總體經濟對公債殖利率影響之實證探討

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/95200

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Title:	總體經濟對公債殖利率影響之實證探討
Authors:	黃柏舜;Huang, Bo-Shun
Contributors:	財務金融學系在職專班
Keywords:	殖利率曲線;總體經濟;公債殖利率;Yield Curve;macroeconomic factors;U.S. treasury yield
Date:	2024-07-19
Issue Date:	2024-10-09 16:25:03 (UTC+8)
Publisher:	國立中央大學
Abstract:	本研究嘗試探討月度頻率下，各項總體經濟如何影響短、中、長期公債券殖利率，為此，選取了五個重要的總體市場變數：「美國失業率」、「美國製造業採購經理人指數」、「美國核心消費者指數」、「 VIX 波動率指數」、「標普 500 指數報酬率」，藉由美國三個月、六個月、一年期、二年期、三年、五年、十年及二十與三十年的公債殖利率利用主成分分析法找出殖利率曲線「 Level 」、「 Slope 」及「 Curvature 」三因子後並研究各控制變數對於短、中、長期公債殖利率之變化。樣本取樣區間為 2014 年 1 月 1 日至 2023 年 12 月 31 日共 10 年 120 筆月資料，進行深入統計分析進行實證研究，結果發現，殖利率曲線三因子對於各天期公債殖利率之解釋力已達 99%，但若能加入總體經濟變數將會使得整體模型效果更佳，另外也發現對於短期殖利率變化解釋效果更為優秀，解釋能力隨天期變長而下降。;This empirical research attempts to explore how various macroeconomic factors affect short-term, medium-term, and long-term bond yields on a monthly frequency. For this purpose, five significant market variables were selected: "U.S. Unemployment Rate," "U.S. Manufacturing Purchasing Managers Index," "U.S. Core Consumer Index," "VIX Volatility Index," and "S&P 500 Index Returns". Using the principal component analysis to derive the "Level", "Slope", and "Curvature" of the yield curve from U.S. three- month, six-month, one-year, two-year, three-year, five-year, ten-year, and twenty and thirty-year bond yields, this study then examines how each control variable influences the changes in short-term, medium-term, and long- term bond yields. With a sample period from January 1, 2014 to December 31, 2023, comprising 120 monthly data points over ten years, an in-depth statistical analysis was conducted for this empirical research. The results revealed that the three factors of the yield curve can explain up to 99% of the yield of bonds of various periods. Yet, incorporating macroeconomic variables would improve the overall model significantly. Additionally, we discovered that the model explains the changes in short-term yields better, with its explanatory power decreasing as the term lengthens.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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