長短期公債利差與景氣循環關聯性研究 -以歐元區市場為例

Abstract

本研究以 10 年期 2 年期公債利差和 10 年期 3 個月期公債利差為主要研究對象，採用時間序列分析，探討公債長短期殖利率利差與景氣循環的關聯性。研究的國家範圍包括德國、法國、義大利、西班牙和希臘等五個歐元區國家。本文選擇這些國家的 GDP 以及整體歐元區的 GDP 作為景氣循環相關指標，而樣本期間則以上述歐元區國家開始統計其 GDP 至 2022 年底，並使用季資料進行分析。首先檢視利差和各國 GDP 之間的關聯性，然後進一步研究利差與整體歐元區 GDP的關聯性。透過向量自我迴歸模型、Granger 因果關係檢定和衝擊反應分析，結果顯示關注德國 10 年 3 個月公債利差和義大利 10 年 2 年公債利差的變動，可用於預測歐元區未來 GDP 的成長率，並觀察景氣循環的週期和方向。

This study focuses on the 10-year/2-year government bond yield spread and the 10-year/3-month government bond yield spread as the main research variables. It employs time series analysis to examine the relationship between long-term and shortterm bond yield spreads and business cycles. The study includes five Eurozone countries: Germany, France, Italy, Spain, and Greece. GDP data for these countries are chosen as indicators of business cycles. The sample period starts from the available GDP data for the Eurozone countries until the end of 2022, and quarterly data are used for the analysis. The study first examines the relationship between the bond yield spreads and the GDP of each country, and then further investigates the relationship between the bond yield spreads and the overall Eurozone GDP. Through vector autoregression models, Granger causality tests, and impulse response analysis, the results show that monitoring the changes in the 10-year/3-month bond yield spread in Germany and the 10-year/2-year bond yield spread in Italy can be used to predict the future GDP growth rate of the Eurozone and observe the cycle and direction of the business cycle.