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題名 貨幣政策與政府債券殖利率：臺灣的實證研究
The Impact of Monetary Policy on Government Bond Yields: Empirical Evidence from Taiwan
作者 林沂臻
Lin, Yi-Jhen
貢獻者 洪福聲
Hung, Fu-Sheng
林沂臻
Lin, Yi-Jhen
關鍵詞 貨幣政策
外溢效果
風險中立
期限溢酬
COVID-19疫情
Monetary policy
Spillover effects
Risk neutral
Term premium
COVID-19 pandemic
日期 2025
上傳時間 1-Jul-2025 15:35:57 (UTC+8)
摘要 當前國際金融環境劇烈波動，國內外貨幣政策對臺灣債券殖利率的影響日益重要。特別是在COVID-19疫情期間，市場對政策訊號的反應方向與強度出現明顯改變。為釐清背後傳導機制，本文將殖利率拆解為風險中立利率與期限溢酬兩部分，區分貨幣政策對不同天期債券的傳導機制。研究採用迴歸模型分析2009年至2024年間臺灣與美國貨幣政策對兩年期、十年期、二十年期與三十年期債券殖利率的影響。結果發現，臺灣貨幣政策對短期殖利率有正向效果，主要透過風險中立利率傳導；而對中長期殖利率則呈現負向影響，並主要透過期限溢酬傳導，而美國政策亦呈現顯著外溢效果。相較現有文獻多以整體殖利率為觀察對象，本文細緻拆解傳導機制，提供更精確的政策評估依據。
In the current environment of heightened global financial volatility, the impact of domestic and international monetary policies on Taiwan's government bond yields has become increasingly significant. Notably, during the COVID-19 pandemic, the market’s response to policy signals shifted markedly in both direction and intensity. To clarify the underlying transmission mechanism, this study decomposes bond yields into risk neutral components and term premiums, identifying how monetary policy affects bonds of different maturities. Using regression models, the study analyzes the effects of Taiwanese and U.S. monetary policies on 2-year, 10-year, 20-year, and 30-year bond yields from 2009 to 2024. The results show that Taiwanese monetary policy has a positive effect on short-term yields, mainly through the risk-neutral component, while it exerts a negative influence on medium- and long-term yields, primarily via the term premium. U.S. monetary policy also exhibits significant spillover effects. Unlike existing literature, which often focuses on overall yield changes, this study provides a more nuanced view of transmission mechanisms, offering a refined basis for policy evaluation.
參考文獻 一、中文文獻 王凱立、林卓民與王美智（2010），總體經濟因素與資訊傳遞效果於美國與臺灣債券市場動態過程之研究，管理與系統，17(4), 611-636。 林雍盛（2012），貨幣政策衝擊對股價的影響: 台灣, 美國的實證研究─ SVAR 模型之應用，中正大學經濟系國際經濟研究所學位論文， 2012, 1-61。 徐曉宣（2021），貨幣政策變動與股市報酬: 臺灣產業股價指數之分析，國立清華大學經濟學系學位論文，2021, 1-52。 黃怡瑄（2007），低利率時期, 貨幣政策是否有效?，淡江大學經濟學系碩士班學位論文，2007, 1-55。 葉佳琦（2019），臺灣貨幣政策衝擊對匯率的影響: 股票市場和債券市場的資本流動，國立清華大學經濟學系學位論文，1-48。 二、英文文獻 Adrian, T., Crump, R. K. and Moench, E. (2013). Pricing the term structure with linear regressions. Journal of Financial Economics, 110(1), 110-138. Ahmed, S., Akinci, O. and Queralto, A. (2024). US monetary policy spillovers to emerging markets: both shocks and vulnerabilities matter. International Finance Discussion Papers, 1321, Board of Governors of the Federal Reserve System. Albagli, E., Ceballos, L., Claro, S. and Romero, D. (2019). Channels of US monetary policy spillovers to international bond markets. Journal of Financial Economics, 134(2), 447-473. Chen, K. C. (2022). The spillover effects of US unconventional monetary policy on the Taiwanese economy. International Journal of Economics and Financial Issues, 12(2), 104-109. Gürkaynak, R. S., Sack, B., & Wright, J. H. (2006). The US Treasury yield curve: 1961 to the present. Journal of monetary Economics, 54(8), 2291-2304. Kalemli-Özcan, Ṣ. (2019). US monetary policy and international risk spillovers (No. w26297). National Bureau of Economic Research. Kao, C. W. and Wan, J. Y. (2024). Bank risk-taking and monetary policy: empirical results for Taiwan. Economics and Business Quarterly Reviews, 7(2). Lakdawala, A., Moreland, T. and Schaffer, M. (2021). The international spillover effects of US monetary policy uncertainty. Journal of International Economics, 133, 103525. Lee, C. C. and Lee, C. C. (2023). International spillovers of US monetary uncertainty and equity market volatility to China’s stock markets. Journal of Asian Economics, 84, 101575. Park, K. Y. and Um, J. Y. (2016). Spillover effects of United States’ unconventional monetary policy on Korean bond markets: evidence from high‐frequency data. The Developing Economies, 54(1), 27-58.
