本研究應用雙變量ARCH-M模型進行分析已開發國家和開發中國家之短期利率波動對利率期限結構的影響，並比較兩組樣本之差異。
結果與建議﹕
一、短率波動率解釋短期利率的變動在已開發國家的能力較開發中國家來的好。
二、短率波動率對利率期限結構斜率的解釋能力不論在開發中國家或是已開發國家都非常的良好，尤其已開發國家全數得1%顯著水準。
三、本文短率波動率與利率期限結構斜率(10Y-3M spread)得到顯著正向關係的結論為日、德、加、台、泰、新共6個國家；英國和南韓2個國家得到顯著負向關係的結論。
四、短率波動對短期利率的變動及是正向或負向影響與國家開發程度無關連；同樣的，短率波動對利率期限結構斜率是正向或負向影響也與國家開發程度無關連。

The aim of this study is to empirically verify the effect of interest-rate variance on the shape of the yield curve with the use of ARCH-M model for the short-rate changes and the yield curve slope, that based on sample taken from developed countries and developing countries. The empirical results show as follows:
1.	The relationship of the change in interest rate variance that lead to a change in short term interest rate is better explained in our sample from the develop countries compare with the sample taken from developing countries. 
2.	The relationship between the change in interest rate variance to the change in its slope of yield curve do statistic significant value within 95% confidence interval in our sample both taken from developed and developing countries respectively. 
3. The positive relationship we proposed under our analysis does statistically significant value within 99% interval both in terms of its change in interest rate variance and in its slope of yield curve in our sample taken from Japan, Germany, Canada, Taiwan, Thailand and Singapore. However for countries that we find a negative correlated relationship as in United Kingdom and South Korea.
4.	Both positive and negative relationship between the change in interest rate variance to the change in short term interest rate is independent of country development level. Both positive and negative relationship between the change in interest rate variance to the change in its slope of yield curve is independent of country development level.

第一章 緒  論	1
第一節	研究背景與動機	1
第二節  研究架構.	3
第二章 理論基礎與文獻回顧	5
第一節  理論基礎	5
一、利率期限結構之理論基礎	5
(一)預期理論	6
(二)流動性貼水理論	7
(三)習性偏好理論	7
(四)市場區隔理論	8
二、利率價差交易(Yield Spread Trades)	9
第二節  文獻回顧	11
一、預期理論相關文獻	11
(一) 國外部分	11
(二) 國內部分	13
二、長短期利差與景氣循環相關文獻	16
(一) 國外部分	16
(二) 國內部分	18
第三章 研究方法	20
第一節 單根檢定（UNIT ROOT TEST）	20
一、Dickey–Fuller（DF）單根檢定法	20
二、Augmented Dickey–Fuller（ADF）單根檢定法	21
三、Phillips–Perron（PP）單根檢定法	22
第二節 雙變量ARCH-M模型	24
一、自我迴歸條件異質變異數模型(ARCH Model)	24
二、雙變量ARCH-M模型	25
第四章 實證結果與分析	27
第一節 資料來源與處理	27
第二節 短期利率及長短期利差分配性質	30
一、基本統計量分析	30
二、單根檢定	42
第三節 雙變量 ARCH-M模型估計	47
一、ARCH效果之模型殘差項分析	47
二、雙變量 ARCH-M模型	48
第五章 結論與建議	59
第一節  結論	59
第二節  未來研究方向建議	61
參考文獻	62
一、國外部分	62
二、國內部分	67
表目錄
【表2-1-1】利率變動一基本點之價格變化 BASIS POINT VALUE,22 OTC.1999……	10
【表4-2-1】已開發國家短期利率變動與斜率(長短期利差)變動之基本統計量…...	…31
【表4-2-2】開發中國家短期利率變動與斜率(長短期利差)變動之基本統計量…....…31
【表4-2-3】3個月短率與 10年和3個月利差之單根檢定(水準項)…………………..42
【表4-2-4】已開發10年和3個月利差之單根檢定(差分項)……………………….….43
【表4-2-5】開發中國家3個月短率與 10年和3個月利差之單根檢定(水準項)….	....44
【表4-2-6】開發中國家10年和3個月利差之單根檢定(差分項)………………….	…45
【表4-3-1】已開發ARCH效果之模型殘差項分析…………………………………47
【表4-3-2】已開發ARCH效果之模型殘差項分析…………………………………48
【表4-3-3】已開發國家雙變量ARCH-M模型各項參數估計結果…………………	…51
【表4-3-4】開發中國家雙變量ARCH-M模型各項參數估計結果…………………	…52
【表4-3-5】雙變量ARCH-M模型短率差參數估計結果比較………………………	…57
【表4-3-6】雙變量ARCH-M模型長短期利差參數估計結果比較………..…………57
圖目錄
【圖4-2-1】日本短率變動與利率期限結構斜率趨勢圖…………………………32
【圖4-2-2】德國短率變動與利率期限結構斜率趨勢圖…………………………32
【圖4-2-3】英國短率變動與利率期限結構斜率趨勢圖…………………………33
【圖4-2-4】加國短率變動與利率期限結構斜率趨勢圖…………………………33
【圖4-2-5】台灣短率變動與利率期限結構斜率趨勢圖…………………………34
【圖4-2-6】泰國短率變動與利率期限結構斜率趨勢圖…………………………34
【圖4-2-7】南韓短率變動與利率期限結構斜率趨勢圖…………………………35
【圖4-2-8】新加坡短率變動與利率期限結構斜率趨勢圖………………………35
【圖4-2-9】日本3個月短率與10年期長率趨勢圖……………………..………37
【圖4-2-10】德國3個月短率與10年期長率趨勢圖……………………………37
【圖4-2-11】英國3個月短率與10年期長率趨勢圖……………………………38
【圖4-2-12】加國3個月短率與10年期長率趨勢圖……………………………38
【圖4-2-13】台灣短率3個月短率與10年期長率趨勢圖………………………39
【圖4-2-14】泰國3個月短率與10年期長率趨勢圖……………………………39
【圖4-2-15】南韓3個月短率與10年期長率趨勢圖……………………………40
【圖4-2-16】新加坡3個月短率與10年期長率趨勢圖…………………………40

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