本研究應用雙變量ARCH-M模型進行分析已開發國家和開發中國家之短期利率波動對利率期限結構的影響，並比較兩組樣本之差異。 結果與建議﹕ 一、短率波動率解釋短期利率的變動在已開發國家的能力較開發中國家來的好。 二、短率波動率對利率期限結構斜率的解釋能力不論在開發中國家或是已開發國家都非常的良好，尤其已開發國家全數得1%顯著水準。 三、本文短率波動率與利率期限結構斜率(10Y-3M spread)得到顯著正向關係的結論為日、德、加、台、泰、新共6個國家；英國和南韓2個國家得到顯著負向關係的結論。 四、短率波動對短期利率的變動及是正向或負向影響與國家開發程度無關連；同樣的，短率波動對利率期限結構斜率是正向或負向影響也與國家開發程度無關連。 The aim of this study is to empirically verify the effect of interest-rate variance on the shape of the yield curve with the use of ARCH-M model for the short-rate changes and the yield curve slope, that based on sample taken from developed countries and developing countries. The empirical results show as follows: 1. The relationship of the change in interest rate variance that lead to a change in short term interest rate is better explained in our sample from the develop countries compare with the sample taken from developing countries. 2. The relationship between the change in interest rate variance to the change in its slope of yield curve do statistic significant value within 95% confidence interval in our sample both taken from developed and developing countries respectively. 3. The positive relationship we proposed under our analysis does statistically significant value within 99% interval both in terms of its change in interest rate variance and in its slope of yield curve in our sample taken from Japan, Germany, Canada, Taiwan, Thailand and Singapore. However for countries that we find a negative correlated relationship as in United Kingdom and South Korea. 4. Both positive and negative relationship between the change in interest rate variance to the change in short term interest rate is independent of country development level. Both positive and negative relationship between the change in interest rate variance to the change in its slope of yield curve is independent of country development level.
