摘要

本研究探討總體經濟不確定性對各市場間相關係數之關聯。由MSCI與JP Morgan編制之指數為股市與債市之參數，並以七大工業國(G7)與金磚四國(BRIC) 之總體經濟指標，分別代表成熟市場與新興市場之總經因子。在總體經濟變數方面，本論文參考過去文獻採取消費者物價指數與工業生產指數，兩者之變異數為總體經濟不確定性之因子。利用向量誤差修正模型，測試成熟市場與新興市場之股市與債市指數的相關係數變動是否與總經不確定性之變動有關聯。
根據實證結果，物價波動及工業生產波動對市場間的相關係數有不同的影響；而依據總經因子之波動上升或下降，可採取下列資產配置策略，以降低投資組合內資產的相關係數，達較佳之配置效率：

1.成熟市場之物價波動加劇：
(1)分配於成熟市場股市與新興市場股市
(2)分配於成熟市場股市與新興市場債市
2.成熟市場之物價波動減緩：
(1)分配於成熟市場股市與成熟市場債市
(2)分配於成熟市場債市與新興市場債市
3.新興市場物價波動減緩：
(1)分配於成熟市場股市與新興市場股市
4.新興市場工業生產波動減緩：
(1)分配於新興市場股市與新興市場債市
5.其餘波動之效果則不顯著。
本研究提供資產組合經理人在面對總體經濟不確定時，達成風險分散效率最佳化的策略，以尋求最高風險調整後報酬。

Abstract

This research exams how uncertainty in macroeconomic uncertainty measures relate to correlations between different financial markets regarding stocks and bonds. We use indices from MSCI and JP Morgan, and macroeconomic indicators from G7 and BRIC countries ranging from 2002 to 2010. Vector error correction model (VECM) is employed to examine whether correlations between developed and emerging market indices is related to uncertainty in macroeconomic variables.

Empirical results indicate that uncertainty measures in inflation and industrial output have different relationship with correlations between markets. For portfolio manager simply focusing on developed markets, diversification would not be meaningful in times of rising macroeconomic uncertainty. For assets allocated across developed and emerging stock markets, or across emerging stock and bond markets, rising inflation uncertainty would indicate better efficiency for diversification, while rising uncertainty in industrial output would not. We may conclude that the result give portfolio managers some guideline in asset allocation strategies during changes in macroeconomic uncertainty, and that diversification might not always be useful unless do it “in the right way.”

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