政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/124129

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/124129

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政大典藏 > College of Commerce > Department of Finance > Theses > Item 140.119/124129

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/124129

Title:	長短期利差對股市空頭的預測能力–以2008後金融危機時代為例 Using yield curve to predict bear market-take 2008 post-financial crisis period as example
Authors:	沈揚智 Shen, Yang-Chih
Contributors:	李志宏沈揚智 Shen, Yang-Chih
Keywords:	利率期間結構殖利率曲線平坦景氣預測貨幣政策財政政策 Term Structure of Interest Rates Yield curve flatten Forecast of recession Monetary policy Fiscal Policy
Date:	2019
Issue Date:	2019-07-01 10:45:09 (UTC+8)
Abstract:	本文旨在透過長短期殖利率利差預測股市空頭，根據財務學的利率期間結構，長期利率隱含對未來經濟成長的預期，而短期利率則受央行貨幣政策影響，因此在過去的實證研究中，長短期利差的收斂可作為預測景氣衰退的領先指標。然而，關於長短期利差對景氣的預測能力並非一貫顯著，可能因國家的不同而有所差異，此外，央行貨幣政策的轉變也可能導致同一國家在不同時間有不同的預測能力。本文將以2008年後金融危機時代為例，在央行量化寬鬆造成市場結構轉變下，探討美國、歐元區（德國）、日本三大成熟市場殖利率利差對其股市空頭的預測能力。本文首先對單一期間利差（10年減3個月及10年減兩年）進行探討，發現德國的殖利率利差在歐元區實施量化寬鬆前對股市空頭具有預測能力，緊接著，考量到單一期間利差無法考量所有殖利率曲線的信息，本文試定義一利差收斂比率（Inversion Ratio）作為股市空頭預測，然而並沒有帶來額外的預測能力。最後，本文將探討除長短利差外，貨幣及財政政策在此期間對於市場扮演何種角色，本文發現當長短利差無法發揮預測能力之時，貨幣政策及財政政策對於股市空頭的機率具有解釋能力。 The main object of this paper is to predict the stock market recession by using the government yield spread. Based on the theory of Term Structure of Interest Rates, the long-term rate will be affected by economic growth, and the short-term rate is sensitive to the central bank’s monetary policy. Therefore, previous studies have shown that tightening yield spread can be indicated as a sign of economic recession. However, the predictive power of the yield spread is not always effective and may vary from country to country. Furthermore, monetary policy also result in different forecasting capabilities of the same country at different periods. This paper will take 2008 post-financial crisis period for example, as the market structure changing caused by Quantitative Easing policy. I will explore the forecasting ability of the three major mature markets in the US, the Eurozone (Germany) and Japan to predict the stock market recession. Our evidences show that Germany yield spread had the capability to forecast their stock market recession, but after the ECB implemented the QE policy, the predictive power was declined. Then, this paper try to define a “Inversion Ratio” which contain the information of the whole yield curve. However, I do not find additional information in the predictive power. Last, I also examine the effect of the fiscal and monetary policy. I find that monetary and fiscal policies have an explanatory power for stock market recession when yield spread fail to predict.
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Description:	碩士國立政治大學財務管理學系 106357023
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0106357023
Data Type:	thesis
DOI:	10.6814/NCCU201900134
Appears in Collections:	[Department of Finance] Theses

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