本研究主要探討公債主流券殖利率與各金融市場變數間的相互影響及變數間的長短期均衡互動關係，研究期間為1999年1月至2006年12月，以ADF單根檢定法進行變數的穩定性測試，再利用共整合模型來檢定所有變數在長期下是否存在穩定的均衡共移關係，並以誤差修正模型來探討長短期動態調整效果，另加入衝擊反應函數與預測誤差變異數分解來觀察長短期互動影響力與波動解釋效果。

實證結果歸納如下：（1）在長期均衡下，公債殖利率會受到商業本票利率、RP利率與台灣股價指數影響而呈現同方向的變動；而匯率的影響則呈現反向變動，此五項金融市場變數在資金投資金融市場時，可能產生長期均衡關係。（2）在短期中除公債本身落後期影響最顯著外，RP利率、匯率、股價指數之變數影響亦為顯著。（3）在投資人長期投資公債方面可參考商業本票、匯率、RP利率、股價指數之變數未來趨勢；在短期投資公債方面可參考債券自己本身落後期及債券RP利率、匯率、股價指數之變數未來趨勢；惟須注意參考股價指數及RP利率變數之變化時為同方向變化，參考匯率變數之變化時為反方向變化。建議投資者於投資公債決策時，除參考公債本身過去之資訊外，尚可參考上述之金融市場變數資訊，期使投資人獲得更佳之投資收益。

The purpose of this paper is to examine the relationship between financial market variables and government bond yield in Taiwan. We examine the stability of variances with ADF unit root test and check all the variables if exist stable equilibrium relationship in co-moving in the long run by using the cointegration test. We also use vector error correction model to analyze the effect of the dynamic regulation over the long and short term. And we add impulse response function and variance decomposition to observe the effect in the long and short run and the explanation of fluctuations. 
The results show that, (1) in the long term, CP rate, exchange rate, RP rate and stock index affect the government bond yield the most, and these 5 factors may lead to an equilibrium in long term investment. (2) in the short term, the lags of  government bond yield would affect the current government bond yield itself the most. (3) Besides the historical data, investors are suggested to refer the CP rate, exchange rate, RP rate, stock index, and the lags of government bond yield itself.

第一章　緒論
第一節　研究背景	1
第二節　研究動機	4
第三節　研究目的	8
第四節　研究架構	9
第二章　文獻探討與回顧	11
第三章　研究方法
    第一節  研究流程	17
第二節　資料使用模型	19
第三節　變數選取	28
第四章　實證結果與分析
      第一節　資料來源與處理	30
    第二節　實證結果與分析	31
第五章　結論與建議
第一節　結論	41
第二節  後續研究建議	44
參考文獻	45
附錄
附錄一  台股成交量	54
附錄二  各變數趨勢圖	55
附錄三  ADF法單根檢定表	59
附錄四  變異數分解實證結果全表	59
附錄五  誤差修正模型實證結果全表	60
附錄六  衝擊效應實證結果全表	61

表  目  錄
【表1-1】2003-2007年央行發行定存單364天期明細表	3
【表1-2】2002-2007年度各金融機構流動準備主要內容分析表	6
【表1-3】2005-2007年度發行公債金融業得標比重表	7
【表4-1】各變數相關係數矩陣表	31
【表4-2】各變數ADF單根檢定結果	33
【表4-3】共整合個數的檢定	34
【表4-4】各金融市場變數對公債殖利率變數的向量誤差修正模型結果	37
【表4-5】變異數分解實證結果	40

圖  目  錄

【圖1-1】論文架構圖	10
【圖3-1】研究流程圖	18
【圖4-1】公債主流券殖利率衝擊效應圖	39

國內文獻

1. 王啟山(1999)，「利率、匯率與股價指數互動關係之研究─狀態空間模型之應用」，中興大學企業管理學系碩士論文。

2. 王凱立、林卓民、王美智(2004)，「總體經濟、價格發現與訊息傳遞於跨國債市傳導過程之探討：多變量GARCH模型於美國與台灣債市之應用」，第五屆全國實證經濟學論文研討會。

3. 江琇貞(2001)，「台灣公債殖利率與台股指數因果關係之實證研究」，高雄第一科技大學財務管理研究所未出版碩士論文。

4. 沈盈菁、聶建中(2000)，「國際資本市場之利率波動關連性」，淡江大學財務金融學系研究所碩士論文。

5. 邱德雄、吳祥華、王念孫(2005)，「台灣公債殖利率波動因素之分析」，國立台北大學碩士論文。

6. 姚蕙芸、聶建中(2001)，「台灣股價與匯率關聯性之研究」， 國立臺北技術學院學報，第2期，1-16。

7. 徐清俊、張議夫(2003)，「台灣附買回債券利率與總體經濟因素之關聯性研究」，南華大學財務管理研究所碩士論文。

8. 陳谷劦、楊浩彥(2002)，「公債殖利率與總體變數間關係之探討-台灣的實證研究」，世新大學財務金融學系研究所碩士論文。

9. 章志銘、聶建中(2005)，「以門檻誤差修正模型分析台灣股價指數與匯率及利率之長短期互動關係」，淡江大學財務金融學系研究所碩士論文。

10.楊忠城、傅鍾仁、張寶光(1999)，「台灣公債殖利率變動因素之研究」，中國財務學會1999年會暨財務金融學術論文研討會論文集。

11.賴忠宏、劉曦敏 (1996)，「利率、匯率與股價之長期均衡與因果關係－共整合分析法之應用」，證券金融季刊，第49期，23-42。

12.簡淑芬(2002)，「台灣地區利率波動因素分析探討」，中原大學會計研究所碩士論文。

13.謝登隆、徐繼達，民92，總體經濟理論與政策，智勝文化九版，第18章，265-282。

14.謝劍平，民92，固定收益證券投資與創新，智勝文化再版，第5章，105-121，第23章，595-626。

15.蘇珍、古永嘉(2002)，「公債殖利率、利率與股價指數互動關係之研究」，臺北大學企業管理研究所碩士論文。




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