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題 名 | 臺灣、日本、英國及美國公債市場動態關聯性之研究=A Study on the Dynamic Relationships about Government Bond Market in Taiwan, Japan, United Kingdom & United States |
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作 者 | 徐清俊; 陳彥豪; | 書刊名 | 修平學報 |
卷 期 | 8 2004.03[民93.03] |
頁 次 | 頁193-216 |
分類號 | 564.5 |
關鍵詞 | 共整合; 向量誤差修正模型; Granger因果關係檢定; 衝擊反應函數; 預測誤差變異數分解; Cointegration; Vector error; Correction model; Granger causality tests; Impulse reponse; Variance decomposition; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究針對臺灣、日本、英國及美國的公債市場,運用共整合、向量誤差修正模型、Granger因果關係檢定及衝擊反應函數和預測誤差變異數分解等方法,來探討這四國十年期公債殖利率的關聯性,實證結果發現,(1)除了臺灣與美國外,其他國家市場間皆具有長期共整合的趨勢。(2)以向量誤差修正模型分析得知,臺灣當期的殖利率變動較為獨立,主要受到本國前兩期的影響,對於其他國家的影響較不顯著;而日本及英國當期殖利率變動,則除了受到自己本身前期的影響外,也會受到其他三國的影響而調整;另外單獨由美國的影響來看,除了對臺灣沒有顯著影響外,對於其他各國則都有明顯的影響關係存在,顯示美國在美球整體金融環境上,仍扮演著相當重要的角色。(3)在衝擊反應函數和誤差變異數分解方面,各國殖利率變動一單位標準差的衝擊。反應,其中以對於本國當期的衝擊力量最大,然後逐漸收斂,而累積效果上各國間皆為正向的影響,可見各市場間有同向變動的趨勢;預測變異數分解中則顯示,變數對自身之解釋能力最大,而各變數間之領先、落後關係為美國領先英國領先日本領先臺灣。(4)Granger因果關係檢定結果則較不明顯。在10%的顯著水準時,只有臺灣影響日本與美國的單向因果關係,以及日本與英國、日本與美國間有雙向回饋的因果關係存在。 |
英文摘要 | This article investigates the interrelationships of government bond market among Taiwan, Japan, United Kingdom (UK), and the United States (US). Using cointegration, vector error correction model (VECM), impulse response and variance decomposition techniques to analyze this issue, we get the results as following: (1)Except for Taiwan and US, there are long cointegration trends for Japan and UK. (2)The VECM reveals that the movement of current yield of Taiwan is independent from other countries. Both Taiwan and US affect the movements of current yields of Japan and UK. Therefore, US have significant effects on the other countries beside Taiwan. This result shows that United States still play an important role in the whole world financial market. (3)As for the analysis of impulse response, changing one standard deviation of each variable has the largest impulse at the first period, and then gradually decreases. Accumulative effects of each market are positive. Finally, analysis of variance decomposition shows that each variable has greatest interpretative ability for itself. And the lead-lag relationship among four countries is that US is higher than UK, Japan, and Taiwan. (4)The result in Granger causality tests is unapparent. Only in 10% significant level, there are one-way causal relationship from Taiwan to Japan and US. As well as there are also feedback relations among Japan, UK and US. |
本系統中英文摘要資訊取自各篇刊載內容。