The research of the influence of the economical variable to the government bond''s yield rate

• Main Authors: Chih-Yu Chien, 簡至昱
• Other Authors: Keng-Yu Ho
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/75770384336086383719

碩士 === 國立中央大學 === 財務金融學系碩士在職專班 === 96 === Capital market is an important channel between the fund demand and supply, and it’s essential for national economic development. Only capital market with depth, extent and flexibility can efficiently accommodate the two parties, and make the fund demand side can get what they need and lower the capital cast. In addition, it assists the market in raising investment intension, risk management and progress of national economy. Because of the effort made by the authority, bond market in Taiwan makes great strides in electronic trading, settlement and financial innovation. In the market with fast-growing trading volume and developing emphasis on risk management, at the same time, we should find the variables which mostly affect the market to do further researches and empirical analysis. To find out the relationship between bond yield and external influence triggers my incentive to start in this paper. In this paper, I use the time-series method to study the relationship between Taiwan government 10-year bond yield(BY) and other economic variables including CPI, MIB, leading business cycle index(BC), industrial production index(PI), exchange rate between NT dollars/US dollars(EX), and Taiwan value-weighted stock index(SI). The results show that all the variables have a unit root and except for BY, BC and PI is I(1), all other variables are I(0). Subsequently, I find out that except for PI and BC, all other factors don’t have co-integration relation with BY. Next, I use VAR to investigate the causation among BY and other variables, the results show that BY is affected by itself mostly and BY is the causality of other variables.If we used PI as a proxy for economy growth, we can say that bond yield has a significant relation with economy growth.