與預測誤差變異分解模型綜合判斷，彭博金融情勢指數對於公債指數報酬率解釋能力優於全國金融情勢指數與調整後全國金融情勢指數。對於投資等級債券報酬率的解釋能力則以調整後全國金融情勢指數的解釋能力較佳。而高收益債券指數報酬率則以全國金融情勢指數的解釋能力最優。

    3.從衝擊反應函數模型得知，公債指數報酬率與彭博金融情勢指數為正向互動關係；投資等級債券指數報酬率與調整後全國金融情勢指數為負向互動關係；高收益債券指數報酬率與全國金融情勢指數亦為負向互動關係。公債指數報酬率與投資等級債券報酬率受到各項金融情勢指數衝擊後，最晚在4期內可回復均衡狀態，顯示公債市場與投資等級債券市場具有好的流動與效率性。高收益債券市場則因為市場流動性較低，需至6期時間才能回復均衡狀態。

    4.當彭博金融情勢指數顯示金融情勢不佳時，增持公債資產可望降低市場變動風險。當調整後全國金融情勢指數顯示金融情勢轉佳時，增加投資等級債券資產可望獲取較公債資產較佳報酬。當全國金融情勢指數顯示金融情勢寬鬆時，持有高收益債券之收益優於公債資產與投資等級債券資產。
    "謝辭 i
    論文摘要 ii
    目錄 iv
    表目錄 vi
    圖目錄 viii
    第一章 續論 1
    1.1 研究動機 1
    1.2 研究目的 2
    1.3 研究架構 4
    第二章 文獻回顧 5
    2.1 貨幣政策傳遞管道 5
    2.2 金融情勢指數 9
    2.3 金融循環與債券投資 13
    第三章 研究方法 15
    3.1 研究樣本 15
    3.2 實證方法 24
    第四章 實證結果與分析 29
    4.1 ADF單根檢定 29
    4.2 自我向量回歸模型 30
    第五章 結論與建議 55
    5.1 研究結論 55
    5.2 研究限制與建議 56
    參考文獻 57
    參考文獻: 英文部分
    Beaton K., Lalonde R., and Luu C. (2009), “A Financial Conditions Index for the United States”, International Economic Analysis Department, Bank of Canada
    Bernanke, B.S. and A. Blinder (1992), “The Federal Funds Rate and the Channels of Monetary Transmission,” American Economic Review, Vol. 82 (September), pp 901-21.
    Bernanke, B., Gertler, M. and Gilchrist, (1998), ‘The Financial Accelerator in a Quantitative Business Cycle Framework,” NBER Working Paper No. 6455.
    Bernanke, B., and Gertler, M. (1999), ‘Monetary Policy and Asset Price Volatility Federal Reserve Bank of Kansas City Economic Review,’ Fourth Quarter 1999, pp 17-51.
    Bevan, A., Garzarelli, F., (2000). “Corporate Bond Spreads and the Business Cycle,” Journal of Fixed Income, 9, 8–18.
    Brave S. and Butters R. A. (2011), “Monitoring Financial Stability: A Financial Conditions Index Approach,” Economic Perspectives 2011/1Q, Federal Reserve Bank of Chicago
    D’Antonio, P., Appendix, pages 26-28, in DiClemente, R. and Schoenholtz K. (2008), “A View of the U.S. Subprime Crisis,” EMA Special Report, September 26, 2008, Citigroup Global Markets Inc.
    Deutsche Bank (2007), Global Economic Perspectives, June 11.
    Dudley, William (1999), “The Goldman Sachs Financial Conditions Index: Still Accommodative After All These Years,” Goldman Sachs Global Economics Paper, No. 26.
    Dudley, W., and J. Hatzius (2000). “The Goldman Sachs Financial Conditions Index: The Right Tool for a New Monetary Policy Regime,” Global Economics Paper No. 44.
    Eika, N., Ericsson, R. and Nymoen, R. (1996), “Hazards in Implementing a monetary Conditions Index,” Board of Governors of the Federal Reserve System, International Finance Discussion Paper, No. 568.
    Ericsson, N., Jansen, E., Kerbeshian, N. and Nymoen, R. (1998), ‘Interpreting a Monetary Conditions Index in Economic Policy in: Bank for International Settlements,’ BIS Conference Papers Vol. 6.
    Estrella A. and Hardouvelis G. A. (1990), “Possible Roles of the Yield Curve in Monetary Analysis.” In Intermediate Targets and Indicators for Monetary Policy, Federal Reserve Bank of New York
