| 摘要: | 本研究主要探討在全球金融海嘯的衝擊下，全球央行均採取大幅降息來挽救大幅衰退的經濟，而國內央行亦隨此一趨勢採取大幅降息的趨勢，透過調降重貼現率，進而影響金融隔夜拆款利率，其間並進一步影響公債及股票市場的走勢，因此本文將探討台灣債券市場與各金融市場之間的相關性分析，研究期間為2001年1月2日至2009年3月6日，資料型態為日資料，先以ADF單根檢定法進行各金融市場相關變數之穩定性測試，而在確認各變數為具有相同整合級次的型態後，再使用共整合模型來檢定所有變數是否存在長期穩定的均衡共移關係，並以誤差修正模型檢定來分析在長短期之下其相關的動態調整效果，另加入Granger因果關係檢定來分析各變數的因果關係，最後再輔以衝擊反應函數分析與差變異數分解來觀察變數間之正向或負向變動關係及各變數的誤差變異有多少比例是由其他變數之誤差變異所產生的。其實證結果歸納如下： 一、各變數在經由ADF單根檢定下，均具有單根的性質，顯示均為非定態，唯在經由一階差分後各變數皆在1%顯著水準下，拒絕時間序列具有單根存在的虛無假設，表示各序列皆為定態而且具有相同整合級次 的型態。 二、於長期均衡下，台灣十年期公債殖利率會受到台灣發行量股價指數、金融隔夜拆款加權平均利率、債券RP10天期利率與匯率影響而呈現均衡共移的關係；此五項金融市場變數在資金投資金融市場時，產生長期均衡關係。 三、在短期中除新台幣兌美元匯率影響最為顯著外，另以公債本身落後期及台灣發行量加權股價指數之變數影響亦為顯著。 四、因果關係方面，台灣10年期公債殖利率單向領先台灣發行量加權股價指數，以及公債RP10天期利率單向領先台灣發行量加權股價指數，顯示公債利率水準的高低會響股市的走勢，而公債RP利率變動會影響投資公債資金成本，進而影響股市變動。 五、各變數對台灣10年期公債殖利率衝擊的影響方面，以台灣發行量加權股價指數的對其造成正向反應最大，衝擊反應屬於長期型態，長期累積則具正向效果，由此顯示若台股走揚時，在市場對景氣的看法轉為樂觀及資金移轉效果的影響下，10年期公債殖利率將呈現上揚的走勢，造成債券價格下跌，與理論相符合。 六、在變異數分解的影響方面，由台灣10年期公債殖利率第一期變動結果可知，其自發性干擾所解釋的比例高達100%，之後雖有微幅降低，但維持在98.44%以上，其餘變數則在第一期後雖低但呈現緩升。因此顯示台灣10年期公債殖利率之自發性高，較不易受外生變數的影響，不過在長期而言，股市、貨幣市場與匯率市場則展現緩升的影響能力。 This study focused on the impact of the global financial tsunami, the global central banks are taking a substantial cut interest rates to save the economy has declined significantly, while the domestic central bank in tandem with this trend to the trend of sharp interest rate cut by lowering the discount rate, thereby affecting Financial overnight call rate, during, and further affect the trend of bond and stock markets, this article will explore the Taiwan's bond market with the correlation between financial market analysis, research the period from January 2, 2001 to 2009 March 6 Day, data type information for the day, first to ADF unit root test method of the stability of the financial market-related variables and tested, confirming integration of the various variables as having the same pattern of levels, the re-use co-integration model to test the existence of long-term stability of all variables were shifting the balance of relations, and to the error correction model test was used to analyze short and long term, under the dynamic adjustment of its associated effects, and add another Granger causality test was used to analyze the causal relationship between variables, the last to be supplemented by impulse response function analysis and variance decomposition to observe the difference between variables, the positive or negative change in the relationship between the variables and the number of error variance ratio of error variance from other variables are generated. In fact, the results permit summarized as follows: 1. Each variable by the ADF unit root test in the next, all with a unit root character, showing both the non-steady state, only by a first-order difference in the subsequent variables are significant at the 1% level, rejected the existence of time series with a single root of nothingness Suppose that the sequence Jie Wei steady-state and integrated-level meeting with the same pattern. 2. In the long-run equilibrium, Taiwan's ten-year government bond yield will be Taiwan's stock index circulation, finance overnight weighted average interest rate, bond RP10-day interest rate and exchange rate effects of a total shift presents a balanced relationship; the five financial market variables capital investment in the financial markets, have long-term equilibrium relationship. 3. In the short term, in addition to NT dollar exchange rate impact of the most significant, the other in order to government bond itself to fall behind the circulation period and Taiwan's Weighted Price Index of the variables also significantly affected. 4. Causal relations, the Taiwan 10-year government bonds yield a one-way circulation of the leading Taiwan weighted stock index and bond RP10-day interest rate one-way circulation of the leading Taiwan weighted stock price index, indicating the level of public debt interest rates will ring the stock market, while the RP debt interest rate movements would affect the investment cost of debt capital, thereby affecting the stock market movements. 5. The variables on the Taiwan 10-year government bond yield shocks, the issue of Taiwan weighted stock index which causes a positive reaction to the largest impulse response is long-term patterns and long-term cumulative effect is a positive, indicating that if the Taiwan's stock market to go, when Young, in view of the market economy and the transfer of funds to optimistic about the effect of, the 10-year government bond yield will show a rising trend, causing bond prices fell, consistent with the theory. 6. In the variance decomposition of the impact, by the Taiwan 10-year government bonds yields are the results we can see changes in the first phase, which explains the proportion of spontaneous disturbance of up to 100%, although slightly lower, after, but remained at 98.44% above the rest variable in the first period was low, but show slowly climbed up. So show that Taiwan's 10-year government bond yield of spontaneous high, less susceptible to the impact of exogenous variables, but in the long term, the stock market, money market and exchange rate markets are slowly climbed up to show the impact of capacity. |
