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标普500、联邦基金利率与国债收益率的领先滞后关系

文章 arXiv papers · 作者: Kun Guo et al.
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总结

本研究检验关于固定收益关系的两种预期：股价与收益率走势相反，以及央行利率变动有助于预测之后的股市方向。研究将热最优路径方法应用于标普500、联邦基金利率及不同短期和长期国债收益率的月度和周度观测数据，并以滞后交叉相关作为传统比较方法。

报告的走势与两种预期均相反：股票与收益率同向变动，且标普500领先于收益率，尤其是联邦基金利率。研究还报告称，始于-2007年年中的金融危机前后，短期与长期收益率之间的领先滞后关系发生了变化。作者将这些发现解读为政策制定者和长期投资者可能会对股市信号作出反应。这些是历史时间序列关联；摘录并未证实因果关系，也未表明这些关系保持稳定或能提供盈利的交易信号。

核心观点

  • 研究采用热最优路径分析，估计经济序列中不断变化的领先滞后关系。
  • 研究将标普500的月度和周度数据与央行利率及国债收益率进行比较。
  • 报告称，股票与收益率走势同向，与所检验的预期相反。
  • 据报告，标普500领先于不同期限的收益率，包括联邦基金利率。
  • 报告显示，短期与长期收益率之间的领先关系在金融危机开始后发生逆转。

标签

股票固定收益美国市场统计学
全文
# The US stock market leads the Federal funds rate and Treasury bond yields


# The US stock market leads the Federal funds rate and Treasury bond yields









Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be anti-correlated; (ii) the change in central bank rates, as a proxy of the monetary policy of the central bank, should be a predictor of the future stock market direction. Using both monthly and weekly data, we found very similar lead-lag dependence between the S&P500 stock market index and the yields of bonds inside two groups: bond yields of short-term maturities (Federal funds rate (FFR), 3M, 6M, 1Y, 2Y, and 3Y) and bond yields of long-term maturities (5Y, 7Y, 10Y, and 20Y). In all cases, we observe the opposite of (i) and (ii). First, the stock market and yields move in the same direction. Second, the stock market leads the yields, including and especially the FFR. Moreover, we find that the short-term yields in the first group lead the long-term yields in the second group before the financial crisis that started mid-2007 and the inverse relationship holds afterwards. These results suggest that the Federal Reserve is increasingly mindful of the stock market behavior, seen at key to the recovery and health of the economy. Long-term investors seem also to have been more reactive and mindful of the signals provided by the financial stock markets than the Federal Reserve itself after the start of the financial crisis. The lead of the S&P500 stock market index over the bond yields of all maturities is confirmed by the traditional lagged cross-correlation analysis.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。