本研究在診斷各種不同的貨幣政策訊號，例如重貼現率的改變、貨幣總計數M2年增率和講話，如何去影響台灣的利率期限結構。本文採用的利率期限結構模型，為Svensson（1994）延伸Nelson and Siegel（1987）的遠期利率函數之精簡模型。我們發現用Svensson 模型來估計公債市場不健全的台灣利率結構容易產生誤差，尤其在短天期和一年期的利率，使我們沒有發現未預期的短天期殖利率的變動主要是受到未預期重貼現率變動的影響。我們更發現講話對長期的利率期限結構是更重要的決定因素，我們的結論是中央銀行的溝通政策是貨幣政策行為中不可缺少的部分。

This paper examines how various monetary policy signals such as official discount rate changes、speeches and monetary aggregate M2 annual growth rate affect the structure of interest rates in Taiwan. The model of the thesis is based on the Svensson model (1994) which is the extension of the parsimonious model defined by Nelson and Siegel (1987). It is
being shown, that the term of interest rates, estimated based on Svensson model result in a fault value for Taiwan, due to a unsound bond market especially in the short term and one-year interest rates. There is no proof that unexpected movements in the short end of the yield curve are mainly driven by unexpected changes in the official discount rate. Speeches
are found to be a more important determinant for the longer end of the term structure. The conclusion is that central bank communication is an essential part of the conduct of monetary policy.

第一章 緒論...................................................................1
第一節 研究背景與目...................................................1
第二節 研究架構...........................................................5
第二章 文獻回顧.......................................................... 6
第一節 透明度之回顧.................................................. 6
第二節 宣示效果之回顧.............................................10
第三節 利率期限結構之回顧.....................................15
第三章 研究方法.........................................................20
第一節 台灣公債殖利率曲線之配適.........................21
第二節 台灣的利率期限結構模型............................ 25
第四章 實證分析.........................................................31
第一節 資料來源與說明.............................................31
第二節 實證結果分析.................................................34
第五章 結論與建議.....................................................41
第一節 結論.................................................................41
第二節 研究限制.........................................................43
附錄..............................................................................46
參考文獻......................................................................67

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