| dc.description.abstract | 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.
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