本文以美國2007年3月13日新世紀金融公司倒閉為金融海嘯分界點， 探討各國股票市場、匯率、黃金與石油、隔夜拆款利率、基準利率等變數對債券市場的影響。透過簡單迴歸的實證結果發現這些變數對各國債券殖利率的影響方向及大小程度並不具一致性。本文又以共同多元迴歸模型探討各國的股價報酬率、匯率、隔夜拆款利率、基準利率對十年期公債殖利率的影響，並比較次級房貸風暴前後的差異。亦發現估計結果並無一致性的結果。而且在次級房貸前後，僅部分變數的估計方向呈一致性。最後以緃橫迴歸模型探討各國的股價報酬率、匯率、隔夜拆款利率、基準利率對十年期公債殖利率的影響，並比較次級房貸風暴前後的差異。結果發現無論是固定或隨機緃橫模型的參數估計結果，僅固定效果模型下的匯率及隨機效果下的基準利率符號在次級房貸前後是一致的。 This thesis take the bankruptcy of New Century Financial company in US on Mar. 13, 2007 as financial crisis breakout point and further to analyze the factors of global stock market, exchange rate, gold and oil, overnight interest rate, basis interest rate to bond market. By using ordinary regression model, it shows that those variables don’t have consistency affection on bond yield rate either on its direction or size. What is more, we apply multiple regression analysis model to check the affection of global stock market return rate, exchange rate, overnight interest rate and basis interest rate and compare the difference before and during subprime mortgage crisis. The outcome is same as panel data regression analysis model which demonstrate no consistency. Meanwhile, it shows the consistency only existing a little variable. In last, the panel data regression model results exhibit only exchange rate by fixed effect model or basis interest rate by random effect model are consist either before or during the subprime mortgage with either fixed or random effect model.
