本文以2003 年八月十一日到2004 年八月十日共252 筆日統計資料，對臺灣地區貨幣市場五種不同天期債券附責回與附買回加權平均利率差的行為，進行實證分析，期能找尋影響利率差的因素以及各種附條件交易之性質與功能。
綜合本文所獲得重要結論如下;第一，臺灣地區貨幣市場五種債券附條件交易，完全不受拆款利率變動所影響。第二，隔夜、11-20 天、與31-60 天期三種附條件交易，各自受到不同外生變數所影響;其中外匯市場的變動影響及於20 天以內之附條件交易，股票市場的變動僅影響及於31 天以上的長天期附條件交易。第三，隔夜、11-20 天、與31-60 天期三種附條件交易三個市場的利率差變動幅度的變動，皆呈現過度調整的現象。最後，2-10 天與21-30 天期二種附條件交易，主要是扮演沖銷其他期別附條件非配對策略下所產生部位不平衡的功能。 This article attempts to uncover the behavior and the function of the spread between the repo rates and reverse repo rates on bond transactions in Taiwan's money market. Using 252 daily data covering the period between August 11, 2003 and August 10,2004, the behavioral equations which are derived from the operating strategies of the bond dealers as well as three exogenous variables, the overnight call loan rate, the stock price index and foreign exchange rate, are formulated to interpret the behavior of five different kinds of interest rate spreads and estimated by OLS.
The empirical results have shown different behavior among the interest rate spreads over the five different categories are : First, the overnight call loan rates have no effect at all on the spreads. Second, the overnight repos and the below 20 days term repos rates spreads are affected by the foreign exchange market movements; while the above 30 days term repos rates spreads are affected by the stock market movements. These results exhibits strong complements between the five different repo agreements and the call loan market ; and strong substitutes between corresponding, repos and the associated financial assets, namely the stock and the foreign exchange. Third, the 2-10 days and the 21-30 days term repos act only as absorbers to the mismatched strategy conducted by the other term repos and reverses. Finally, the adjustments rates of all five spreads exhibit strong overshooting.
