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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 洪茂蔚(Mao-Wei Hung) | |
| dc.contributor.author | Chen-Yen Hsu | en |
| dc.contributor.author | 徐鎮彥 | zh_TW |
| dc.date.accessioned | 2021-06-08T00:30:14Z | - |
| dc.date.copyright | 2013-07-08 | |
| dc.date.issued | 2013 | |
| dc.date.submitted | 2013-07-03 | |
| dc.identifier.citation | 國內文獻:
1.吳建緯(2009)，「次級房貸對於各信用市場與股市及匯市間之關聯性的影響」，臺灣大學國際企業學研究所碩士論文 2.周盈吟(2011)，「財務金融研究」，臺灣大學國際企業學研究所博士論文 3.周盈吟(2011)，「中華民國政府發行抗通膨債券的可行性分析」，中華經濟研究院研討論文系列100-2. 4.陳旭昇(2007)，「時間序列分析:總體經濟與財務之應用」，台灣東華書局股份有限公司 5.黃旭煇(2007)，「美國抗通膨國庫券殖利率與通貨膨脹之關聯性」，世新大學財務金融學研究所碩士論文 6.趙孟麗(2006)，「美國抗通膨公債 (TIPS) 交易策略之實證研究」，中央大學財務金融研究所碩士論文 國外文獻: 1.Brennan, M. J. and Xia, Y. H. (2002). Dynamic Asset Allocation under Inflation. Journal of Finance 57, 1201-1238. 2.Campbell, J. Y. and Viceira, L. M. (2001).Who Should Buy Long Term Bonds? American Economics Review 91, 99-127. 3.Chou, Y. Y. , Guo, J. H. and Hung, M. W. (2010). Pricing TIPS using an HJM model with stochastic volatility. working paper. 4.Dickey, D. A. and Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a Unit Root. Journal of the American Statistical Association 74, 427-431. 5.Dumas, Bernard and Bertrand Jacquillat (1990). The Money and Bond Markets in France: Segmentation vs. Integration. Journal of Banking and Finance14, 613-635. 6.Engle, R. F. and Granger, C. W. J. (1987). Cointegration and error correction: representation, estimation and testing. Econometrica 55, 251-276. 7.Fischer, S. (1975). The demand for index bonds. Journal of Political Economy 83 , 509-534. 8.Francis, E. L. and Daniel, P. K. (2003). Nominal Rates, Real Rate, and Expected Inflation: Results from a study of U.S. Treasury Inflation-Protected Securities. Review of Financial Economics 43, 405-417. 9.Francis, E. L. and Daniel, P. K. (2005).The Nominal Duration of TIPS Bonds. Review of Financial Economics 14, 47-60. 10.Garbade, K. and Wachtel, P. (1978). Time Variation in the Relationship between Inflation and Interest Rates. Journal of Monetary Economics 4, 755-765. 11.Granger, C. W. J. (1969). Investigating Causal Relations By Econometric Models And Cross-Spectral Methods. Econometrica 37, 424-438. 12.Granger, C. W. J. and Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics 2, 111-120. 13.Jaffe, J. F. and Mandelker, G. (1979). Inflation and The Holding Period Returns on Bonds. Journal of Financial and Quantitative Analysis 14, 959-979. 14.Jarrow, R. and Yildirim, Y. (2003). Pricing treasury inflation protected securities and related derivatives using an HJM model. Journal of Financial and Quantitative Analysis 38, 337-359. 15.Johansen, S. (1988), “Statistical analysis of cointrgrating vectors,” Journal of Economic Dynamics and control, 12, 231-254. 16.Johansen, S. (1991), “Estimation and Hypothesis testing of cointegration vectors in Gaussian vector autoregressive models,” Econometrica, 59, 1551-1580. 17.MacKinnon, J. G. (1996).Numerical Distribution Functions for Unit Root and Cointegration Tests. Journal of Applied Econometrics11, 601–618. 18.MacKinnon, J. G.,Haug, A. A. and Michelis L. (1999).Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration. Journal of Applied Econometrics 14, 563–577. 19.Palmon, O. and Parker, J. (1991).Inflation Uncertainty, Real Interest Rate Uncertainty and the Liquidity Premium on Government Bonds. The Financial Review 26, 459-477. 20.Richard C. S. and Subrahmanyam, M.G. (1981). Uncertain Inflation Exchange Rates and Bond Yields.Journal of Banking and Finance 5, 93-107. 21.Richard, R. (2004). Empirical TIPS. Financial Analysts Journal 60, 31-53. 22.Said, S. E. and Dickey, D. A. (1984).Testing for Unit Roots in Autoregressive Moving Average Models with Unknown Order. Biometrica 71, 599-607. 23.Theerathorn, P. (1983).The Risk Structure of Interest Rates. Northwestern University. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/17677 | - |
