在全球化的趨勢下，國際間金融市場的連動已較早年更為緊密，而我國因貨幣政策多追隨美國調整，致使台債走勢明顯受美債影響。本研究主要探討台美債市之動態關聯性。此外在共整合基礎下執行價差交易之績效探討。
首先在台美債市關聯性分析部分，本研究先以單變量迴歸模型來分析台美債市同期的相關性，並進一步使用多變量迴歸模型來探討台美債市間跨期的相互影響性。此外由於台債是國內利率產品的重要指標，使台債與台幣利率交換走勢呈現相同趨勢。本研究利用時間序列在共整合下如果關係短期內出現脫鉤，將可藉此脫鉤現象建立價差部位，一旦兩序列再度回到長期均衡時，即可賺取中間價差獲利。
實證結果顯示，在台美債市關聯性部分，美債變動對台債有正向影響，而美債前一期對台債影響最為顯著，根據Granger因果關係檢定美債單向領先台債，衝擊反應函數顯示美債變動對台債造成短期正向衝擊，預測誤差變異數分解美債對台債有一定程度的解釋力。價差交易部分，同年期價差組合明顯有較佳的結果，但實際交易筆數不多，顯示價差大幅乖離或收斂的情況較不易發生，就算短期偏離最後修正機會仍大。

Under the trend of globalization, the international financial market is more closely linked, while Taiwan’s monetary policy mostly follows the adjustment of the United States, which makes the trend of Taiwan bond market significantly affected by U.S. bond market. This study mainly discusses the dynamic correlation between U.S. and Taiwan bond markets. In addition, the application of spread trading on the basis of co-integration.
U.S. and Taiwan bond market relevance part of this article first to the univariate analysis model to analyze the correlation of the bond market in the same period, furthermore, the multivariate statistical analysis model is used to explore the intertemporal interaction between the U.S. and Taiwan bond markets. In addition, as Taiwan bond is an important index of domestic interest rate products, the exchange trend of Taiwan bond and Taiwan dollar interest rate presents the same trend. This research use time series under the cointegration if decoupling relationship in the short term, will be able to take this decoupling based spreads, a return to long-term equilibrium, but the two sequence can earn price difference among a profit.
The empirical results show that the changes in U.S. bond market have a positive impact on Taiwan bond market, while the previous period of U.S. bond had the most significant impact on Taiwan bond. According to Granger causality, the one-way leading of U.S. bond over Taiwan bond is verified, The impact response function shows that the change of U.S. bond has a short-term positive impact on Taiwan bond, the decomposition of the predicted error variance has some explanatory power to Taiwan bond. Spread trading part, the same year period there was an obvious better result spreads combination, but the actual number of transactions is not much, showed a good spreads from the convergence condition is not easy to happen, or even if short-term deviation correction last chance is still large.

一、中文部分
1. 許萬宗 (2009)台灣債券市場與各金融市場之相關性分析，國立中央大學產業經濟研究所碩士論文。
2. 王凱立、林卓民、王美智 (2004)，「總體經濟，價格發現與訊息傳遞於跨國債市傳導過程之探討：多變量 GARCH 模型於美國與台灣債市之應用」，第五屆全國實證經濟論文研討會。
3. 張簡士煌 (2005)台灣股市與國際股市關聯性之研究，朝陽大學企業管理研究所碩士論文。
4. 王運強 (2005)台灣公債市場與台幣利率交換市場動態關聯性之研究，國立中央大學財務金融學研究所碩士論文。
5. 楊淑青 (2008)影響台灣十年期指標公債殖利率走勢實證研究-迴歸模型之應用。國立成功大學經營管理研究所碩士論文。
6. 葉家榮 (2013)台灣股票市場與美國公債和黃金現貨價格相關性分析，國立中正大學財務金融研究所碩士論文。
7. 李燦義，「台灣債券市場的發展歷程與挑戰」，證券櫃檯月刊第77期。
8. 簡忠陵，「利率交換實務與國際發展趨勢及借鏡」，證券櫃檯月刊第153期。

 
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