本研究針對台灣、日本、英國及美國的公債市場,運用共整合、向量誤差修正模型、Granger因果關係檢定及衝擊反應函數和預測誤差變異數分解等方法,來探討這四國十年期公債殖利率的關聯性,實證結果發現,(1)除了台灣與美國外,其他國家市場間皆具有長期共整合的趨勢。(2)以向量誤差修正模型分析得知,台灣當期的殖利率變動較為獨立,主要受到本國前兩期的影響,對於其他國家的影響較不顯著;而日本及英國當期殖利率變動,則除了受到自己本身前期的影響外,也會受到其他三國的影響而調整;另外單獨由美國的影響來看,除了對台灣沒有顯著影響外,對於其他各國則都有明顯的影響關係存在,顯示美國在全球整體金融環境上,仍扮演著相當重要的角色。(3)在衝擊反應函數和誤差變異數分解方面,各國殖利率變動一單位標準差的衝擊反應,其中以對於本國當期的衝擊力量最大,然後逐漸收斂,而累積效果上各國間皆為正向的影響,可見各市場間有同向變動的趨勢;預測變異數分解中則顯示,變數對自身之解釋能力最大,而各變數間之領先、落後關係為美國領先英國領先日本領先台灣。
This article investigates the interrelationships of government bond market among Taiwan, Japan, United Kingdom(UK), and the United States(US).Using cointegration, vector error correction model(VECM, impulse response and variance decomposition techniques to analyze this issue, we get the results as following:(1)Except for Taiwan and US, there are long cointegration trends for Japan and UK.(2)The VECM reveals that the movement of current yield for Taiwan is independent from other countries. Both Taiwan and US affect the movements of current yields for Japan and UK. Therefore, US have significant effects on other countries but Taiwan. This result shows that United States still play an important role in the whole world financial market.(3)As for the analysis of impulse response, changing one standard deviation of each variable has the largest impulse at the first period, and then gradually decreases. Accumulative effects of each market are positive. Finally, analysis of variance decomposition shows that each variable has greatest interpretative ability for itself. And the lead-lag relationship among four countries is that US is higher than UK, Japan, and Taiwan.