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研究生:陳益申
研究生(外文):Yi-shen Chen
論文名稱:台灣、日本、澳洲及美國公債市場間互動關係之實證研究
論文名稱(外文):The Government Bond Market Comovement among Taiwan, Japan, Australia and the United States:An Empirical Study
指導教授:莊益源莊益源引用關係
指導教授(外文):I-yuan Chuang
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
畢業學年度:95
語文別:英文
論文頁數:41
中文關鍵詞:公債共整合向量誤差修正模型因果關係衝擊反應函數變異數分解
外文關鍵詞:Government bondCointegrationVector error correction modelGranger causalityImpulse responseVariance decomposition
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本研究主要探討台灣、日本、澳洲及美國的公債市場間彼此互動的關係,以及總體經濟因素、股價指數對公債殖利率的影響;此外,亞洲金融風暴對公債市場的影響也予以納入探討。本文採用共整合、向量誤差修正模型、因果關係檢定、衝擊反應函數及預測誤差變異分解來進行研究分析,研究期間為1995年1月至2006年8月的月資料。實證結果發現,台灣、日本、澳州及美國的公債市場間存在長期均衡的整合關係,日本的公債市場在短期的影響上居於相對領先的地位;美國的公債市場領先情形則不如日本,且受到另外三個國家的影響;澳洲的公債市場受到其他國家的影響程度最大,台灣的公債市場則呈現相對較高的獨立性。在總體經濟因素的影響方面,失業率與公債殖利率之間的負向關係顯示,公債在景氣不佳時是相對安全且較受歡迎的投資選擇;隔夜拆款利率與公債殖利率間並沒有明顯的領先或落後關係,原因可能為長、短期利率的調整係同步進行;股價指數與公債殖利率間的正向關係指出,當股市的報酬提高時,公債市場的殖利率也因資金排擠效應而向上調整。最後,亞洲金融風暴的發生對美國、澳洲及日本的公債市場均有顯著影響,其對美國與澳洲的公債殖利率影響為負向,對日本公債殖利率的影響則為正向,對於台灣的影響雖為正向,但並不顯著。
This study attempts to investigate the pattern of short- and long-run dynamic linkage among the government bond markets among Taiwan, Japan, Australia and the United States. The interactions of these markets with macroeconomic variables and stock indices, as well as the impacts of the Asian financial crisis are also examined. By employing the popular time series techniques, including unit root test, Johansen’s cointegration analysis, vector error correction model, as well as Granger causality test, impulse response function, and variance decomposition, the results present the existence of long-run equilibrium relationship among these four national government bond markets. The Japanese market acts the relative leading role in driving fluctuations in the other three markets. The U.S. market seems not to be in the relative leading position as its stock market is, and the Australian and Taiwanese markets are the most dependent and the independent one, respectively. Moreover, the examining results of the exogenous variables indicate that government bond is relative safe and popular for investment during the recession economic cycle, the inter-bank overnight loan rate and government bond yields may adjust contemporaneously, and the stock indices are positive related with the government bond yields. Finally, the Asian financial crisis indeed made significantly negative impacts on both the U.S. and Australian markets, but positive effect on the Japanese market. It also shows negative effect on the Taiwanese market, but not significantly.
Abstract………………………………………………………1
Introduction…………………………………………………2
Literature review……………………………………………6
Methodology……………………………………………………11
Data and empirical results………………………………16
Conclusion……………………………………………………25
References……………………………………………………30
Figures and tables…………………………………………34
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