美國公債殖利率、股市預期益本比及黃金隱含報酬率之探討

Abstract

本研究以美國十年期公債殖利率、S&P500預期益本比以及黃金隱含報酬率之近30年的月資料，來探討三者在市場機制下的變動關係，其中債券與股票的部分，本研究採用Fed Model來探討。 而由於樣本屬於時間序列，因此本研究透過單根檢定及共整合檢定來探討變數間是否具有長期均衡關係，結果顯示美國十年期公債殖利率與S&P500預期益本比在1985年至2001年間具有共整合現象，而美國十年期公債殖利率與黃金隱含報酬率則在2005年7月至2014年底具有共整合現象。 在全球儲蓄過剩以及非傳統貨幣政策的背景下，Fed Model無法適用，不過隨著全球經常帳失衡的擴大，美國十年期公債殖利率轉向與黃金隱含報酬率呈現掛勾現象，此關係符合Dooley, Folkerts-Laudau & Garber提出的新興布列敦森林體制所隱含的意義。 最後，近年資料顯示全球儲蓄過剩的現象將因人口結構改變而消失，以及市場利率將正常化，未來Fed Model可能再度恢復其效力。

This paper we use thirty years monthly data of U.S. 10-year treasury yield, S&P 500 forward e/p and gold implied return to investigate the relationship among them. And, we use Fed model to explore the part of bond and stock. Because the sample belongs to the time series, we must use unit-root test and co- integrated test to investigate the existence of long-run equilibrium relationship between data. The results show that there is a co-integrated relationship between U.S. 10-year treasury yield and S&P 500 forward e/p in 1985-2001, and there is a co- integrated relationship between U.S. 10-year treasury yield and gold implied return in 2005.7-2014. Under the background of global economic imbalances and untraditional monetary policy, Fed model doesn’t work. However, with the expansion of global imbalances, the U.S. 10-year treasury rate turn to co-move with gold implied return. This relationship is consistent with the implied meanings of Revived Bretton Woods system which is proposed by Dooley, Folkerts-Laudau & Garber. Finally, due to the change of Demographic, the recent reports show the phenomenon of global saving glut will disappear, and policy rates will normalize. We think there will be a Revived Fed Model in the future.