此論文採用GSADF test驗證得知，已開發國家公債市場產生失序行為之主因為過度採用大量發行公債以刺激經濟之財政政策，而新興國家則因地緣政治危機導致大量資金外移之衝擊，公債市場產生泡沫的現象。進一步採用小波分析方法，檢視美國與主要新興國家公債市場間及各主要新興國家公債市場之間的動態相關性，首先，美國與新興國家公債市場間皆為顯著之正向關係，顯示全球主要公債市場間的正相關弱化了全球債券投資組合之分散化效果；其次，中國在新興國家公債市場中具有顯著之短期領先效果；最後，美國公債對於主要新興國家公債市場皆具有顯著的中、長期領先效果，此實證結果與過去探討美國對於新興市場股市影響的外溢效果一致，因此，美國在其採取財政政策或者貨幣政策時，需更加全面性考量對其他主要新興國家公債市場的衝擊；全球投資人亦需注意美國公債市場變動對於國際化債券投資組合的影響。

The study uses the GSADF test to demonstrate bubbles exist in the government bond markets of the United States, Germany, Japan, and Brazil. Huge fiscal deficits caused by massive government debt-raising to facilitate excess expansionary fiscal policies not only worsen the fiscal situation but support bubbles within government bond markets while over-tightening of monetary policy also results in bubbles in developed countries. Then, cause of such bubble, in emerging countries, is mainly from geopolitical event. The result is large international capital outflows that impact the domestic bond market. Moreover, we adopt the wavelet method to provide better measures of the dynamic correlations between developed and emerging country government bond yields, revealing the structural changes from a three-dimensional analysis. We find significantly positive correlations between the United State and each of emerging country exhibiting some synchronicity. The finding shows that the benefits of diversification from international bond portfolios have fallen as correlations between global bond markets have increased. Next, China government bonds lead Brazil and India at the short-term frequency band, with China leading effect and playing a key role in the emerging bond markets. Finally, US government bonds lead every emerging country government bond over the time scales measured. This is especially true at the medium-term and long-term frequency bands, showing US government bonds, on behalf of the developed government bond markets, has an important role in leading and guiding emerging government bonds, which reinforces the information transmission and dynamic linkages in the financial markets between the US and emerging countries.

CONTENTS           
Abstract……………………………………………………………………………….1
1.	Introduction……………………………………………………………………..3
1.1	Explosive Behavior in the Government Bond Markets…………………..5
1.2	Dynamic Correlation Analysis of Government Bonds……………………7
2.	Explosive Behavior……………………………………………………………11
2.1	Methodology……………………….…………………………………….11
2.2	Data and Empirical Results……………………………………………...15
2.2.1	Summary Statistics……………………………………………...15
2.2.2	Empirical Results………………………………………………17
3.	Dynamic Correlation Analysis……………………………………………30
3.1	Methodology………………………………………………………30
3.2	Data and Empirical Results………………………………………..32
3.2.1	Linear Granger Causality Test……………………………….32
3.2.2	Nonlinearity Test…………………………………………….36
3.2.3	Wavelet Analysis…………………………………………….39
4.	Conclusion…………………………………………………………………53
References…………………………………………………………………………..56

LIST OF TABLES
Table 1. Summary statistics results …………………………………………………16
Table 2. SADF and GSADF test results for US10Y ………………………………...18
Table 3. SADF and GSADF test results for EU10Y………………………………...19
Table 4. SADF and GSADF test results for JP10Y…………………………………20
Table 5. SADF and GSADF test results for BR10Y ………………………………..21
Table 6. SADF and GSADF test results for CN10Y………………………………...22
Table 7. SADF and GSADF test results for IN10Y………………………………….23
Table 8. Linear Granger Causality Test ……………………………………………..35
Table 9. BDS test ……………………………………………………………………37
Table 10. Wavelet analysis between emerging government yields …………………50
Table 11. Wavelet analysis between US and emerging government yields ………...51
Table 12. The periods of significant positive correlation………………….………...52






LIST OF FIGRUES
Figure 1. GSADF test of US 10-year benchmark government bond yield……….….24
Figure 2. GSADF test of Germany 10-year benchmark government bond yield…....25
Figure 3 GSADF test of Japan 10-year benchmark government bond yield………...26
Figure 4 GSADF test of Brazil 10-year benchmark government bond yield…..…....27
Figure 5 Squared wavelet coherency and phase difference between 
BR10YT and CN10YT…………..………………………………...….......44
Figure 6 Squared wavelet coherency and phase difference between
BR10YT and IN10YT……………………………………………............45
Figure 7 Squared wavelet coherency and phase difference between
CN10YT and IN10YT……………………………………………..….…..46
Figure 8 Squared wavelet coherency and phase difference between
BR10YT and US10YT………………………………………………........47
Figure 9 Squared wavelet coherency and phase difference between 
CN10YT and US10YT……………………………………………...........48
Figure 10 Squared wavelet coherency and phase difference between
IN10YT and US10YT…………………………………………………....49

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