經濟變數對十年期公債殖利率影響之研究

The research of the influence of the economical variable to the government bond''s yield rate

簡至昱(Chih-Yu Chien)

指導教授 ： 何耕宇

國立中央大學/管理學院/財務金融學系碩士在職專班/碩士(2008年)

摘要

資本市場是連接資金供、需二者的重要橋樑，在國家經濟發展過程中扮演不可或缺的重要角色，唯有兼具廣度、深度及彈性的資本市場，才能有效融通資金交易雙方，讓資金需求者有效取得資金並降低融資成本，同時提升整體市場投資意願，並且協助投資人有效管理風險，對於企業資本形成、產業結構轉型及國家經濟成長有極大貢獻，其中中央政府公債的次級交易，對於建立資本市場中的殖利率曲線極為重要，而殖利率曲線正是資金供需雙方價格參考的重要指標，在主管機關持續推動的努力下，目前我國債券市場不論在電子交易的普及化、結算交割制度的建立、新交易制度及新金融商品的開放等，均有卓越之成效，在國內債券市場日益活絡與風險控管愈來愈受到重視的同時，對債券成交價格及外在影響因素之相關性，實應尋找主要影響變數作更深入的探討及實證分析，而此正是觸發學生對政府公債殖利率與總體經濟指標長期相關性之研究動機。
而本文採用時間序列資料，以台灣十年期公債殖利率作為被解釋變數，而解釋變數的部分則包含了：消費者物價指數、貨幣供給量(M1B)、工業生產指數、景氣領先指標、新台幣兌美元匯率及加權股價指數等六項經濟變數，由於除了工業生產指數和景氣領先指標之外，其他變數跟債券殖利率之間都不存在共整合關係，因此我們使用向量自我迴歸模型，結果顯示，影響債券殖利率最大的因素還是本身的落後期，工業生產指數的落後期也對殖利率有一定程度的影響，假如我們把工業生產指數視為整體經濟發展的指標，這個結果似乎可以解釋為，本文的實證結果下，台灣的經濟成長趨勢與10年債的殖利率之間的關聯性高於其他的經濟變數。

關鍵字

時間序列 ； 單根檢定 ； 向量自我迴歸模型 ； 債券殖利率

並列摘要

Capital market is an important channel between the fund demand and supply, and it’s essential for national economic development. Only capital market with depth, extent and flexibility can efficiently accommodate the two parties, and make the fund demand side can get what they need and lower the capital cast. In addition, it assists the market in raising investment intension, risk management and progress of national economy. Because of the effort made by the authority, bond market in Taiwan makes great strides in electronic trading, settlement and financial innovation. In the market with fast-growing trading volume and developing emphasis on risk management, at the same time, we should find the variables which mostly affect the market to do further researches and empirical analysis. To find out the relationship between bond yield and external influence triggers my incentive to start in this paper.
In this paper, I use the time-series method to study the relationship between Taiwan government 10-year bond yield(BY) and other economic variables including CPI, MIB, leading business cycle index(BC), industrial production index(PI), exchange rate between NT dollars/US dollars(EX), and Taiwan value-weighted stock index(SI). The results show that all the variables have a unit root and except for BY, BC and PI is I(1), all other variables are I(0). Subsequently, I find out that except for PI and BC, all other factors don’t have co-integration relation with BY. Next, I use VAR to investigate the causation among BY and other variables, the results show that BY is affected by itself mostly and BY is the causality of other variables.If we used PI as a proxy for economy growth, we can say that bond yield has a significant relation with economy growth.

並列關鍵字

Bond Yield ； Time-Series ； Unit-Root Test ； VAR

參考文獻

丁誌魰， 曾富敏，2005，「以向量自我迴歸模式探討臺灣股價、成交量、融資融券與法人進出之關聯性」，真理財經學報,43-74。

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