描述 碩士
國立政治大學
經濟學系
112258035
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112258035
資料類型 thesis
dc.contributor.advisor 洪福聲zh_TW
dc.contributor.advisor Hung, Fu-Shengen_US
dc.contributor.author (Authors) 林沂臻zh_TW
dc.contributor.author (Authors) Lin, Yi-Jhenen_US
dc.creator (作者) 林沂臻zh_TW
dc.creator (作者) Lin, Yi-Jhenen_US
dc.date (日期) 2025en_US
dc.date.accessioned 1-Jul-2025 15:35:57 (UTC+8)-
dc.date.available 1-Jul-2025 15:35:57 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2025 15:35:57 (UTC+8)-
dc.identifier (Other Identifiers) G0112258035en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/157866-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) 112258035zh_TW
dc.description.abstract (摘要) 當前國際金融環境劇烈波動，國內外貨幣政策對臺灣債券殖利率的影響日益重要。特別是在COVID-19疫情期間，市場對政策訊號的反應方向與強度出現明顯改變。為釐清背後傳導機制，本文將殖利率拆解為風險中立利率與期限溢酬兩部分，區分貨幣政策對不同天期債券的傳導機制。研究採用迴歸模型分析2009年至2024年間臺灣與美國貨幣政策對兩年期、十年期、二十年期與三十年期債券殖利率的影響。結果發現，臺灣貨幣政策對短期殖利率有正向效果，主要透過風險中立利率傳導；而對中長期殖利率則呈現負向影響，並主要透過期限溢酬傳導，而美國政策亦呈現顯著外溢效果。相較現有文獻多以整體殖利率為觀察對象，本文細緻拆解傳導機制，提供更精確的政策評估依據。zh_TW
dc.description.abstract (摘要) In the current environment of heightened global financial volatility, the impact of domestic and international monetary policies on Taiwan's government bond yields has become increasingly significant. Notably, during the COVID-19 pandemic, the market’s response to policy signals shifted markedly in both direction and intensity. To clarify the underlying transmission mechanism, this study decomposes bond yields into risk neutral components and term premiums, identifying how monetary policy affects bonds of different maturities. Using regression models, the study analyzes the effects of Taiwanese and U.S. monetary policies on 2-year, 10-year, 20-year, and 30-year bond yields from 2009 to 2024. The results show that Taiwanese monetary policy has a positive effect on short-term yields, mainly through the risk-neutral component, while it exerts a negative influence on medium- and long-term yields, primarily via the term premium. U.S. monetary policy also exhibits significant spillover effects. Unlike existing literature, which often focuses on overall yield changes, this study provides a more nuanced view of transmission mechanisms, offering a refined basis for policy evaluation.en_US
dc.description.tableofcontents 第ㄧ章 緒論 8 第一節 研究背景與動機 8 第二節 研究目的 10 第三節 章節安排 11 第二章 文獻回顧 12 第一節 臺灣貨幣政策對臺灣債券市場的文獻 12 第二節 美國貨幣政策對先進及開發中國家外溢效果的文獻 14 第三節 美國貨幣政策對股匯債各個市場外溢效果的文獻 16 第三章 模型設定與資料來源 20 第一節 模型設定 20 第二節 資料來源 25 第三節 敘述性統計 27 第四章 實證結果 30 第一節 貨幣政策對兩年期債券殖利率的影響 30 1.1臺灣貨幣政策對兩年期債券殖利率的影響 31 1.2美國貨幣政策對兩年期債券殖利率的影響 32 1.3在疫情與非疫情期間美國貨幣政策對兩年期債券殖利率的影響 34 第二節 貨幣政策對十年期債券殖利率的影響 37 2.1臺灣貨幣政策對十年期債券殖利率的影響 37 2.2美國貨幣政策對十年期債券殖利率的影響 38 2.3在疫情與非疫情期間美國貨幣政策對十年期債券殖利率的影響 40 第三節 貨幣政策對二十年期債券殖利率的影響 42 3.1臺灣貨幣政策對二十年期債券殖利率的影響 43 3.2美國貨幣政策對二十年期債券殖利率的影響 44 3.3在疫情與非疫情期間美國貨幣政策對二十年期債券殖利率的影響 46 第四節 貨幣政策對三十年期債券殖利率的影響 48 4.1臺灣貨幣政策對三十年期債券殖利率的影響 49 4.2美國貨幣政策對三十年期債券殖利率的影響 50 4.3在疫情與非疫情期間美國貨幣政策對三十年期債券殖利率的影響 52 第五章 結論與建議 55 第一節 研究結論 55 第二節 政策建議 57 第三節 後續研究方向 57 參考文獻 59zh_TW
