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系統識別號 U0002-1707201300302500
中文論文名稱 收益線對民生經濟變數的影響
英文論文名稱 The Effect of Yield Curve to the Variables Related to Livelihood
校院名稱 淡江大學
系所名稱(中) 管理科學學系碩士班
系所名稱(英) Master’s Program, Department of Management Sciences
學年度 101
學期 2
出版年 102
研究生中文姓名 鄭光凱
研究生英文姓名 Guang-Kai Cheng
學號 600620958
學位類別 碩士
語文別 中文
口試日期 2013-06-27
論文頁數 53頁
口試委員 指導教授-倪衍森
委員-李命志
委員-陳明麗
中文關鍵字 存放款利差  違約風險溢酬  到期期間風險溢酬 
英文關鍵字 loan-deposit spread  default risk premium  maturity risk premium 
學科別分類
中文摘要 由於金融海嘯與歐債危機,是以世界各國紛紛採行寬鬆的貨幣政策刺激經濟,進而提振就業率。然而除利率外,是否與利率有關之收益線所萃取的變數是否亦會影響通貨膨脹率、失業率、與一些重要的財經變數,為本研究探討的課題。
而本研究所萃取的三個與收益線有關的變數來探討其與上述民生經濟變數的關連性,透過本實證分析後,並有以下的幾項重要的研究發現:
1.通貨膨脹與失業率彼此之間存在顯著負相關,與菲利普曲線之通膨與失業率的關係相一致。
2.違約風險溢酬對失業率有正向影響,是以違約風險或存放款利差增加之際其亦顯示經濟不佳失業率提升的。
3.到期期間風險對失業率則有負向的影響,此可以肇因於資料取得不易,是以本研究以十年公債與五年公債殖利率差距為到期期間風險的代理變數,所以當不景氣時,投資人由於避險的考量,可能會比較青睞公債標的物,致使五年公債與十年公債的間的殖利率差距有限;此外在不景氣之際,油價與台股指數可能也不容易有漲升的空間。

英文摘要 Due to the financial tsunami and European debt crisis, a variety of countries stimulate the economy in order to enhance the employment rate by adopting loose monetary policy. Aside from the interest rate, we investigate whether the variables retrieved from the yield curve would affect the livelihood variables such as inflation rates, unemployment rates and other relevant economic variables.
In this study, we retrieve three variables with connection with the yield curve, including the loan-deposit spread, default risk premium, and maturity risk premium, and reveal several important finding as shown below.
1. Inflation and unemployment are significantly negative related each other consistent with the phenomena disclosed by the Phillips curve.
2. The default risk premium and loan-deposit spread have positive impacts on unemployment rate; whereas, the maturity risk premium has a negative impact on unemployment rate. We infer that default risk premium and loan-deposit spread would be enlarged while the economy is in recession.
3. The maturity risk premium has a negative impact on unemployment rate. Due to the difficulty of deriving the maturity risk premium , we therefore use the yield between 10-year government bonds and 5-year government bond as the proxy of the maturity risk premium. In fact, investors might prefer to invest the government bonds in recession,resulting in that the yield would be closer between the short-term and long-term government bonds. In addition, the oil price and stock index might not be easy to boost up as the economy is in recession.
論文目次 目錄
目錄 Ⅰ
表次 Ⅲ
圖次 Ⅳ
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究流程 5
第四節 研究架構 6
第二章 文獻探討 7
第一節 收益線的介紹 7
第二節 收益線與經濟景氣的關連性 9
第三節 收益線與其他經濟指標的關連性 13
第四節 收益線與通貨膨脹率、失業率的關連性 16
第三章 研究假說與方法 19
第一節 資料來源及研究變數 19
第二節 研究假說 22
第三節 研究模型建立 25
第四節 研究方法介紹 28
第四章 實證研究結果 30
第一節 敘述性統計量 30
第二節 實證模型一 33
第三節 實證模型二 38
第五章 結論 43
第一節 研究結論 43
第二節 投資管理意涵 46
第三節 研究建議 47
參考文獻 48

表目錄
表3-1變數對照表 25
表4-1模型各變數敘述統計量 30
表4-2收益線與其他攸關變數對通貨膨脹率的影響 33
表4-3工業生產指數對通貨膨脹的影響(2001-2004年) 34
表4-4收益線與其他攸關變數對失業率的影響 34
表4-5聯立方程式的實證結果 36
表4-6收益線所萃取的變數對民生經濟變數(通貨膨脹)的影響 38
表4-7收益線所萃取的變數對民生經濟變數(失業率)的影響 38
表4-8收益線所萃取的變數對民生經濟變數(台美匯率)的影響 39
表4-9收益線所萃取的變數對民生經濟變數(工業生產指數)的影響 40
表4-10收益線所萃取的變數對民生經濟變數(油價)的影響 40
表4-11收益線所萃取的變數對民生經濟變數(進出口貿易)的影響 41
表4-12收益線所萃取的變數對民生經濟變數(消費者信心指數)的影響 41
表4-13收益線所萃取的變數對民生經濟變數(台股股價指數)的影響 42

圖目錄
圖1-1 研究流程圖 5


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