期間利差、股票報酬與景氣循環關聯性之探討

Term Spread, Stock Return and Business Cycle

10.6365/HKER.200606.0069

邱建良(Chien-Liang Chiu)；姜淑美(Shu-Mei Chinag)；翁百郁(Pai-Yu Weng)

馬可夫轉換模型 ； 期間利差 ； 股票報酬 ； 景氣循環 ； Markov-switching model ； term spread ； stock return ； business circle

華岡經濟論叢

5卷2期（2006 / 06 / 01）

69 - 95

繁體中文

本研究應用馬可夫轉換模型進行分析暨比較美國、英國與法國之期間利差是否隱含未來經濟活動的訊息，以期能同時掌握景氣循環現象中總體變數的共同波動和波動狀態之持續性，並利用估計之模型進行預測，探討股價與景氣循環之關係。再者，本研究將景氣變動分為蕭條與繁榮兩個時期，分別探討其對股價變動的影響是否存在之不對稱性。實證究結果指出：美國、英國與法國各國之景氣明顯存在著繁榮與蕭條兩種狀態，期間利差與景氣成正相關；各國經濟成長與股票報酬率有顯著的正相關；當景氣處於繁榮時，股價上揚，景氣處於衰退時，股價下挫。而景氣的繁榮與蕭條對股票報酬率有顯著不同程度之影響。

This paper applies the Markov-switching model to examine if the term spread of the U.S., U.K. and France contain information on future economic activities in order to know well the common volatility and volatility persistence during business circle. Furthermore, we apply the estimated model to forecast and investigate the relation between stock price and business circle. Besides, we split the business circle into the recession and the bloom to explore whether their impact on stock price is asymmetric. Our empirical results find that there are two different economic conditions in the business cycle of the U.S., U.K. and France, and the relations are positive between the term spread and the business cycle. Moreover, the relation is positive between the economic growth and the stock return for these three countries. That is, the stock return is positive when the business circle is in boom; whilst it is negative in recession. The asymmetric effect of the business cycle does exist in our sample countries. In other words, the boom and the recession have different effect on the stock return.

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