    Estrella A. and Hardouvelis G. A. (1991), “The Term Structure as a Predictor of Real Economic Activity.” Journal of Finance 46, no. 2 (June)
    Estrella A. and MishkinF. S. (1995), “The Term Structure of Interest Rates and Its Role in Monetary Policy for the European Central Bank.” National Bureau of Economic Research Working Paper No. 5279, September
    Estrella A. and Mishkin F. (1996), “Predicting U.S. Recessions: Financial Variables as Leading Indicators.” Federal Reserve Bank of New York
    Research Paper no. 9609, May.
    Freedman, C. (1994), “The Use of Indicators and of the Monetary Conditions Index in Canada,” in Balino, T. J. T and Cottarelli C. (eds.) Frameworks for monetary stability：Policy Issues and Country Experiences, Chapter 18, 458-76., International Monetary Fund, Washington D. C.
    Freedman, C. (1995), “The Role of Monetary Conditions and the Monetary Conditions Index in the Conduct of Monetary Policy,” Bank of Canada Review, Autumn, 53-59.
    Gauthier, C., C. Graham, and Y. Liu (2004), “Financial Conditions Indexes for Canada,” Bank of Canada Working Paper 2004-22.
    Gertler, M. and Lown, C. S. (1999), “The Information in the High-Yield Bond Spread for the Business Cycle: Evidence and Some Implications,” NBER Working Papers No.7549
    Goodhart, C. and Hofmann, B. (2001), ‘Asset prices, Financial Conditions, and the Trasmission of Monetary Policy,’ Paper presented at the conference on Asset Prices, Exchange Rates and Monetary policy, Stanford University, march 2-3, 2001.
    Goodhart, C. and Hofmann, B. (2002), ‘Asset Price and the Conduct of Monetary Policy,’ unpublished Stanford University Paper.
    Goodhart, C. and Hofmann, B. (2003), ‘FCIs and Economic Activity: Some International Evidence,’ ZEI Working Paper ISSN 1436-6053.
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    International Review of Financial Analysis, Volume 11, Issue 2, 2002, Pages 219-227
    Guichard S. and Turner D. (2008), "Quantifying the Effect of Financial Conditions on US Activity," OECD Economics Department Working Papers No.635
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    pp 199-231.
    Montagnoli A. and Naplitano O. (2004), “Financial Conditions Index and Interest Rate Setting：A Comparative Analysis,” Girpe Discussion Paper. 04-2004.
    Rosenberg, M. (2009), “Financial Conditions Watch,” Bloomberg, December 2009
    Wei J.Z. (2003),“A Multi-Factor, Credit Migration Model for Sovereign and Corporate Debts,” Journal of International Money and Finance 22 (2003) 709–735
    Zhang, Z. (2002), “Corporate Bond Spreads and the Business Cycle,” Bank of Canada Working Paper No. 2002-15.
    中文部分
    徐千婷 (2001)，我國貨幣情勢指數之實證研究，《中央銀行季刊》，第二十三卷第一期，頁95-116。
    徐千婷 (2008)，我國金融情勢指數之實證研究，《中央銀行季刊》，第三十卷第三期，頁5-48
    蔡昇和(2004)，我國貨幣與金融情勢指標建立之可行性研究，中國文化大學經濟研究所碩士論文。
    描述: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    94932203
    99
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0094932203
    数据类型: thesis
    显示于类别:[經營管理碩士學程EMBA] 學位論文

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