Expected Inflation and Value at Risk—Multiple-Country Analysis

• Main Authors: Wu,Sheng-Tsung, 吳聲宗
• Other Authors: Guo, Wen-Chung
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/08757332739652845600

碩士 === 國立臺北大學 === 經濟學系 === 94 === VaR(Value at Risk) has already become a risk management tool which is important and basic recently, and there are many kinds of factor influencing stocks, including economic factor, political factor and psychological factor…etc. This thesis mainly probes into how expected inflation influences the VaR of the stock index, and the sample period is from 1996 to 2005. The Economist announces the forecasts of inflation rate, the economic growth rate and current account of % GDP for 15 countries of the OECD (Australia, Austria, Belgium, Canada, Denmark, France, Germany, Italy, Japan, Netherlands, Spain, Sweden, Switzerland, U.K. and U.S.A. ) in the first week of each month. By the least squares method and Panel Data fixed effect model, the thesis analyzes how the forecast of inflation influences the current VaR and the next period VaR which is calculated by two ways-the historical simulation and parameter estimation. Besides, this thesis also considers the effect of Bull Market and Bear Market. The regression result of historical simulation method suggests that the forecast of inflation apparently influences the VaR in some countries, including Australia, Belgium, France, Germany, Italy, Japan, Spain, Sweden, Switzerland and U.S.A. However, the results of Australia and Spain show that range of forecast of inflation has a positive effect on VaR. In addition, the forecast of the average of economic growth rate is negatively associated with the VaR in Netherlands, Spain and U.K., but is positively associated with the VaR in Australia, Italy, Japan. This thesis also analyzes the effect of stock market conditions. It shows that the market conditions apparently influence the VaR both in a bull market and a bear market in Australia and Spain. When the market is bull, the VaR is smaller in Australia and greater in Spain; when the market is bear, the VaR is greater in Australia and smaller in Spain.