本研究在觀察2000年至2003年底台灣公債市場長期利率期間結構之調整現象,針對銀行隔夜拆款利率、5年期與10年期公債殖利率進行分析,採用門檻自我迴歸模型(TAR)及動能門檻自我迴歸模型(M-TAR)檢定是否具有不對稱之單根與共整合現象,以非線性方法測試利率期間結構是否符合預期理論假說,不同於傳統預期假說其假設不同利率間之貼水為固定不變。實證結果顯示台灣長期利率期間結構是符合風險貼水為動態調整之預期理論。傳統建立利率為對稱調整之假設可能會產生偏誤。此外,發現無論在利率上升或是下跌時,銀行隔夜拆款利率對5年期及10年期公債在長期與短期皆具有價格傳遞效果且利差呈現不對稱之動態調整;而5年期及10年期公債在利率下跌時具有價格傳遞效果,但利率上升時則效果不明顯。因此,利用不對稱誤差修正模型可以捕捉利率動態調整之現象。
This paper examines the dynamic adjustment to long-run relationship between Taiwan’s government bond interest rates with different maturities. We employ a methodology that permits threshold and the momentum-threshold adjustment towards equilibrium. To compare with past research, we assume that the dynamic adjustment of yield spreads in different maturity bonds. Our results support the expectations hypothesis of the term structure of interest rate with dynamic adjustment using Taiwan interest rates. It maybe erroneous by using symmetry adjustment assumption to build the term structure of interest rates. Furthermore, when interest was down, we find asymmetric price transmissions between different maturity bonds in the short and long run. But it was not done when interest was up.