dc.format.extent 1079432 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112258035en_US
dc.subject (關鍵詞) 貨幣政策zh_TW
dc.subject (關鍵詞) 外溢效果zh_TW
dc.subject (關鍵詞) 風險中立zh_TW
dc.subject (關鍵詞) 期限溢酬zh_TW
dc.subject (關鍵詞) COVID-19疫情zh_TW
dc.subject (關鍵詞) Monetary policyen_US
dc.subject (關鍵詞) Spillover effectsen_US
dc.subject (關鍵詞) Risk neutralen_US
dc.subject (關鍵詞) Term premiumen_US
dc.subject (關鍵詞) COVID-19 pandemicen_US
dc.title (題名) 貨幣政策與政府債券殖利率：臺灣的實證研究zh_TW
dc.title (題名) The Impact of Monetary Policy on Government Bond Yields: Empirical Evidence from Taiwanen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文文獻 王凱立、林卓民與王美智（2010），總體經濟因素與資訊傳遞效果於美國與臺灣債券市場動態過程之研究，管理與系統，17(4), 611-636。 林雍盛（2012），貨幣政策衝擊對股價的影響: 台灣, 美國的實證研究─ SVAR 模型之應用，中正大學經濟系國際經濟研究所學位論文， 2012, 1-61。 徐曉宣（2021），貨幣政策變動與股市報酬: 臺灣產業股價指數之分析，國立清華大學經濟學系學位論文，2021, 1-52。 黃怡瑄（2007），低利率時期, 貨幣政策是否有效?，淡江大學經濟學系碩士班學位論文，2007, 1-55。 葉佳琦（2019），臺灣貨幣政策衝擊對匯率的影響: 股票市場和債券市場的資本流動，國立清華大學經濟學系學位論文，1-48。 二、英文文獻 Adrian, T., Crump, R. K. and Moench, E. (2013). Pricing the term structure with linear regressions. Journal of Financial Economics, 110(1), 110-138. Ahmed, S., Akinci, O. and Queralto, A. (2024). US monetary policy spillovers to emerging markets: both shocks and vulnerabilities matter. International Finance Discussion Papers, 1321, Board of Governors of the Federal Reserve System. Albagli, E., Ceballos, L., Claro, S. and Romero, D. (2019). Channels of US monetary policy spillovers to international bond markets. Journal of Financial Economics, 134(2), 447-473. Chen, K. C. (2022). The spillover effects of US unconventional monetary policy on the Taiwanese economy. International Journal of Economics and Financial Issues, 12(2), 104-109. Gürkaynak, R. S., Sack, B., & Wright, J. H. (2006). The US Treasury yield curve: 1961 to the present. Journal of monetary Economics, 54(8), 2291-2304. Kalemli-Özcan, Ṣ. (2019). US monetary policy and international risk spillovers (No. w26297). National Bureau of Economic Research. Kao, C. W. and Wan, J. Y. (2024). Bank risk-taking and monetary policy: empirical results for Taiwan. Economics and Business Quarterly Reviews, 7(2). Lakdawala, A., Moreland, T. and Schaffer, M. (2021). The international spillover effects of US monetary policy uncertainty. Journal of International Economics, 133, 103525. Lee, C. C. and Lee, C. C. (2023). International spillovers of US monetary uncertainty and equity market volatility to China’s stock markets. Journal of Asian Economics, 84, 101575. Park, K. Y. and Um, J. Y. (2016). Spillover effects of United States’ unconventional monetary policy on Korean bond markets: evidence from high‐frequency data. The Developing Economies, 54(1), 27-58.zh_TW