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| Title: | 貨幣政策與政府債券殖利率：臺灣的實證研究
The Impact of Monetary Policy on Government Bond Yields: Empirical Evidence from Taiwan |
| Authors: | 林沂臻
Lin, Yi-Jhen |
| Contributors: | 洪福聲
Hung, Fu-Sheng
林沂臻
Lin, Yi-Jhen |
| Keywords: | 貨幣政策
外溢效果
風險中立
期限溢酬
COVID-19疫情
Monetary policy
Spillover effects
Risk neutral
Term premium
COVID-19 pandemic |
| Date: | 2025 |
| Issue Date: | 2025-07-01 15:35:57 (UTC+8) |
| Abstract: | 當前國際金融環境劇烈波動，國內外貨幣政策對臺灣債券殖利率的影響日益重要。特別是在COVID-19疫情期間，市場對政策訊號的反應方向與強度出現明顯改變。為釐清背後傳導機制，本文將殖利率拆解為風險中立利率與期限溢酬兩部分，區分貨幣政策對不同天期債券的傳導機制。研究採用迴歸模型分析2009年至2024年間臺灣與美國貨幣政策對兩年期、十年期、二十年期與三十年期債券殖利率的影響。結果發現，臺灣貨幣政策對短期殖利率有正向效果，主要透過風險中立利率傳導；而對中長期殖利率則呈現負向影響，並主要透過期限溢酬傳導，而美國政策亦呈現顯著外溢效果。相較現有文獻多以整體殖利率為觀察對象，本文細緻拆解傳導機制，提供更精確的政策評估依據。
In the current environment of heightened global financial volatility, the impact of domestic and international monetary policies on Taiwan's government bond yields has become increasingly significant. Notably, during the COVID-19 pandemic, the market’s response to policy signals shifted markedly in both direction and intensity. To clarify the underlying transmission mechanism, this study decomposes bond yields into risk neutral components and term premiums, identifying how monetary policy affects bonds of different maturities. Using regression models, the study analyzes the effects of Taiwanese and U.S. monetary policies on 2-year, 10-year, 20-year, and 30-year bond yields from 2009 to 2024. The results show that Taiwanese monetary policy has a positive effect on short-term yields, mainly through the risk-neutral component, while it exerts a negative influence on medium- and long-term yields, primarily via the term premium. U.S. monetary policy also exhibits significant spillover effects. Unlike existing literature, which often focuses on overall yield changes, this study provides a more nuanced view of transmission mechanisms, offering a refined basis for policy evaluation. |
| Reference: | 一、中文文獻
王凱立、林卓民與王美智（2010），總體經濟因素與資訊傳遞效果於美國與臺灣債券市場動態過程之研究，管理與系統，17(4), 611-636。
林雍盛（2012），貨幣政策衝擊對股價的影響: 台灣, 美國的實證研究─ SVAR 模型之應用，中正大學經濟系國際經濟研究所學位論文， 2012, 1-61。
徐曉宣（2021），貨幣政策變動與股市報酬: 臺灣產業股價指數之分析，國立清華大學經濟學系學位論文，2021, 1-52。
黃怡瑄（2007），低利率時期, 貨幣政策是否有效?，淡江大學經濟學系碩士班學位論文，2007, 1-55。
葉佳琦（2019），臺灣貨幣政策衝擊對匯率的影響: 股票市場和債券市場的資本流動，國立清華大學經濟學系學位論文，1-48。
二、英文文獻
Adrian, T., Crump, R. K. and Moench, E. (2013). Pricing the term structure with linear regressions. Journal of Financial Economics, 110(1), 110-138.
Ahmed, S., Akinci, O. and Queralto, A. (2024). US monetary policy spillovers to emerging markets: both shocks and vulnerabilities matter. International Finance Discussion Papers, 1321, Board of Governors of the Federal Reserve System.
Albagli, E., Ceballos, L., Claro, S. and Romero, D. (2019). Channels of US monetary policy spillovers to international bond markets. Journal of Financial Economics, 134(2), 447-473.
Chen, K. C. (2022). The spillover effects of US unconventional monetary policy on the Taiwanese economy. International Journal of Economics and Financial Issues, 12(2), 104-109.
Gürkaynak, R. S., Sack, B., & Wright, J. H. (2006). The US Treasury yield curve: 1961 to the present. Journal of monetary Economics, 54(8), 2291-2304.
Kalemli-Özcan, Ṣ. (2019). US monetary policy and international risk spillovers (No. w26297). National Bureau of Economic Research.
Kao, C. W. and Wan, J. Y. (2024). Bank risk-taking and monetary policy: empirical results for Taiwan. Economics and Business Quarterly Reviews, 7(2).
Lakdawala, A., Moreland, T. and Schaffer, M. (2021). The international spillover effects of US monetary policy uncertainty. Journal of International Economics, 133, 103525.
Lee, C. C. and Lee, C. C. (2023). International spillovers of US monetary uncertainty and equity market volatility to China’s stock markets. Journal of Asian Economics, 84, 101575.
Park, K. Y. and Um, J. Y. (2016). Spillover effects of United States’ unconventional monetary policy on Korean bond markets: evidence from high‐frequency data. The Developing Economies, 54(1), 27-58. |
| Description: | 碩士
國立政治大學
經濟學系
112258035 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112258035 |
| Data Type: | thesis |
| Appears in Collections: | [經濟學系] 學位論文
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