本研究以1990年1月至2022年12月之美國公債殖利率作為主要研究樣本，以泛函模型拆解殖利率曲線為主軸，並按照其拆解結果進一步分析其與美國市場總經變數之關聯性，以及各時段聯準會的貨幣政策決策模式與背後相關意涵，特別是在金融海嘯前後之差異，最後會延伸至對於金融業短、中、長期之影響。
研究結果顯示，B_2(殖利率曲線之斜率)與聯邦基準利率的變動趨勢相反，B_1(殖利率曲線之高低水準)的走勢與聯邦基準利率的變動較為雷同，聯準會控制短期利率，視為控制殖利率曲線之左端，財政部控制長期利率，視為控制殖利率曲線之右端，所以升息時B_2會下降，降息時B_2會上升。聯準會長期對於失業率之控制較通貨膨脹迅速，政策效果也較佳，且可以發現聯準會在金融海嘯前之貨幣政策較為落後，金融海嘯後貨幣政策實施較為即時，長期的利率環境也較為穩定。

This study takes the U.S. yields curve from January 1990 to December 2022 as the main sample, and uses the functional model to disentangle the yields curve as the main axis, and further analyzes the correlation between the disentanglement result and the macroeconomic variables in the U.S. market, as well as the monetary policy decision-making mode of the Federal Reserve Board and the relevant implications behind the monetary policy decision-making mode of the Federal Reserve Board in various time periods, especially the differences before and after the financial crisis, Finally, it will extend to the short-, medium-, and long-term impacts on the financial industry.
The study results show that B_2(slope of yield curve) has an opposite trend to the change in the federal benchmark interest rate, and the trend of B_1(level of yield curve) is more similar to the change in the fed funds rate. The Fed controls the short-term interest rate, which is regarded as controlling the left end of the curve of the interest rate, and the Treasury controls the long-term interest rate, which is regarded as controlling the right end of the curve of the interest rate, so that B_2 decreases when interest rates are raised, and increases when interest rates are lowered. The Fed's long-term control of the unemployment rate is more rapid than inflation, and the policy effect is better. It can be found that the Fed's monetary policy before the financial crisis was more backward, while the implementation of the monetary policy after the financial crisis was more immediate, and the long-term interest rate environment was also more stable.

論文審定書 i
摘要 ii
ABSTRACT iii
List of Figures vi
List of Tables vii
1. INTRODUCTION 1
1.1. Background and Motivation 1
1.2. Purpose 5
1.3. Research Process 7
2. LITERATURE REVIEW 8
2.1. Literature on Interest Rate Term Structure Models 8
2.2. Related Literature on the Application of Functional Models in Yield Curve Analysis 9
2.3. Literature on the Impact of Macroeconomic Variables on Interest Rates 11
2.4. Literature Related to the Impact of Interest Rate Changes on the Financial Industry 16
3. RESREARCH METHOD 20
3.1. Research Framework 20
3.2. Data Collection 20
3.3. Functional Model 23
3.4. Analysis of the Correlation with the Federal Funds Rate 26
3.5. Analysis of the Relationship with Macroeconomic Variables 28
3.6. Analysis of Short, Medium, and Long-Term Impact on the Financial Industry 34
4. Empirical Results 37
4.1. Functional Model Results 37
4.2. Association with Federal Funds Rate 41
4.3. Relationship with Macroeconomic Variables 42
4.4. Impact on the Short, Medium, and Long Term in the Financial Industry 62
5. Conclusion 70
References 72

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