| dc.description.abstract | 近年油價高漲，能源價格攀高，通膨蠢蠢欲動，投資人紛紛尋找抵禦物價上揚的金融商品，在黃金、原物料及房地產投資之外究竟何種金融商品同樣具有此種對抗通膨的特性？
美國抗通膨債券不僅可以保有債券穩定收益的特性，還可以讓市場參與者的投資收益免於受到通膨的侵蝕。本文欲探討美國抗通膨債券殖利率與美國通貨膨脹率關聯性以及美國抗通膨債券殖利率與美國公債殖利率關聯性。 本研究選取美國抗通膨債券殖利率與美國公債殖利率，以及美國通貨膨脹率為研究對象，先對各變數作ADF單根檢定，確定皆為同階定態之後再作Johansen共整合檢定，檢查非定態時間序列是否存在共整合關係；再根據向量誤差修正模型(VECM)及Granger因果檢定探討變數間的長期、短期因果關係。 根據共整合檢定結果，各到期期限美國抗通膨殖利率和美國通貨膨脹率，具有長期均衡關係，且具相同到期期限美國抗通膨債券殖利率和美國公債殖利率也具有長期均衡關係。從Granger因果檢定及向量誤差修正模型結果可以發現各到期期限美國抗通膨債券殖利率對通貨膨脹率皆無因果關係；5年期及7年期美國抗通膨債券殖利率對相同到期期限之美國公債殖利率有單向領先關係；10年期及20年期美國抗通膨債券殖利率對相同到期期限之美國公債殖利率有雙向回饋關係。 | zh_TW |
| dc.description.abstract | Recently, the price of petroleum has been increasingly rising. The high price of energy and inflation leads to that all the investments pursue inflation-protected financial products. In addition to gold, raw materials and real estate, which have close relationship with price index, what financial commodities also have the same characteristics as them?
TIPS(Treasury Inflation-Protection Securities) not only has the feature of stable return, but also prevents investment income from market participants from being eroded by inflation. This paper investigates the correlation between TIPS bonds yield and inflation rate and the correlation between TIPS bonds yield and T-bill yield. We choose TIPS bonds yield, T-bill yield and U.S. inflation rate as variables. We adopt the ADF unit root test to exam if these variables were stationary. By Johansen co-integration analysis, we could exam if the co-integration exists. The VECM and Granger causality test are applied to study the relationship between TIPS bonds yield and inflation rate and the relationship between TIPS bonds yield and T-bill yield. Johansen co-integration test shows that there is a long-term co-integration relationship between all the TIPS bonds yield and inflation. Johansen co-integration test also shows that there is a long-term co-integration relationship between all the TIPS bonds yield and T-bill yield. The results from using the Granger causality test and VECM found out that all the TIPS bonds yield and inflation have no significant causality;5 years and 7 years TIPS bonds yield lead inflation rate; 10 years TIPS bonds yield and 10 years T-bill yield have the two-way feedback between them; 20 years TIPS bonds yield and 20 years T-bill yield have the two-way feedback between them. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T00:30:14Z (GMT). No. of bitstreams: 1 ntu-102-R00724053-1.pdf: 730989 bytes, checksum: d3130c2dc1d78a100f885007c88f782c (MD5) Previous issue date: 2013 | en |
| dc.description.tableofcontents | 誌謝 I
中文摘要 II 英文摘要 III 目錄 V 圖目錄 VII 表目錄 VIII 第一章 緒論 1 第一節 研究動機 1 第二節 研究目的 2 第三節 研究架構 3 第二章 文獻探討 4 第一節 國外文獻探討 4 第二節 國內文獻探討 7 第三章 研究方法 9 第一節 單根檢定 9 第二節 Johansen共整合檢定 11 第三節 Granger因果關係檢定 14 第四節 誤差修正模型 15 第四章 實證結果分析 16 第一節 實證資料介紹 16 第二節 基本統計分析 17 第三節 單根檢定 21 第四節 Johansen共整合檢定之實證結果 23 第五節 Granger因果關係檢定之實證結果 25 第六節 誤差修正模型 28 第五章 結論與建議 38 第一節 研究結論 38 第二節 建議 42 參考文獻 43 | |
| dc.language.iso | zh-TW | |
| dc.title | 美國抗通膨債券殖利率與通貨膨脹率及美國公債殖利率之關聯性 | zh_TW |
| dc.title | The Relationship between U.S.TIPS Bonds Yield, Inflation and T-bill Yield | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 101-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 邱琦倫(Chi-Lun Chiu),潘慈暉(Tzu-Hui Pan),許惠珠(Hui-Chu Hsu),張秀雲(Hsiu-Yun Chang) | |
| dc.subject.keyword | 抗通膨債券,美國公債,通貨膨脹率,單根檢定,共整合檢定,因果關係檢定,誤差修正模型, | zh_TW |
| dc.subject.keyword | TIPS,T-bill,Inflation Rate,Unit-root Test,Johansen Co-integration,Granger Causality Test,VECM, | en |
| dc.relation.page | 46 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2013-07-04 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
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