The Relationship between Financial Market Variables and Government Bond Yield in Taiwan

• Main Authors: Shen-Tung Chang, 張申東
• Other Authors: 聶建中
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/09770985902221522843

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 95 === The purpose of this paper is to examine the relationship between financial market variables and government bond yield in Taiwan. We examine the stability of variances with ADF unit root test and check all the variables if exist stable equilibrium relationship in co-moving in the long run by using the cointegration test. We also use vector error correction model to analyze the effect of the dynamic regulation over the long and short term. And we add impulse response function and variance decomposition to observe the effect in the long and short run and the explanation of fluctuations. The results show that, (1) in the long term, CP rate, exchange rate, RP rate and stock index affect the government bond yield the most, and these 5 factors may lead to an equilibrium in long term investment. (2) in the short term, the lags of government bond yield would affect the current government bond yield itself the most. (3) Besides the historical data, investors are suggested to refer the CP rate, exchange rate, RP rate, stock index, and the lags of government bond yield itself.