美國銀行債券價格的影響因素分析

NCUIR > School of Management at National Central University > Executive Master of Industrial Economics > Electronic Thesis & Dissertation > Item 987654321/74514

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/74514

Title:	美國銀行債券價格的影響因素分析
Authors:	吳榮傑;Wu, Rong-Jie
Contributors:	產業經濟研究所在職專班
Keywords:	債券;利率
Date:	2017-09-26
Issue Date:	2017-10-27 13:59:45 (UTC+8)
Publisher:	國立中央大學
Abstract:	債券是資產配置中重要的一部分，透過利率對債券價格影響的研究有助於投資者在升息預期的情況下修改投資策略，本研究樣本區間為2016年9月16日到2017年3月15日，採用向量自我迴歸模型的研究方法:因果關係檢定、衝擊反應函數和變異數分析來進行估計，研究結果可看出利率的非預期變動比其他變數更能影響債券價格，債券價格與利率走勢相反，而債券價格的波動程度和債券本身的剩餘年期是正相關的，因此在預期美國升息循環開始的情況之下，結論建議投資者應該調降債券的資產配置比重，偏好短天期債券勝於長天期債券。;The bond is an important part of the asset allocation. The study of the interest rate influencing on the bond price will help the investor to revise the investment strategy under the background of interest raising expectation. This study uses a sample interval between September 16, 2016 and March 15, 2017. We adopt the time-series analysis methods including: vector autoregression model, causality test, impulse response function and variance decomposition. The results show that the bond price changes caused by the unexpected changes in interest rates are more than those from other variables. Bond prices and interest rates move inversely. The variability in bond price and term to maturity are positively related. Under the situation of the United States interest rate rising that investor′s asset allocation should reduce the percentage of the bond and prefer to held short term bond than long term bond.
Appears in Collections:	[Executive Master of Industrial Economics] Electronic Thesis & Dissertation

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