研究生: |
温正堯 Wen, Cheng-Yao |
---|---|
論文名稱: |
外國持有美國公債對利率期限結構的影響 The Impact of Foreign Holdings of U.S. Treasuries on the Term Structure |
指導教授: |
林靜儀
LIN, CHING-YI |
口試委員: |
黃朝熙
HUANG, CHAO-HSI 冼芻蕘 SIN, CHOR YI |
學位類別: |
碩士 Master |
系所名稱: |
科技管理學院 - 經濟學系 Department of Economics |
論文出版年: | 2019 |
畢業學年度: | 107 |
語文別: | 中文 |
論文頁數: | 44 |
中文關鍵詞: | 向量自我迴歸模型 、衝擊反應函數 、利率期限結構 |
外文關鍵詞: | VAR, impulse responses, term structure |
相關次數: | 點閱:2 下載:0 |
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本文主要是探討外國資金流入美國國庫券市場造成之利率影響。研究資料從2000年3月至2017年12月,資料皆為月資料,資料來源為Data stream、FRED以及TIC(Treasury International Capital System)使用變數為工業生產指數成長率、消費者物價指數、聯邦基金利率、持有美債資料、三月期國庫券利率、十年期債券利率。
研究方法主要是利用向量自我迴歸模型以及衝擊反應函數去探討國外資金購買美國債券對利率期限結構的影響。實證結果顯示,在研究期間國外資金湧入美國債券市場,對其利率期限結構的影響是顯著且長遠持續的,但是來自於兩大債權國日本以及中國的資金來說,其效果並不顯著,故可認為對美國利率期限結構變動有所貢獻的來源來自於美國本土或是其他地區。
This paper analyzed the impact of foreign capital inflows into the U.S. treasury market. This paper used monthly data from Data stream, FRED , TIC(Treasury International Capital System), and we used macroeconomic variables in VAR (vector autoregression)model including industrial production index, consumer price index, federal funds rate, the foreign holdings data, 3-month treasury bill rate and 10-year bond yield.
This study primarily used VAR and impulse responses to analyzed the impacts of foreign holdings on term structure. The empirical results show that the impacts of foreign capital pouring into the US bond market on the term structure of interest rates was significant and long-lasting, but the results from the two major creditor countries, Japan and China, were not significant. Therefore, it can be considered that the contribution to the change in the term structure comes from the United States or other regions.
一、 中文部分
陳旭昇. (2013). 時間序列分析: 總體經濟與財務金融之應用
二、 英文部分
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