Examine the Relationship between the Yield Curve of Taiwanese Goverment Bond with Macroeconomic Variables

• Main Authors: Jun-Hao Hu, 胡峻豪
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/06973150601086277722

碩士 === 東吳大學 === 經濟學系 === 94 === 　　By May 2006, the U.S Federal Reserve had raised short-term interest rates 16 times by 25 basis points taking the benchmark rate from 1% to 5% since June 2004 for the Fed. rate hike cycle. Yet, paradoxically, long-term bond yields have continued to fall. There is doubt whether the US economy slowing down. 　　The Central Bank of China （Taiwan） hiked discount rates by 25 basis points to 1.625% from Oct. 2004 increasing the rate by 0.625% to 2.375%. Taiwan’s 10 years Government bond yield fell more than the discount rate within this time. What is the meaning of the reversal in the yield curve? To adequately respond to this question requires close study of the relationship between the Taiwan Government bond yield curve and macroeconomic variables. 　　The purpose of this thesis is to discuss the mutual relationship between three interest factors in Taiwan and macroeconomic variables. First of all, this study examines Nelson-Siegel model as applied to the Taiwan Government bond yield curve. It then uses vector autoregressive（VAR） or vector error correction（VEC） models to explore Nelson-Siegel model to identify the purpose outlined above. 　　This thesis points out （1）Nelson-Siegel model provides a reasonably flexible understanding of the Taiwanese Governments bond yield curve. Moreover, three interest factors exert a strong influence on the Taiwan Government bond yield curve by the yield curve explanation in the means of R-squared and T-test at the level of 5%. （2）It is to be noted that a Cointegrating Equation exists between variables from VEC model. The long-term interest factor has a negative correlation with output level and establishes a positive correlation with prices level and discount rate. Analysis of the variable short-term dynamic adjusted by the short-term error adjustment coefficients of VEC model indicated the following conclusions. The impact of output level on the interest rate factor is likely to decline with a longer interest rate; there is no serious relationship between prices level and interest factor, and short term and medium term interest factor are affected significantly by discount rates.