利率是總體經濟的重要變數，對經濟體系的影響非常廣泛，利率的走勢不但直接影響金融市場，更是政府當局貨幣政策操作的主要標的。利率被廣泛應用於衍生性商品定價及債券評價，為財務領域不可或缺的決定性因子。
本文以美國自1970年第一季至2009年第四季之總體經濟資料進行實證分析，探討美國長期利率的影響因子。由於實證資料具有條件異質變異特性，因此本文實證採取GARCH模型藉以捕捉此特性。而財務時間序列多呈現非常態的現象，故估計時使用Student-t分配進行配適。由前述之實證設計，釐清短期利率、預期通貨膨脹率、景氣循環、貨幣供給成長率、失業率及預算赤字對長期利率的影響為何。
實證結果指出：長期利率的落後期對於本期長期利率具有顯著之正向影響，且對長期利率變動的影響程度最大。事前短期實質利率與長期利率間也大多呈現正向關係。預期通貨膨脹率對長期利率有顯著的正向影響。景氣循環、預算赤字及貨幣供給成長率等變數對長期利率的影響方向不盡相同，且影響效果亦不明顯。GARCH-IS,LM模型的估計結果顯示失業率與長期利率呈現顯著負相關；而GARCH-LFT-IS,LM模型指出失業率與長期利率呈現顯著正相關。
瞭解長期利率的動態特性以及釐清長期利率的決定性因子，不僅可提升機構法人在進行衍生性商品定價的準確性，並可進一步作為政府財政部門擬定財政政策與中央銀行調整貨幣政策之重要參考依據。

The interest rate is not only a key economic variable but also a fundamental variable in theoretical and empirical finance. Its role is vital to government policies and the pricing of financial derivatives and fixed income securities. The purpose of this thesis is to employ the generalized autoregressive conditional heteroskedasticity (GARCH) model that incorporate the Student-t distributed errors into the innovations process exhibiting fat-tails in exploring the determination factors for ten-year Treasury bond yield in America. Ex-ante real short-term interest rate, expected inflation rate, business cycle, money supply growth rate, unemployment rate and federal budget deficit with quarterly frequency spanning from 1970 to 2009 provide alternatively economic variables for discussing their impact on long-term interest rate. 
Under loanable fund theory, IS-LM model and the combination of both theories, empirical results first indicate that the lag term of long-term interest rate not only has a significantly positive impact on its current term but also makes the largest impact degree compared to other economic variables used in this thesis. Second, there is a positive relationship between the ex-ante real short-term interest rate and the long-term interest rate for most cases. Third, the expected inflation rate significantly positive impacts on the long-term interest rate, while mixed results have been found for the variables of business cycle, budget deficit and monetary supply growth rate. Finally, the GARCH-IS,LM estimates indicate that the unemployment rate has a significantly negative impact on long-term interest rate, whereas the GARCH-LFT-IS,LM estimates suggest a significantly positive relationship between them. The empirical findings presented in this thesis facilitate accurate pricing of alternative financial derivatives for institutional investors. More importantly, governments may improve their decision making regarding fiscal and monetary policies when they have a good understanding of long-term interest rate dynamics and a good ascertainment of its determination factors.

目錄                                                                                              
                                                                    頁次
第一章 緒論	1
第一節 研究背景與動機	1
第二節 研究目的	4
第三節 研究架構	5
第四節 研究流程圖	6
第二章 文獻回顧	7
第一節 利率之相關理論背景	8
    一、財政政策 	8
    二、貨幣政策 	9
    三、利率波動因素分析 	9
    四、相關利率學說 	15
第二節 國內外文獻回顧	17
    一、國內相關文獻 	17
    二、國外相關文獻 	23
    三、文獻彙整 	28
第三章 研究方法	30
第一節 研究對象、研究期間與資料處理	30
    一、研究對象	30
    二、研究期間 	31
    三、資料處理 	31
第二節ARCH效果檢定	33
第三節GARCH模型設定	36
第四節 實證模型	38
    一、GARCH-LFT模型 	38
    二、GARCH-IS,LM模型 	40
    三、GARCH-LFT-IS,LM模型 	41
第四章 實證結果分析與探討	42
第一節 基本統計量分析	42
第二節 ARCH效果檢定結果	47
第三節 實證結果與分析	48
    一、GARCH-LFT模型之實證估計結果	49
    二、GARCH- IS,LM模型之實證估計結果	52
    三、GARCH-LFT-IS,LM模型之實證估計結果	54
第五章 結論	56
參考文獻	58
一、國內文獻	58
二、國外文獻	59

表目錄
頁數
【表2-1-1】 影響利率波動之因素.............................................................................14
【表3-1-1】 實證資料來源說明.................................................................................30
【表4-1-1】 變數之基本統計量.................................................................................42
【表4-2-1】 十年期公債利率之ARCH效果檢定....................................................47
【表4-3-1】 GARCH-LFT模型之估計結果.............................................................51
【表4-3-2】 GARCH-IS,LM模型之估計結果..........................................................53
【表4-3-3】 GARCH-LFT-IS,LM模型之估計結果..................................................55

圖目錄
頁數
【圖1-4-1】 研究流程圖...............................................................................................6
【圖2-1-1】 景氣循環、央行貨幣政策與市場利率關係圖.....................................10
【圖4-1-1】 十年期公債利率走勢圖.........................................................................45
【圖4-1-2】 預期通貨膨脹率走勢圖.........................................................................45
【圖4-1-3】 事前短期實質利率走勢圖.....................................................................45
【圖4-1-4】 景氣循環走勢圖.....................................................................................45
【圖4-1-5】 貨幣供給成長率走勢圖.........................................................................46
【圖4-1-6】 預算赤字走勢圖.....................................................................................46
【圖4-1-7】 失業率走勢圖.........................................................................................46

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