實證結果歸納如下：（1）在長期均衡下，公債殖利率會受到商業本票利率、RP利率與台灣股價指數影響而呈現同方向的變動；而匯率的影響則呈現反向變動，此五項金融市場變數在資金投資金融市場時，可能產生長期均衡關係。（2）在短期中除公債本身落後期影響最顯著外，RP利率、匯率、股價指數之變數影響亦為顯著。（3）在投資人長期投資公債方面可參考商業本票、匯率、RP利率、股價指數之變數未來趨勢；在短期投資公債方面可參考債券自己本身落後期及債券RP利率、匯率、股價指數之變數未來趨勢；惟須注意參考股價指數及RP利率變數之變化時為同方向變化，參考匯率變數之變化時為反方向變化。建議投資者於投資公債決策時，除參考公債本身過去之資訊外，尚可參考上述之金融市場變數資訊，期使投資人獲得更佳之投資收益。 The purpose of this paper is to examine the relationship between financial market variables and government bond yield in Taiwan. We examine the stability of variances with ADF unit root test and check all the variables if exist stable equilibrium relationship in co-moving in the long run by using the cointegration test. We also use vector error correction model to analyze the effect of the dynamic regulation over the long and short term. And we add impulse response function and variance decomposition to observe the effect in the long and short run and the explanation of fluctuations. The results show that, (1) in the long term, CP rate, exchange rate, RP rate and stock index affect the government bond yield the most, and these 5 factors may lead to an equilibrium in long term investment. (2) in the short term, the lags of government bond yield would affect the current government bond yield itself the most. (3) Besides the historical data, investors are suggested to refer the CP rate, exchange rate, RP rate, stock index, and the lags of government bond yield itself.
