| Summary: | 碩士 === 國立臺北商業技術學院 === 財務金融研究所 === 95 === This thesis investigates the relationship of the short-term interest rate between American、England、Japan、Taiwan、China、Hong-kong、Korea and Singapore, totally eight countries.
To avoid spurious regression, we first use unit root test to label these data as stationary/non-stationary. Then we discuss the causality of the interest rates between these eight countries by means of Granger Causality test to investigate the leading/lagging relationship. If the interest rate series are non-stationary, we must use Johansen Co-integration Test to see whether the rates of the non-stationary countries have co-integration relation or not. If there exits co-integration relation, we construct VECM to analyze Impulse Response Function and Variance Decomposition.
From this thesis, we get the results as following：（1）Only the rate of Japan is I(0) series, the rates of the other seven countries having unit root, are both I(1) series. By Johansen Co-integration Test, it shows that four cointegrating vectors exists in these seven rates. This means that the interest rates between these seven countries have long-term equilibrium relationship.（2）The rates of American and England provide leading indicators for the movement of the rate of Taiwan.（3）The rate of American provides a leading indicator for the movements of the rates of England and Hong-kong. Only an unidirectional causality running from the rate of England to the rate of Hong-kong is found.（4）After 1 year (12 months period), the explanatory proportion of the rates of Taiwan、China、Hong-kong、Korea and Singapore only describes 12.76% of the variance decomposition in the rate of American. It’s clear that American is the No.1 international financial center.（5）From the variance decomposition table of Taiwan, we find that after 1 year the explanatory proportion of the rate of American describes 61.55% in the rate of Taiwan. This conclusion is the same as the result of the Granger Causality between American and Taiwan(an unidirectional causality runs from the rate of American to the rate of Taiwan). （6）The rate of Hong-kong is deeply influenced by the rates of American、England and Taiwan, not China.
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