| Summary: | 碩士 === 國立臺北大學 === 統計學系 === 94 === The operation system of the stock market and money market in our country has been very mature up to date. In the field of academic research, there were many related probes on the stock price and stock index future. Comparatively, for the bond market belonging to the same financial market, it started at later date and was in slow progressing, there were less probes on the bond price and yield.
I hope this research can help our country’s financial department do some adjustment on the interest rate. And ever more I hope that this research can offer the industry and investment people to adjust their investing strategy and strengthen their profit from liability and investment.
This research collects the volatility factors of Taiwan government bond yield. I chose 18 index as my research subjects from my personal 16 years of practical experience in bond business. And I probed the influence of the significant volatility factors of Taiwan government bond yield with the following actions:
1) I made a collinearity analysis for the selected index data to
judge whether the selected variables existing collinearity.
2) I made an autocorrelation and unit root test to gain the data
stationary.
3) Established the best regression equation of the interest
fluctuation by using multiple regression model, so that we could
judge the waving trend of interest rate.
4) We discussed the significance of affected factors from the data
of F test, t test, and residual analysis.
5) Finally, I made the fitted analysis with the Logistic regression
model.
With the theory analysis and substantial testing, I got the following conclusions:
1) Proceeding the regression analysis with the independent
variables, Annual Growth Rate of Consumer Price Index, Annual
Rate of Change in Wholesale Price Index, Monitoring Indicators
Total Scores, Leading Index, Coincident Index, Annual Rate of
Change in Money Supply-M1B, Taiwan Weighted Stock Index, Spot
Exchange Rate-N.T.Per U.S.$, U.S. 10-year Treasury Bond yield,
and Issued By Central Government Outstanding, etc.
2) In the meanwhile, with the best multiple regression equation of
Taiwan 10-year government bond yield established by the stepwise
regression, forward selection, and backward elimination, we know
that when Alfa at 0.05 significance level, the important factors
of affecting the government bond yield are the five indexes,
Annual Growth Rate of Consumer Price Index, Annual Rate of Change
in Wholesale Price Index, Monitoring Indicators Total Scores,
Annual Rate of Change in Money Supply-M1B, and U.S. 10-year
Treasury Bond yield, including in the four factors, Expected
inflation, Business cycle, Money supply, and International bond
yield.
3) By probing Logistic regression model v.s. Taiwan 10-year
government bond yield, we got the same conclusion and good
explanation that: the four indexes, Annual Growth Rate of
Consumer Price Index, Annual Rate of Change in Wholesale Price
Index, Monitoring Indicators Total Scores, and Annual Rate of
Change in Money Supply-M1B, are the significantly independent
variables to Taiwan 10-year government bond yield, which are also
the most important four economic indicators of affecting the bond
yield according to my personal 16 years of experience in bond
business.
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