臺灣博碩士論文加值系統

石油在人類生活與經濟活動中扮演極重要的角色，其價格波動對於經濟景氣的榮枯有重大的影響力，近幾年原油價格屢創新高，不僅在價格上創下紀錄且油價上漲期間也相對較長。本篇研究將探討油價上漲趨勢明顯的期間內，原油價格變化以及各項總體經濟變數對台灣債券市場的影響，並藉由對資料的觀察與統計分析，探討此段期間影響公債殖利率價格變化的因素，並提供國內投資人將資金做最有效的運用和投資決策的參考。
台灣債券市場中發行量最大且交易最熱絡的標的為台灣十年期指標公債，分析公債殖利率的走勢是一項相當重要的工作，本研究以油價上漲趨勢明顯的2003年5月至2006年9月此段時間作為研究期間，資料型態為日資料，並以原油價格取代通貨膨脹此經濟變數，成為新的研究變數，總體經濟變數則選取台灣發行量加權股價指數、匯率與美國十年期公債利率，並利用多項時間序列方法探討台灣公債利率與各經濟變數之關係。
研究結果發現，在單根檢定中，台灣十年期公債利率、原油價格與各變數均呈現隨機漫步的走勢；但經過一階的差分後，則成為恆定狀態。在共整合檢定中，台灣十年期公債利率、原油價格與各變數間不具共整合關係。Granger 因果關係檢定顯示美國十年期公債利率、匯率單向影響台灣十年期公債利率，其中以美國十年期公債利率單向影響台灣十年期公債利率因果關係最強。向量自我迴歸模型結果顯示落後期的台灣十年期公債利率、美國十年期公債利率與匯率均對當期公債利率有顯著影響，其中以美國十年期公債利率的影響程度最為顯著。在衝擊反應分析上，各變數發生自發性變動時，皆對本身在短期內的衝擊影響最大。由預測誤差之變異分解可知各變數之預測誤差變異數由自身解釋的能力最高。

Oil plays an important role in our daily life and economic activities, its price fluctuation casts immeasurable influence onto the boom and bust cycle, and the prosperity of the economy as whole. In the past few years, oil price surge frequently tops off the previous high’s. This not only registers new record, but also its upswing period lasts longer than previously observed. This research is to explore impacts onto Taiwan’s bond market from the perspectives of crude oil price fluctuation and macroeconomic variables during the most conspicuous period in the price upward trend chart. And through further data observation and statistical analysis, this study is to explore factors influencing fluctuation of government bond yield, and propose appropriate reference materials in regards to efficient use of domestic investment funds and the guide behind it, the investment strategy.

Taiwan 10 year benchmark is the most actively traded and with the largest issuing volume listed in Taiwan bond market. Analysis on the trending of government bond yield becomes a rather important task. This research is to target conspicuous upward trend of oil price, which is between May 2003 to Sept. 2006, as the study period. Data format uses daily information. The inflation variables are substituted with crude oil price as new study variable. Macroeconomic variables adopt weighted indices of Taiwan Stock Exchange, exchange rates and 10 years US treasury notes, in addition to some of the empirical methods for time series, to explore the relationship between government bond yield and various economic variables.

Findings of this study indicate that, in unit root test, all the variables i.e. Taiwan 10 year benchmark, crude oil price, etc, appear to be stationary after the first difference. In the co-integration test, other variables corresponding to 10 year benchmark and crude oil price, do not exhibit co-integrated phenomenon. The test result from Granger causality indicates that 10 year Treasury Notes and one way exchange rate do cast influences unto Taiwan 10 year benchmark, and the former’s (10 year Treasury note) influences are indelible in nature. Test results from vector auto-regression model signify that the lagging behind period for Taiwan 10 year benchmark, 10 year Treasury note and exchange rate are all casting noticeable influences onto the current bench mark, and again, the influences from 10 year Treasury note are striking. As for impulse response test analysis, all variables in the self-initiated variation, exhibit heaviest impacts unto itself in the short period of timeframe. From the forecast variance decomposition, it shows that all variables exhibit considerable forecast capability through self-interpretation.

Oil plays an important role in our daily life and economic activities, its price fluctuation casts immeasurable influence onto the boom and bust cycle, and the prosperity of the economy as whole. In the past few years, oil price surge frequently tops off the previous high’s. This not only registers new record, but also its upswing period lasts longer than previously observed. This research is to explore impacts onto Taiwan’s bond market from the perspectives of crude oil price fluctuation and macroeconomic variables during the most conspicuous period in the price upward trend chart. And through further data observation and statistical analysis, this study is to explore factors influencing fluctuation of government bond yield, and propose appropriate reference materials in regards to efficient use of domestic investment funds and the guide behind it, the investment strategy.

Taiwan 10 year benchmark is the most actively traded and with the largest issuing volume listed in Taiwan bond market. Analysis on the trending of government bond yield becomes a rather important task. This research is to target conspicuous upward trend of oil price, which is between May 2003 to Sept. 2006, as the study period. Data format uses daily information. The inflation variables are substituted with crude oil price as new study variable. Macroeconomic variables adopt weighted indices of Taiwan Stock Exchange, exchange rates and 10 years US treasury notes, in addition to some of the empirical methods for time series, to explore the relationship between government bond yield and various economic variables.

