自2008年金融風暴發生以來，殖利率曲線與總體經濟的關聯性與過去所熟知的情況產生偏離，甚至發生總體經濟情況與殖利率走勢脫鉤的現象。本研究以台灣十年期公債殖利率為研究對象，探討其與八個總經變數在金融風暴發生前後的關聯變化。取1998年1月~2012年12月之月資料為研究樣本。除透過Pearson積差相關係數和迴歸分析來檢定總體變數對債券市場的顯著性與影響方向外，並嘗試以Copula函數模型探討金融風暴發生前後，總體經濟變數與台灣債券市場之間的關聯性變化，以及對整體債券市場後續的影響。 實證結果發現，2008年金融風暴前公債殖利率的變動與基本面指標相互影響程度較金融海嘯後顯著；2008年金融風暴後，除了雷曼兄弟倒閉後的半年期間內基本面指標對殖利率的影響較為顯著外，其餘都不顯著，但市場資金的多寡和外匯政策因素，對殖利率的牽動則是明顯增加。 而美國十年期公債殖利率則不論在2008年金融風暴前後，對台債殖利率的影響都是顯著的；並且，債市處於多頭時期殖利率與總經面指標間的關聯程度大於債市空頭時期，意涵債市投資人在多頭時依基本面狀況作為後市評估依據會比空頭時來得準確。 This article investigates the dynamic relationship between Taiwan 10-year government bond yield and eight macroeconomic variables. The sample period contain monthly data of January 1998 to December 2012. In addition applying the Pearson product correlation coefficient and simple regression to test the significance and direction of bond yield regress on the macroeconomic variables. The study also tries to discuss the dynamic relationship between macroeconomic variables and Taiwan bond yield before and after the global financial crisis through copula function. The empirical results show that it is more significantly between the change of government bond yield and fundamental indicators before the financial crisis in 2008. After the financial crisis, in addition to half a year after the collapse of Lehman Brothers, the fundamentals indicators has a significance impact on yields, the others are not significant. But the amount of funds in the market and foreign exchange policy factors will affect the yield significantly increased. Regardless of before and after the financial crisis in 2008, the U.S. ten-year bond yields also has a significant impact on Taiwan bond yield. Moreover, the correlation between yield and macroeconomic variables is greater in bull than in bear market. Which implies that it is more accurate based on fundamentals as indicator in bull than bear market for bond investor.
