長久以來，期間利差被認為對景氣循環衰退有預測能力。Diebold et al. (2006)發展出的殖利率－總體經濟變數因子模型，連結了殖利率與總體經濟變數之間的關係。本研究以客觀的計量方法，使用條件異質性假設下的Wald 檢定與sup Wald檢定，探討我國期間利差與實質經濟活動之間依時變動因果關係。樣本期間為1995 年12 月至2020 年4 月。實證結果發現期間利差與實質經濟活動及通貨膨脹在不同時間發生單向的因果關係，期間利差對實質經濟活動的影響並無發生在特定的景氣循環，而期間利差對通貨膨脹的影響則大部分發生在景氣循環由盛轉衰的時期。

For a long time, term spread has been considered to be predictive of the economic cycle. Diebold et al. (2006) developed the yields-macro model, which connected the link between the yield rate and various macroeconomic variables. This study adopted the Wald test and the sup Wald test to detect a time-varying causal relationship between term rate spreads and real economic activity in Taiwan. The data used in this study is from December
1995 to April 2020. The empirical results shows a one-way causal relationship between the term spread and the real economic activity and inflation rate during different periods. The impact of the term spread difference on the real economic activity did not occur in a specific business cycle. However, the term spread had impacted inflation and a part of it occurred when the recession turned into the depression.

論文審定書..................................................................................................................... i
謝辭................................................................................................................................. ii
摘要................................................................................................................................. iii
Abstract........................................................................................................................... iv
1 緒論........................................................................................................................... 1
1.1 研究動機. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 研究目的. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
2 文獻回顧................................................................................................................... 2
2.1 期間利差與實質經濟關係之相關理論. . . . . . . . . . . . . . . . . . 2
2.2 期間利差與總體經濟變數關係之實證. . . . . . . . . . . . . . . . . . 3
2.3 Granger 因果檢定之發展. . . . . . . . . . . . . . . . . . . . . . . . . 4
3 研究方法.................................................................................................................. 6
3.1 單根檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
3.2 向量自我迴歸模型. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
3.3 最適落後期與異質性變異數檢定. . . . . . . . . . . . . . . . . . . . . 13
3.4 Wald 檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
3.5 Bootstrap 重抽法. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
4 實證結果與分析....................................................................................................... 23
4.1 資料來源與變數說明. . . . . . . . . . . . . . . . . . . . . . . . . . . 23
4.2 單根檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
4.3 最適落後期選取與異質性變異數檢定. . . . . . . . . . . . . . . . . . 28
4.4 模擬-Bootstrap 重抽法. . . . . . . . . . . . . . . . . . . . . . . . . . . 29
4.5 實證結果與分析. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
5 結論.......................................................................................................................... 40
參考文獻......................................................................................................................... 41

國內文獻
1. 吳懿娟(2007)。我國殖利率曲線與經濟活動間關係之實證分析。中央銀行季刊。29(3)，23-64。
2. 邱建良、姜淑美、翁百郁(2006)。期間利差、股票報酬與景氣循環關聯性之探討。華岡經濟論叢，5(2)。29(3)，69-95。
3. 陳旭昇(2013)。時間序列分析：總體經濟與財務金融之應用。臺北市：臺灣東華。
4. 黃志典(2016)。金融市場概論。臺北市：雙葉書廊。
5. 賴景昌(2011)。總體經濟學。臺北市：雙葉書廊。
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