國際股市、債市與景氣循環關聯性之研究－狀態空間模型之應用

A Study of Relationship between International Stock Market, Bond Market and Business Cycles-An Application of State Space Model

10.6736/JPSR.200706_4(1).0004

何文榮(Wen-Rong Jerry Ho)；簡靜如(Ching-Ju Chien)

債券市場 ； 歐元區 ； 景氣循環 ； 共整合 ； 因果關係 ； 向量誤差修正模型 ； 狀態空間模型 ； Bond Market ； Euro-area ； Business Cycles ； Cointegration ； Vector Error Correction Model ； Granger Causality test ； State Space Model

績效與策略研究

4卷1期（2007 / 06 / 01）

71 - 92

繁體中文

本研究運用共整合分析、向量誤差修正模型及狀態空間模型等多項時間序列研究方法針對國際股市、債市與景氣循環間之動態關聯性進行實證分析。研究結果發現：一、藉由長期均衡關係分析得知，在台灣與歐元區金融市場中皆呈現不具有共整合關係存在，這表示台灣與歐元區金融市場間並沒有長期穩定的關係存在；而在美國金融市場中則顯示具有共整合關係存在。二、藉由短期互動關係得知，(1)美國金融市場之中，美國股市單向領先美國公債，而且美國股市與美國景氣呈現雙向回饋之關係。(2)歐元區金融市場之中，歐元區景氣單向領先歐元區公債，而歐元區股市與歐元區景氣呈現雙向回饋之關係。(3)台灣金融市場之中，台灣景氣影響台灣公債，亦即台灣景氣領先台灣公債。由此發現可知，投資者無論於何種經濟區域皆可藉由債市指標推測景氣指標。

This paper is using cointegration Vector Error Correction Model and State Space Model techniques to investigate the lead-lag, relationship linkage between International Stock Market, Bond Market and Business Cycles. The findings of this study include: first, there is no obvious cointegration relationship on both Taiwan financial market and Euro-area financial markets. But there exists cointegration relationship on American financial market. Second, (1) the short term interrelationships of American financial markets indicates that American Stock Market leads the American bond market. American Stock Market and American business cycle demonstrate reciprocal feedback relationship. (2) The short term interrelationships of Euro-area financial markets reveal that Euro-area business cycle leads Euro-area bond market. Euro-area Stock Market and Euro-area Business exhibit reciprocal feedback relationship. (3) The short term interrelationships of Taiwan financial market expose that Taiwan business cycle leads the Taiwan bond market.

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