| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 97 === This study examines the relationship of government bond yield between Taiwan and US using daily closing data over the period Apr. 2005 to Nov. 2008.We employed the threshold error-correction model (TECM) to investigate the asymmetric causal relationship between Taiwan and US bond market before and after the subprime mortgage crisis.
The KSS nonlinear stationary test and NP, PP, KPSS conventional unit-root tests suggested that both data series are integrated of order one, i.e. I(1) series. The AIC rules suggested that the most preferable model for our adjustment mechanism is the M-TAR model before the subprime crisis and TAR model after the subprime crisis.Empirical results found the existence of threshold co-integration between Taiwan and US bond market before and after the subprime crisis.Our empirical results also showed that existence an unidirectional causality relationship running from US bond market to Taiwan bond market before the subprime crisis, and a bidirectional feedback causality relationship between US and Taiwan bond market after the subprime crisis.
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