Findings of this study indicate that, in unit root test, all the variables i.e. Taiwan 10 year benchmark, crude oil price, etc, appear to be stationary after the first difference. In the co-integration test, other variables corresponding to 10 year benchmark and crude oil price, do not exhibit co-integrated phenomenon. The test result from Granger causality indicates that 10 year Treasury Notes and one way exchange rate do cast influences unto Taiwan 10 year benchmark, and the former’s (10 year Treasury note) influences are indelible in nature. Test results from vector auto-regression model signify that the lagging behind period for Taiwan 10 year benchmark, 10 year Treasury note and exchange rate are all casting noticeable influences onto the current bench mark, and again, the influences from 10 year Treasury note are striking. As for impulse response test analysis, all variables in the self-initiated variation, exhibit heaviest impacts unto itself in the short period of timeframe. From the forecast variance decomposition, it shows that all variables exhibit considerable forecast capability through self-interpretation.

(一)中文部分
1.王天賜(2005)。原油價格、台灣股價指數與總體經濟的關聯性。國立東華大學國際經濟研究所碩士論文，未出版，花蓮縣。
2.江琇貞(2001)。台灣公債殖利率與台股指數因果關係之實證研究。國立高雄第一科技大學財務管理研究所碩士論文，未出版，高雄市。
3.李義燦(2005)。台灣債券市場的發展歷程與挑戰。證券櫃檯月刊,77,25。
4.沈聖弘(1997)。臺灣地區匯率、利率與股價指數長期均衡及短期動態調整關係。國立中興大學企業管理研究所碩士論文，未出版，台中市。
5.吳國華(1996)。臺灣地區公債發行之總體經濟效果實證研究。國立中興大學財政學研究所碩士論文，未出版，台中市。
6.林冠威、鍾俊文(1996)。台灣商業本票利率月模型之探討。貨幣觀測與信用評等創刊號,58-66。
7.林翊生(2004)。台灣指標公債殖利率波動不對稱之實證研究。雲林科技大學財務金融研究所碩士論文，未出版，雲林縣。
8.陳谷劦(2003)。公債殖利率與總體變數間關係之探討-台灣的實證研究。世新大學經濟學系研究所碩士論文，未出版，台北市。
9.陳怡靜(2001)。台灣地區總體經濟因素與股票和債券報酬關係之實證研究。國立中山大學財務管理研究所碩士論文，未出版，高雄市。
10.陳毓宏(2001)。台灣股票市場與債券市場間相關性之分析研究。義守大學管理科學研究所碩士論文，未出版，高雄縣。
11.黃仁德、楊忠誠(1999)。台灣公債殖利率決定因素的探討。國立政治大學學報,79,63-98。
12.黃旭淳(2006)。國際原油價格對總體經濟變數之影響。國立交通大學經營管理研究所碩士論文，未出版，新竹市。
13.萬哲鈺、高崇瑋(2002)。貨幣銀行學理論與實務。台北:華泰文化。
14.賴忠宏、劉曦敏(1999)。利率、匯率的股價之長期均衡與因果關係－－共整合分析法之應用。證券金融季刊,49,23-42。
15.劉有仁(2004)。台灣十年期公債殖利率與國內外總體經濟變數關聯性之研究，雲林科技大學財務金融研究所碩士論文，未出版，雲林縣。
16.劉松瑜(2005)。原油價格與股價關係之探討─以美國及台灣為例，世新大學財務金融研究所碩士論文，未出版，台北市。
17.謝建平(2004)。固定收益證券投資與創新，台北:智勝文化。
18.蘇珍(2001)。公債殖利率、利率與股價指數互動關係之研究，國立台北大學企業管理研究所碩士論文，未出版，台北市。

(二)英文部分
1. Abudullah, D. A. and S.C. Hayworth.(1993).Ｍarco Econometric of Sock Price Fluctuations. Quarterly Journal of Business and Economics,50-70.
2. Clare, A. D., Maras, M. and Thomas, S. H.(1995)The Integration and Efficiency ofInternational Bond Markets. Journal of Business Finance & Accounting, 22,313-322.
2. Donna J. Fletcher and David Gulley.(1996). Forecasting the Real Interest Rate. North American Journal of Economics & Finance, 7(l),55-76.
3. Edward N.Camber.(1996).The Policy Content of the Yield Curve Slope.Review of Financial Economics,5(2).163-175.
4. Gregory D.Sutton.(2000).Is the excess comovement of bond yield between countries?,Journal of International Money and Finance, 19, 363-376.
6. Hall A.D.(1999).Parametric forecasts of Australian yield curves. Mathematics and Computers in Simulation,48 , 541-549.
7. Kyong Jo Oh, Ingoo Han.(2000)Using change-point detection to support artificial neural networks forinterest rates forecasting.Expert Systems with Applications,19, 105–115.
8. Mukherjee,T.K. and A.Naka.(1995).Dynamic Relations Between Macroeconomic Variables and The Japaneses Stock Market:An Application of a Vector Error Correction Model.The Journal of Financial Research, 223-237。
9. Mok, Henry M K.(1993).Causality of Interest Rate, Exchange Rate and Stock 　　Prices at Stock Market Open and Closeting Hong Kong.Asia Pacific Journal of Management,10,.123-143.
10. Richard D.F. Harris , Rene Sanchez-Valle.(2000)The information content of lagged equity and bond yields. Economics Letters, 68 ,179–184.