探討央行升息國內十年期指標公債未同步上升之原因

Investigating the reasons that domestic 10-year index bond yield did not rise with the Central Bank’s rise in rates

呂南進(NAN-CHIN LU)

指導教授 ： 張傳章

國立中央大學/管理學院/財務金融學系碩士在職專班/碩士(2007年)

摘要

本研究主要是探討國內中央銀行截至2006年12月底共調升重貼現率10次，可是代表長天期的利率水準，並未跟隨著重貼現率上升的原因；為了暸解上述央行升息卻無法拉升長天期利率的現象，除以台、美債十年期公債殖利率的關係當作研究課題外，亦將從這段時間整體貨幣供給的變化情形，來分析是否也是產生此現象的原因之一，最後更將依循中央銀行的看法，探究在公債發行量不足的情形下，郵政公司大量買入公債，是否才是殖利率無法上升的主因。
經本文實證結果顯示：台灣十年期公債殖利率與台灣貨幣供給M1b間，存在著一種長期均衡的關係，而且台灣十年期公殖利率有領先台灣貨幣供給M1b的現象。再者台灣與美國十年期公債殖利率彼此的影響並不明顯，而且沒有互為先後之因果關係。最後實證亦得出公債的殖利率還是受到本身前期的影響最大，而郵政公司十年期公債交易量的影響並不顯著，此外台灣十年期公債的殖利率，實際上是領先郵政公司十年期公債交易量的，所以郵政公司買賣十年期公債與十年期公債殖利率下跌，兩者之間並不能劃上等號。

關鍵字

台灣十年期公債殖利率 ； 重貼現率

並列摘要

The research investigates the reasons behind the failure of the long-term rate to rise with the discount rate, despite the 12 interest rate increases by the Central Bank by December 2006. In order to understand why the rise in interest rates by the Central Bank failed to pull up long-term rates, not only are we investigating the relationship between Taiwan and US 10-year government bond yields, we are also investigating the possibility that changes to the money supply within this period was a significant cause. Finally we investigate the view proposed by the Central Bank that given an insufficient issuance of government bonds, the Taiwan Post Co.’s massive purchases of government bonds was the main reason why the yield rate remained low.
Our research proves that there is a long term balancing relationship between Taiwan’s 10-year government bond yield and Taiwan’s M1b money supply, with the 10-year government bond yield leading the M1b money supply changes. Further, the mutual effects between Taiwan and US 10-year government bonds are not significant, and no leading-following relationship exists between them. Finally, evidence shows that yield of government bonds are most affected by its own previous performance, while Taiwan Post Co.’s purchases are not a significant factor; furthermore the Taiwan 10-year government bond yield actually leads Taiwan Post Co.’s bond trades, thus the bond trades made by Taiwan Post Co. cannot be equated with the fall in yield of the 10-year government bonds.

並列關鍵字

discount rate ； Taiwan’s 10-year government bond yield

參考文獻

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