總體經濟指標與公債殖利率之關聯性研究

Abstract

在市場日益活絡與風險控管愈來愈受到重視的同時，對債券成交價格及外在影響因素之相關性，應尋找主要影響變數作更深入的探討及實證分析，因而觸發對公債殖利率與總體經濟指標長期相關性之研究動機。 本文擷取台灣地區1995年1月至2007年12月止，共156筆月資料，包含公債殖利率、消費者物價總指數、貨幣供給額、失業率、商業本票次級市場利率、金融機構放款及投資總額等總體經濟指標。透過Johansen共整合模型來檢定其是否存在長期穩定關係，同時以誤差修正模型來探討短期動態調整過程。實證結果發現此六個變數存在共整合關係，且債券殖利率與消費者物價指數、貨幣供給額、商業本票次級市場利率為正相關的關係。誤差修正模型結果顯示，在誤差修正模型以債券殖利率為因變數時，若各變數間因受到外生衝擊而偏離長期均衡，則向量誤差修正模型將藉由誤差修正項的調整使偏離程度逐漸消失而回復至長期均衡水準。

In today’s active and risk-management emphasized markets, in order to gain some insights into the correlation between bond prices and other external factors, we decide to deep look into more major influence variables and the empirical analysis. It provides the motive in conducting an extensive research on the correlation between the T-bond yields and macroeconomics indicators. This research adopts 156 monthly macroeconomic indicators (from 1995/1 to 2007/12), including T-bond yields, CPI, Monetary Supply, unemployment rate, commercial paper market secondary rate, outstanding loans of financial institutions, and gross investments. We employ the Johansen cointegration to test the existence of long-term and stable correlation, and employ the Error Correction Model to discuss the short-term dynamic adjusting process. The testing results confirm the cointegration relationship among the variables. The T-bond yields are positively related to the CPI, Monetary Supply, and commercial paper market secondary rate respectively. In the Error Correction Model, using the T-bond yields as the dependent variable, even if these (independent) variables deviate from the long-term equilibrium due to some external impacts, the deviation of the Error Correction Model will gradually narrow and in the end return to equilibrium .According to the results, the inclusion of the proxy variants of human capital, innovation capital, and customer capital into the price model respectively shows better explanation and provides higher correlations.