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題 名 | 臺灣附買回債券利率與總體經濟因素之關聯性研究=The Relationship between Macroeconomic News and Repurchases of Bond Rate in Taiwan |
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作 者 | 徐清俊; 張議夫; | 書刊名 | 修平學報 |
卷 期 | 9 2004.09[民93.09] |
頁 次 | 頁195-213 |
分類號 | 563.538 |
關鍵詞 | 附買回債券; 共整合; 向量誤差修正; Repurchases of bond rate; Co-integration; VECM; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究主要探討總體經濟因素對附買回債券利率的影響,利用共整合及向量誤差修正模型來討論附買回債券利率與總體變數間長期均衡關係與長短期動態調整效果,另外在加入衝擊反應函數與預測變異數分解來觀察短期互動效果。實證結果歸納如下:(1)在長期均衡下,附買回債券利率會受到金融隔夜拆款利率以及就業影響而呈同方向的變動;股價指數與躉售物價指數則以30天期做為區別,30天內到期的附買回債券呈反向變動,而30天期以上則呈正相變化。(3)在預測附買回債券利率的趨勢時,金融隔夜拆款利率與躉售物價指數為重要的考慮因素,兩者對附買回債券利率呈單向因果關係,而股價指數則對30天內到期的附買回債券較具影響性。(3)在短期內附買回債券利率主要受到金融隔拆款利率的累積衝擊最為深遠呈正向波動,股價指數的衝擊性次之其造成的變動則呈現不一致的結果;而在變異數拆解方面,也是以貨幣市場中金融隔拆款利率的影響性為最主要來源能夠說明附買回債券利率25%變化的因素,躉售物價指數則是在一定水準值之間呈現穩定的波動,就業率與股價指數對於在一個月內到期的附買回債券利率影響較為明顯。 |
英文摘要 | The purpose of this study is to discuss the relationships between macroeconomic news and repurchases of bond rate in Taiwan, by using a co-integration test and a vector error correction model, which will provide a long-run equilibrium relation, an impulse response and forecast error variance asymptotics to obtain short-run dynamic interactions. Firstly, repurchases of bond rate affected by Interbank Call Loan rate & employment, which will co-movement in the long-run. Stock price index & Wholesale price index apparently have positive effect on 30 days sight. Secondly, the Interbank Call Loan rate & Wholesale price index have an important when predicting the repurchases of bond rate, further so, that there exist a unidirectional relationship to repurchases of bond rate. And stock price index is significantly greater on 30 days sight. Finally, in the short-run, an Interbank Call Loan rate principal shock repurchases of bond rate that have positive volatility, but stock price index is inconsistent. While, variance decompositions, repurchases of bond rate also affected by Interbank Call Loan rate that can explain the twenty-five percent movement, however, WPI always move up and down. Moreover, employment & stock price index innovations explain a large fraction of the variation in repurchases of bond rate on 30 days sight. |
本系統中英文摘要資訊取自各篇刊載內容。