本文應用ARJI模型來探討G7各國十年期公債利率是否因突發性重大經濟事件造成利率變動之隨機跳躍不連續現象；並探討美國對G7其他六國債券市場利率變動及利率波動的因果關係，其次檢定次級房貸事件的發生是否造成G7的利率變動其利率利波動。相關資料取自Bloomberg資料庫。其資料型態為日資料，取樣時間為2003年11月3日至2010年10月29日。 本文研究結果發現，G7十年期公債利率變動，存在不連續的跳躍；在因果分析裡得到美國對日本、英國、法國、德國及義大利十年期公債利率變動有顯著影響，十年期公債利率波動則對其他六國的影響均是顯著的；其次次級房貸事件後，G7利率呈現負向變動，其中以美國減幅最多，並且除了日本以外的G7債券市場均有明顯的波動。 This study investigates the yield variation on government bond for G7 whether a jump phenomena result from abnormal information by ARJI model. We also applied the Granger causality test investigate the lead and lag relationship with the yield variation and volatility on the United States government bond and the other six countries. We also examine the yield variation and volatility on government bond for G7 before and after the subprime mortgage crisis. Empirical results demonstrate that the yield variation on government bond of G7 show jump phenomena. The yield variation on U.S leads Japan, Britain, France, Germany and Italy. The yield volatility on U.S leads the other six countries. Finally, after the subprime mortgage crisis, G7 changes in yield negative, in which the United States by up to, and in addition to the G7 outside of Japan have significant fluctuations in the bond market.
