Linkage and Analysis : US Federal Fund Rate, S&P500, and US High Yield Corporate Bond

• Main Authors: Meng-Wen Tsai, 蔡盟文
• Other Authors: 張嘉玲
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/38363750191295023888

碩士 === 國立中興大學 === 應用經濟學系所 === 105 === This study explored the association among the U.S. federal funds rate (FFR), the S&P 500 Index, and the U.S. high-yield bond (HYB) index by applying a vector autoregressive model to test Granger causality. We used data across 29 years between October 1, 1986 and December 31, 2015 to compare the results of monthly and weekly average data. Empirical results of the monthly data showed that the previous U.S. FFR spread, S&P 500 Index yields, and the U.S. HYB returns had a positive impact on the current U.S. FFR spread, S&P 500 Index yields, and the U.S. HYB returns. Moreover, previous S&P 500 Index yields also had a positive impact on the current U.S. FFR spread and U.S. HYB returns. However, empirical results of the weekly data showed that the previous U.S. FFR spread had a negative impact on the current U.S. FFR spread, previous S&P 500 Index yields had a negative impact on the current S&P 500 Index yields, and previous U.S. HYB returns had a negative impact on the current U.S. FFR spread. These results were inconsistent with the monthly data, which may have been because investors prioritized profit-taking in the short-term and the weekly data, whereas investors demanded higher yields in the monthly data, which requires more effort on the part of investors. The Granger causality test showed that, in the monthly data, S&P 500 yields preceded the U.S. FFR spread and U.S. HYB returns, and U.S. HYB returns preceded the U.S. FFR spread. In the weekly data, U.S. HYB returns preceded the U.S. FFR spread, which is consistent with the findings for the monthly data. However, in the weekly data, the Granger causality of the stock market for the bond market and interest rates was not significant. This may have been because, in the weekly data, stock market investors placed more emphasis on the short-term yield of the market.