政大學術集成


Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/37783


Title: 台灣公債殖利率決定因素的探討
Other Titles: The Determinants of Public Bond Yield in Taiwan
Authors: 黃仁德
Date: 1999-12
Issue Date: 2009-10-10 21:56:44 (UTC+8)
Abstract: 本文利用APT模型與純隨機漫步模型,以1996年6月1日至1997年7月31日為樣本分析期間,對台灣公債之殖利率的決定因素進行分析。首先,APT模型的實證迴歸結果顯示,除7年期央債82-3外,匯率與公債殖利率呈顯著的正相關,匯率每上升1%,公債殖利率約上升0.17%至0.65%;商業本票利率與四種公債的殖利率均呈顯著的正相關,商業本票利率每上升1%,公債殖利率約上升0.01%至0.28%;除5年期央債82-2外,股價指數與公債殖利率呈顯著的負相關,股價指數每上升1%,公債殖利率約下降0.13%至0.79%。其次,單根檢定的結果顯示,在樣本期間,3年期的央債85-2、5年期的央債82-2、7年期的央債82-3、及10年期的央債83-1之殖利率的演化過程,均呈純隨機漫步過程。最後,進行樣本外預測,以平均平方誤差平方根為衡量標準,比較APT模型與隨機漫步模型的預測能力,結果發現公債的償還期限愈長,使用APT模型對殖利率進行預測愈準確。 In this paper, APT model is used to analyze the determinants of public bond yield in Taiwan based on daily data from June 1, 1996 to July 31, 1997. The empirical analysis by APT model shows that public bond yield has significant positive correlation with New Taiwan dollar /U.S. dollar exchange rate and interest rate of commercial paper, and has significant negative correlation with stock price index. The unit root test shows that the evolution of public bond yield is random walk in the sample period. Finally, comparing the out-of- sample yield forecasting ability of APT model and random walk model by measuring the root mean square error, the results show that the longer duration of public bond, the more accurate of yield forecasting produced by APT model.
Relation: 政大學報,79(2),63-98
Data Type: article
Appears in Collections:[Department of Economics] Periodical Articles
[Issue 79] Journal Articles

Files in This Item:

File SizeFormat
109.pdf2382KbAdobe PDF1407View/Open


All items in 學術集成 are protected by copyright, with all rights reserved.


社群 sharing