A Study on Correlation between Taiwan Bond Market and Macroeconomic Variables before and after Global Financial Crisis

• Main Authors: Yu-Chun Huang, 黃育珺
• Other Authors: Wo-Chiang Lee
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/03526897241722683105

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 101 === This article investigates the dynamic relationship between Taiwan 10-year government bond yield and eight macroeconomic variables. The sample period contain monthly data of January 1998 to December 2012. In addition applying the Pearson product correlation coefficient and simple regression to test the significance and direction of bond yield regress on the macroeconomic variables. The study also tries to discuss the dynamic relationship between macroeconomic variables and Taiwan bond yield before and after the global financial crisis through copula function. The empirical results show that it is more significantly between the change of government bond yield and fundamental indicators before the financial crisis in 2008. After the financial crisis, in addition to half a year after the collapse of Lehman Brothers, the fundamentals indicators has a significance impact on yields, the others are not significant. But the amount of funds in the market and foreign exchange policy factors will affect the yield significantly increased. Regardless of before and after the financial crisis in 2008, the U.S. ten-year bond yields also has a significant impact on Taiwan bond yield. Moreover, the correlation between yield and macroeconomic variables is greater in bull than in bear market. Which implies that it is more accurate based on fundamentals as indicator in bull than bear market for bond investor.