通膨和升息循環對債券市場之影響

The Impact of Inflation and Interest Rate Cycle on the Bond Market

本研究主要探討通貨膨脹變數與債券殖利率（特別是2年和10年期債券）以及債券利差之間的關係。研究還納入了銀行間利率，以考慮在升息循環影響。在實證研究中，資料包括了成熟市場和新興市場在2002年至2022年期間的每月縱橫資料（Panel data）。透過縱橫資料迴歸模型，本文實證結果顯示，在升息循環期間，經過固定效果模型估計，2年和10年期債券殖利率都有增加的趨勢。相反，利率上升則與債券利差的收縮有關。與此同時，在高通貨膨脹環境下，一些優質債券可能會被低估。最後，本研究建議投資者應密切關注貨幣政策的變化，特別在是升息循環週期，並考慮投資於長天期的債券。

This study investigates the relationship between inflation and bond yields, focusing on 2-year and 10-year maturities, and analyzes bond spreads. To understand the influence of rate hike cycles, interbank rates are also incorporated. We use monthly panel data from developed and emerging markets, spanning January 2002 to December 2022. The panel data regression model results reveal that during rate hikes, both 2-year and 10-year bond yields tend to increase, after controlling for fixed effects. Conversely, rate hikes are associated with a decrease in bond spreads. Additionally, high inflation environments may lead to the undervaluation of certain high-quality bonds. Based on these findings, we recommend that investors closely monitor monetary policy changes, particularly rate hike cycles, and consider investing in bonds with longer maturities.