The Relationship between U S High Yield Bond and Macroeconomic Variables

[[abstract]]因為高收益債券兼具股票與債券的優點，且高收益債券發行公司相較於投資等級債券，更容易受到總體經濟環境的影響，故本文選取2004年1月到2009年1月探討總體經濟變數與高收益債券的關連性。由於目前高收益債券市場以美國為主，故利用美國高收益債指數與失業率、工業生產指數、消費者物價指數、聯邦市場基金利率、貨幣供給額、標準普爾500指數、美元指數等總體經濟變數進行分析。由共整合檢定發現高收益債指數與總體經濟變數間，存在長期均衡關係。進一步應用誤差修正模型估計高收益債指數與總體經濟變數之間的短期與長期關係；並以衝擊反應函數與變異數分解分別瞭解總體經濟變數變動下，高收益債指數的反應程度，以及當高收益債指數變動下，各個總體經濟變數的相對解釋能力。結果發現：失業率與工業生產指數對於高收益債指數的影響，遠高於貨幣政策的利率與貨幣供給量；此外，股市的好壞也是高收益債指數漲跌的重要因子之一。總結來說，欲投資高收益債，應該將焦點放在實質總體經濟的變動與股市發展。[[abstract]]High-yield bonds concurrently possess of favorite characteristics from bond and stock In addition high-yield bonds issued by low-grade firms are very sensitive to business climate Thus the purpose of this study is to further explore into the relationship between the index of U S high-yield bonds and its related macroeconomic variables during January 2004 to January 2009 monthly On the ground the proportion of global high-yield bond market comes mainly from U S U S high-yield bonds index unemployment rate industrial production index consumer price index federal fund rate money supply S&P 500 stock index and U S index are used to analyze the effects of high-yield bonds on these macroeconomic factors This study first uses the cointegrating tests to find that there is single long-run equilibrium (namely cointegrated equation) between high-yield bonds and macroeconomic variables and the error-correction model (ECM) is then established to investigate the short-run nature and long-run relationship of high-yield bonds and macroeconomic factors Furthermore while impulse response function traces the effects of a shock to the all variables variance decomposition provides information about the relative importance of each variable It is found that unemployment and industrial production index are both critical to high-yield bonds while the tools of monetary policy like interest rate and money supply both play very small role in high-yield bonds In sum investing high-yield bonds should focus on real macroeconomic environment including unemployment rate industrial production inde