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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 洪茂蔚 | zh_TW |
dc.contributor.advisor | Mao-Wei Hung | en |
dc.contributor.author | 王思翰 | zh_TW |
dc.contributor.author | Szu-Han Wang | en |
dc.date.accessioned | 2024-01-26T16:17:37Z | - |
dc.date.available | 2024-01-27 | - |
dc.date.copyright | 2024-01-26 | - |
dc.date.issued | 2023 | - |
dc.date.submitted | 2024-01-12 | - |
dc.identifier.citation | 林玄哲(民 103),S&P500 股價指數, 黃金價格, 石油價格對恐慌指數, 利率與美國公債長短期債券利差關係之研究,國立成功大學財務金融研究所碩士在職專班碩士論文。
翁嘉謙(民 103),探討美國政府長短期債券利差於次貸風暴前後期間預測美國經濟成長之解釋性,國立成功大學財務金融研究所碩士論文。 廖明德(民 108),長短期公債利差與景氣循環及股價指數漲跌關聯性研究─以美國市場為例,國立中興大學高階經理人碩士在職專班碩士學位論文。 Akaike, H. (1973). Maximum likelihood identification of Gaussian autoregressive moving average models. Biometrika, 60(2), 255-265. Beth, A. B. (2022). 10-Year/3-Month yield curve the latest domino to fall. S&P Global Economics. Engle, R. F., and Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: journal of the Econometric Society, 251-276. Estrella, A., & Hardouvelis, G. A. (1991). The term structure as a predictor of real economic activity. The journal of Finance, 46(2), 555-576. Granger, C. W. (1969). Investigating causal relations by econometric models and crossspectral methods. Econometrica, journal of the Econometric Society, 424-438. Haubrich, J. G. (2006). Does the yield curve signal recession? Federal Reserve Bank of Cleveland, 15. Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of economic dynamics and control, 12(2-3), 231-254. Marco, B. (2011). Corporate bond spreads and real activity in the euro Area least angle regression forecasting and the probability of the recession (ECB Working Paper Series No.1286). Michael, B., Paul, M., &Veronica, V. (2016). Bond spreads and economic activity in eight European economies. The Economic Journal, 126(58), 2257-2291. Said, S. E., and Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599-607. Schwarz, G. (1978). Estimating the dimension of a model. The annals of statistics, 461-464. Sims, C. A. (1980). Macroeconomics and reality. Econometrica: journal of the Econometric Society, 1-48. | - |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/91390 | - |
dc.description.abstract | 本研究以 10 年期 2 年期公債利差和 10 年期 3 個月期公債利差為主要研究對象,採用時間序列分析,探討公債長短期殖利率利差與景氣循環的關聯性。研究的國家範圍包括德國、法國、義大利、西班牙和希臘等五個歐元區國家。本文選擇這些國家的 GDP 以及整體歐元區的 GDP 作為景氣循環相關指標,而樣本期間則以上述歐元區國家開始統計其 GDP 至 2022 年底,並使用季資料進行分析。首先檢視利差和各國 GDP 之間的關聯性,然後進一步研究利差與整體歐元區 GDP的關聯性。透過向量自我迴歸模型、Granger 因果關係檢定和衝擊反應分析,結果顯示關注德國 10 年 3 個月公債利差和義大利 10 年 2 年公債利差的變動,可用於預測歐元區未來 GDP 的成長率,並觀察景氣循環的週期和方向。 | zh_TW |
dc.description.abstract | This study focuses on the 10-year/2-year government bond yield spread and the 10-year/3-month government bond yield spread as the main research variables. It employs time series analysis to examine the relationship between long-term and shortterm bond yield spreads and business cycles. The study includes five Eurozone countries: Germany, France, Italy, Spain, and Greece. GDP data for these countries are chosen as indicators of business cycles. The sample period starts from the available GDP data for the Eurozone countries until the end of 2022, and quarterly data are used for the analysis. The study first examines the relationship between the bond yield spreads and the GDP of each country, and then further investigates the relationship between the bond yield spreads and the overall Eurozone GDP. Through vector autoregression models, Granger causality tests, and impulse response analysis, the results show that monitoring the changes in the 10-year/3-month bond yield spread in Germany and the 10-year/2-year bond yield spread in Italy can be used to predict the future GDP growth rate of the Eurozone and observe the cycle and direction of the business cycle. | en |
dc.description.provenance | Submitted by admin ntu (admin@lib.ntu.edu.tw) on 2024-01-26T16:17:37Z No. of bitstreams: 0 | en |
dc.description.provenance | Made available in DSpace on 2024-01-26T16:17:37Z (GMT). No. of bitstreams: 0 | en |
dc.description.tableofcontents | 誌謝 I
中文摘要 II 英文摘要 III 目次 IV 表次 V 圖次 VI 一、 緒論 1 1.1 研究背景及動機 1 1.2 研究目的 2 1.3 研究流程與架構 3 二、 文獻回顧 5 三、 研究方法 6 3.1 單根檢定 6 3.2 最適落後期選取 7 3.3 共整合檢定 8 3.4 向量自我迴歸模型與向量誤差修正模型 8 3.5 Granger 因果關係檢定 9 3.6 衝擊反應分析 10 四、 實證結果與分析 11 4.1 變數與資料來源 11 4.2 敘述統計 13 4.3 單根與共整合檢定 13 4.4 向量自我迴歸模型與向量誤差修正模型 14 4.5 Granger 因果關係檢定 18 4.6 衝擊反應分析 18 五、 結論與建議 19 4.1 結論 19 4.2 建議 20 參考文獻 22 附錄 24 | - |
dc.language.iso | zh_TW | - |
dc.title | 長短期公債利差與景氣循環關聯性研究 -以歐元區市場為例 | zh_TW |
dc.title | The Relationship between Long-Term and Short-Term Government Bond Spreads and Business Cycles: Evidence from the Euro Area Market | en |
dc.type | Thesis | - |
dc.date.schoolyear | 112-1 | - |
dc.description.degree | 碩士 | - |
dc.contributor.oralexamcommittee | 蔡佳芬;蔡豐澤 | zh_TW |
dc.contributor.oralexamcommittee | Jia-Fen Tsai;Feng-Tze Tsai | en |
dc.subject.keyword | 10年期2年期公債利差,10年期3個月期公債利差,景氣循環,向量自我迴歸模型,Granger因果關係檢定,衝擊反應分析, | zh_TW |
dc.subject.keyword | 10-year/2-year government bond yield spread,10-year/3-month government bond yield spread,business cycles,vector autoregression models,Granger causality tests,impulse response analysis, | en |
dc.relation.page | 49 | - |
dc.identifier.doi | 10.6342/NTU202400053 | - |
dc.rights.note | 同意授權(限校園內公開) | - |
dc.date.accepted | 2024-01-15 | - |
dc.contributor.author-college | 管理學院 | - |
dc.contributor.author-dept | 國際企業學系 | - |
顯示於系所單位: | 國際企業學系 |
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