The Impact of U.S Bond Futures spread on Economic Series

• Main Authors: Wei-Chiao Ke, 柯維喬
• Other Authors: 葉仕國
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/71863061456969131203

碩士 === 國立中興大學 === 高階經理人碩士在職專班 === 99 === Financial market data including the spread between long term and short term Treasury bond futures, stock and foreign exchange futures market and macroeconomic variables usually appear different in different economic situations or business cycles. Most of the time, economic growth and stock price variation result in decoupling phenomenon between stock and bond prices. However, inflation causes consistent movement between these two variables series. As a result, they are positively correlated in high inflation periods. While in low inflation periods they are insignificantly correlated. That is because the discount rates are more stable so economic uncertainty will dominate the market, thus correlation between stock and bond is reduced accordingly. In addition, the fluctuations on balance payment, gross national product, inflation and money supply as well as speculations or market expectations will also have significant impact on the decisions of monetary and fiscal policy. Thus, the spread between long term and short term Treasury bond futures will be affected accordingly. Our study tries to investigate the relationship between the spread and other economic variables from various series. Then we can have better understanding regarding the economic dynamic movement and make better decisions in different conditions.