本研究從「交易員」的角度出發，就市場交易之實務面切入，試圖探討美國、日本兩大經濟強權的股市、利率與匯率之相互關係，以2002年至2006年為資料期間，採用市場上最具代表性的指標－「道瓊工業指數」、「日經225指數」、「美國十年期公債」及「日本十年期公債」與「日圓兌美元匯率」作為研究變數及被解釋變數，透過向量自我迴歸模式及因果關係檢定後，實證結果發現：整體而言，美國市場領先日本市場，且美國市場單向地影響日本股市、債市與日圓匯率，此結果符合長久以來美國為世界經濟火車頭的角色；短期而言，美國十年期債券利率幾乎不受其他變數影響，代表美國債市居於龍頭地位；以中長期而言，美國債市及美國股市僅受其國內經濟因素影響。在日本市場方面，無論股市、債市與日圓匯率皆受美國方面影響，各變數中以日本十年期債券利率最不具影響其餘四變數的能力，也容易受其他變數影響；而日本股市深受美國股市影響，兩者息息相關；此外，日圓匯率也受美國利率單向影響，本文認為此與兩國間利差有關。 Based on a trader’s perspective, this thesis examines the relationship among stock markets, interest rates, and foreign exchange markets in U.S. and Japan －the two largest economies in the world. We apply the most important indexes of the U.S. and Japan markets－Dow Jones Industrial Average, NIKKEI-225 Stock Average, U.S. 10-year Note Yield, Japan 10-year Government Bond Yield and Dollar/Yen Exchange Rate as the Endogenous and Exogenous variables. The samples include daily data from 2002 to 2006. By the Vector Autoregressive Model and Causality test, we show that the U.S. market leads the Japan market, and the Japan market is affected (one-way affected) by U.S. These results indicate the fact that the U.S. market is a globally leading market. In the short term, the U.S. 10-year note yield is not affected by other factors, and this shows that the U.S. fixed income market is a leading other markets. In the medium-term, the U.S. markets are only infected by the domestic factors. In Japan, the stock market, fixed income market and the Dollar/Yen exchange rate are all influenced by the U.S. market factors. The Japan 10-year government bond yield is least influenced by other variables. The Japanese stock market is significantly impacted by the U.S. stock market. On the other hand, the Dollar/Yen exchange rate is affected by the U.S. interest rates, and this may be induced by the spread of the interest rates between US and Japan.
