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標題: | 台灣政府公債發行期限之選擇因素 The Selection Factors of Maturity in Taiwan Government Bond |
作者: | Pin-Chu Wang 王品筑 |
指導教授: | 姜堯民 |
關鍵字: | 加權平均存續期間,加權平均到期期限,政府預算,公債市場利率,公債到期金額, weighted average duration,weighted average maturity,budget,market interest rate,bonds retired amount, |
出版年 : | 2018 |
學位: | 碩士 |
摘要: | 本研究主要在探討台灣政府發行公債時,在做發行年限選擇時是否有一定的標準,抑或是沒規則的發行。目前,台灣的公債市場尚未健全,且公債發行仍未完全的規律發行,因此希望透過本研究能找出政府發債的考量因子,同時給予相關建議。應變數部分將以加權平均存續期間以及加權平均到期期限來分別作迴歸,而本研究所推論政府考量的因子分別為各年度政府預算盈餘與赤字,長短期公債市場利率,每年度公債到期金額。同時,也使用美國數據作為對照,來看美國是否也依據本研究所列出的因子在做發債年期選擇考量。
實證結果顯示,2003至2016年的研究期間,不論台灣及美國的政府預算盈餘與赤字和加權平均到期期限以及存續期間有負向相關,尤以美國特別顯著。代表政府赤字越嚴重時,政府會選擇多發行長期公債作為因應。而公債市場利率則與發行年限較無顯著關係。最後,以公債到期金額來看,因各年期公債分類不同,同時因為三十年公債近年來才較為廣泛且大量的發行,可能會導致研究結果有所偏誤,其結果不顯著。綜上所述,本研究指出,政府公債發行時最主要考量的因素為預算。 This paper examines the factors which will be taken into account when Taiwan Government issues the treasury notes and bonds. Also, the test that is there with same criteria when the government decides what kind of government notes and bonds they issue, how long the maturity is, and how many quantities are issued. Taiwan government bond market still not is perfect and regular-issued. So, I hope to find the factors that affect government bond issued and give some advice. The dependent variable will use weighted average duration and weighted average maturity to regress. The independent variable will be government budget surplus or deficit, three months government bills market interest rate, ten years government bonds market interest rate, and the bonds amount retired every year. This paper also compares with the US data. To see if the US would consider the same factors when issuing the government bonds. The empirical results reveal that not only Taiwan but also the US, the government budget will affect the weighted average duration and weighted average maturity. And they present negative correlation. It means that when the government budget deficit more serious the government will choose to issue longer maturity bonds. However, the bonds market interest rate is not significant correlation. Last, the bonds amount retired every year will be affected by the bonds classification. Also, the thirty years bonds issued large and stable in the recent year, so it might cause the bias, and make the result no significant. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/20133 |
DOI: | 10.6342/NTU201800665 |
全文授權: | 未授權 |
顯示於系所單位: | 財務金融學系 |
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ntu-107-1.pdf 目前未授權公開取用 | 1.32 MB | Adobe PDF |
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