本文利用雙變量GARCH模型，同時討論聯邦資金市場利率對於指標利率水準及條件波動度的影響。本文並針對貨幣政策預期或非預期的改變，以及政策透明度對於指標利率變化之影響，利用多變量GARCH模型做進行進一步之驗證。聯邦資金期貨利率改變對於長短期利率之影響，無論在利率水準及波動程度上皆顯著。聯邦資金現貨利率、聯邦資金目標利率之改變僅對短期利率之利率水準及波動度有影響，對長期利率僅影響其波動度。無論聯邦資金目標利率預期或非預期的改變，皆僅對短期利率水準有所影響，長期利率水準之影響並不顯著；此外，聯邦資金目標利率非預期的改變，會減低長短期利率的波動度，而預期的改變將增加長短期利率的波動度。最後當FOMC之政策立場被充分揭露時，對指標利率的波動度影響較小。

This study uses the bivariate-GARCH model to show that the impact of the Fed fund spot rate has significant effect on the volatility of the key rate, but not the level of the key rate .The impact of the Fed fund futures rate has significant effect on the level of the key rate.  In addition, this study shows that the expected and unexpected changes in the target rate have significant effect on the level and the volatility of the interest rates by the multivariate-GARCH. The unexpected changes in the target are with large and positive effects on the key rates, especially in short-term interest rate. Finally, the FOMC’s increased disclosure of its policy stance is good for the market in general.

第一章 緒論	1
第一節 研究動機	1
第二節 研究目的	2
第三節 研究架構	3
第四節 研究流程	5
第二章 理論基礎與文獻回顧	6
第一節 理論基礎	6
第二節 相關文獻	15
第三章 研究方法	19
第一節 單根檢定	19
第二節 共整合檢定	24
第三節 因果關係檢定	30
第四節 自我迴歸條件異質變異數模型	32
第五節 單變量GARCH模型	36
第六節 多變量GARCH模型	38
第四章 實證研究	43
第一節 基本統計量分析	46
第二節 數列定態與共整合檢定	47
第三節 聯邦資金現貨利率與聯邦資金期貨利率	50
第四節 聯邦資金目標利率之預期與非預期改變	53
第五章 結論	57
參考文獻	58
表 目 錄
【表4-1】各殖利率之基本統計量	46
【表4-2】ADF單根檢定法	47
【表4-3】Johansen’s共整合檢定法	48
【表4-4】歐洲美元期利率及20年期美國政府公債期貨利率之因果關係	49
【表4-5】聯邦資金目標利率、現貨利率與期貨利率之因果關係	49
【表4-6】 聯邦資金市場利率對歐洲美元期貨利率及20年期美國公債期貨利率之影響	51
【表4-7】 聯邦目標利率改變對歐洲美元期貨利率及20年期美國公債期貨利率之影響	54
【表4-8】聯邦資金市場利率改變對於指標利率之影響彙整	55

圖 目 錄
【圖2-1】貨幣政策的基本架構	8
【圖2-2】景氣循環、央行貨幣政策與市場利率關係圖	14
【圖4-1】Daily Fed Funds spot and futures rates	44
【圖4-2】Daily Eurodollar and Treasury bond futures rates	44
【圖4-3】Fed Funds spot and futures rates(First differenced)	45
【圖4-4】Eurodollar and Treasury bond futures rates(First differenced)	45

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