本研究探討總經不確定性與不同金融市場間的相關係數之關聯，並且提供三種資產的資產配置策略。採用物價指數、工業生產指數與恐慌指數的月資料來做為總經變數。樣本選取2004年到2011年G7和新興亞洲等國的資料。此外，選取VECM模型來檢定總經不確定性對G7和新興亞洲等國指數的影響。
研究結果顯示有六個投資組合的結果是顯著的。在已開發國家中，相關係數和工業生產指數的變動成正相關。然而，在全球股市中，新興市場物價指數的變動、已開發市場和新興市場工業生產指數的變動與恐慌指數的變動對已開發市場新興市場間的相關係數的影響也是顯著的。因此，當總經不確定性改變時，投資人和基金經理人可以透過重新調整投資組合內各資產的比例而獲利。

This study is aimed to investigate whether there is a relationship between correlations in different financial markets and macroeconomic uncertainty factors, regarding three-asset allocation strategies. We apply the monthly data of inflation, industrial production and the VIX Index to be the proxies of the macroeconomic uncertainties. Our data samples include the G7 and emerging Asian countries from 2004 to 2011. Furthermore, the vector error correction model (VECM) is used to examine the effects of uncertainty in macroeconomic variables on correlations between the G7 and emerging Asia indices.
Our results show that correlations of six portfolios are significantly affected by different macroeconomic variables. In summary, in developed countries, changes in the correlations are positively related to changes in industrial production uncertainty; and for World Stock Portfolio, changes in emerging markets inflation uncertainty, changes in industrial production uncertainty of developed and emerging markets and changes in the VIX Index are significantly associated with correlations between developed and emerging Asia stocks markets. We conclude that investors and asset managers can benefit from diversifying into different financial markets and asset classes.

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