本研究係藉由探討五種短期金融工具利率變動的互動情形,來判斷台灣的貨幣市場是否有資訊溢傳之現象,該五種金融工具分別為:銀行間之隔夜拆放款利率、十天、三十天、九十天與一百八十天之商業本票次級市場之交易利率。首先將市場上可獲得的1779筆日資料(自1994年一月六日至2000年四月十九日)一階差分,再利用Granger因果模式分析(Granger causality test),結果發現該五種利率之變動呈現相互影響的情形,而銀行間之隔夜拆放款利率具有領先地位。向量自我迴歸模式(Vector autoregressive)之研究結果亦指出:銀行間之隔夜拆放款利率的變動會影響其他四種商業本票利率之變動。以上之研究發現即使在將整個樣本期間分成兩個子期時亦不例外。
This paper investigates the information spillover effect in Taiwan's money market by examining five short-term interest rate co-movements over the data available period (from Jan. 6, 1994 to Apr. 19, 2000). The five short-term interest rates are overnight inter-bank, 10-, 30-, 90-, and 180-day commercial papers, respectively. Via the use of the pair-wise Granger causality test to the first-differenced data, the findings indicate that the rate changes of these five short-term instruments are mutually affected, with the overnight inter-bank rate playing the leading role. Furthermore, the variance decomposition analysis of a vector autoregressive model also proves that the overnight inter-bank rate enjoys the most influential position in Taiwan's money market. The findings are valid for both the two sub-periods and the whole period.