國際信用評等公司標準普爾（S & P）2007年底公布我國未來展望為負向，主要原因在於財政狀況持續惡化，一般普遍認為財政赤字或債務增加會帶動利率上揚，使民間企業必須付出更高的借貸成本，對於國內投資等經濟活動有不利影響。因此，本研究乃欲探討長期公債利率、未償債務餘額、財政赤字和政府支出之間的關聯性。在1994:4 ~ 2007:4等53筆季資料中，透過CUSUM檢定發現各變數本身均沒有結構性轉變點存在；單根檢定普遍為一階整合級次；經由共整合分析結果證實赤字、支出和利率彼此之間沒有長期均衡關係，推測民眾自主性增加儲蓄，以及減稅、債務融通對利率的抵消效果為可能原因；至於債務餘額和利率則是存在顯著負向之長期均衡，進一步透過誤差變異數分解發現債務影響利率比利率影響債務的解釋程度高，因此在兩者的負向關係上，本研究認為流動性因素，以及民眾直接或間接以公債形式進行儲蓄之預期心理為主要原因，而利率高低影響政府舉債意願應為次要原因。

Standard and Poor’s (S & P), a global leading corporation in providing credit rating, published the sovereign rating outlook of Taiwan which was “negative sign” at the end of 2007. The main reason was that the situation of public finance continued worsening. Based on traditional economic theory, the increased deficits or debts led to higher interest rates, and the increasing burden on enterprises for paying more loan cost, would have more adverse effects on the domestic investment activities. Therefore, this study is intended to explore the relationships among the long-term interest rates of public bonds, the outstanding debts, fiscal deficits, and government expenditure in Taiwan by analyzing 53 seasonal data from 1994:4 to 2007:4 as the samples. The findings indicate that no structure breaking points exist in every variable by using CUSUM test, and almost every variable is integrated of order one in unit root test. The results also reveal that there is no long-term relationship among the deficits, government expenditure, and interest rates using the cointegration analysis. There are probably two reasons for explanation: one is that people will increase saving automatically, and another is that the increased interest rates in the tax cut may be offset by the decreased interest rates in debts financing. Moreover, the outstanding debts and interest rates exist a significant negative relationship of long-term equivalence, and further variance decomposition shows that the effect of debts on interest rates is higher than the effect of interest rates on debts in the variable’s explanatory ability. To explain the significant negative relationship, the possible main causes are liquidity factor, and the psychological anticipation of saving in public bond form directly or indirectly; the secondary cause is the fluctuation of interest rates affects the willingness of government financing.

目錄
中文摘要…………………………………………………………………..1
英文摘要…………………………………………………………………..2
壹、緒論…………………………………………………………………..3
一、 研究背景……………………………………………………………3
二、 研究動機……………………………………………………………7
三、 研究目的…………………………………………………………....8
四、 研究流程…………………………………………………………....9
五、 研究架構…………………………………………………………...10
貮、文獻探討……………………………………………………………..11
一、 財政赤字與總體經濟的關聯……………………………………...11
二、 公債融通理論……………………………………………………...16
三、 李嘉圖等值定理…………………………………………………...23
四、 公債融通的排擠效果……………………………………………...27
參、研究方法……………………………………………………………..30
一、 結構性轉變………………………………………………………...30
二、 單根檢定…………………………………………………………...32
三、 共整合分析………………………………………………………...38
四、 預測誤差變異數分解……………………………………………...43
肆、實證結果與分析……………………………………………………..45
一、 資料來源與變數說明……………………………………………...45
二、 結構性轉變點檢定結果…………………………………………...51
三、 單根檢定結果……………………………………………………...54
四、 共整合分析結果…………………………………………………...56
五、 預測誤差變異數分析……………………………………………...62
伍、結論與建議………………………………………………………….64
一、 研究結論…………………………………………………………...64
二、 研究限制與建議…………………………………………………...68
參考文獻………………………………………………………………….69
附錄一 原始變數趨勢圖……………………………………………….74

表目錄
表1-1 我國公債發行額及債券、股票市場交易額…………………….6
表4-1 影響利率之變數………………………………………………...45
表4-2 ADF檢定………………………………………………………..55
表4-3 PP檢定…………………………………………………………..55
表4-4 利率、債務存量、財政赤字、政府支出之VAR落後期選擇…56
表4-5 利率、債務存量、赤字、支出之共整合向量個數檢定（不含截
距項）…………………………………………………………….57
表4-6 利率、債務存量、赤字、支出共整合向量個數檢定（含截距
項）……………………………………………………………....58
表4-7 利率、債務存量、赤字、支出常態化後的共整合向量………..59
表4-8 利率、債務存量、赤字、支出變數排除之檢定………………..60
表4-9 利率、債務存量之VAR落後期選擇……………………………60
表4-10 利率、債務存量之共整合向量個數檢定…………………….61
表4-11 利率之變異數分解…………………………………………….62
表4-12 債務存量之變異數分解……………………………………….63


圖目錄
圖1-1 我國經濟成長率和政府支出成長率趨勢……………………….5
圖1-2 我國累積債務餘額……………………………………………….5
圖1-3 研究流程………………………………………………………….9
圖1-4 研究架構………………………………………………………...10
圖2-1 融通政策之效果………………………………………………...19
圖2-2 李嘉圖等值理論模型…………………………………………...24
圖2-3 排擠效果………………………………………………………...27
圖4-1 利率之結構性轉變點檢定……………………………………...51
圖4-2 債務存量之結構性轉變點檢定………………………………...52
圖4-3 財政赤字之結構性轉變點檢定………………………………...52
圖4-4 政府支出之結構性轉變點檢定………………………………...53
圖4-5 通貨膨脹率之結構性轉變點檢定……………………………...53
圖6-1 十年期中央政府公債利率走勢………………………………….74
圖6-2 政府未償債務餘額走勢………………………………………….74
圖6-3 財政赤字走勢…………………………………………………….75
圖6-4 政府支出走勢…………………………………………………….75
圖6-5 通貨膨脹率走勢………………………………………………….76

一、 國內部分：
1. 胡建邦 (1997)。政府預算赤字及其融通方式對總體經濟之影響─台灣之實證分析。碩士論文，國立中山大學經濟學研究所。
2. 陳祥霖 (2005)。政府預算赤字、資本淨流入與長期利率的共整合關係─台灣地區之實證研究。碩士論文，國立中山大學經濟學研究所。
3. 李庸三、蔡宗榮、陳碧琇 (1989)。公債發行對總體經濟之影響。財政部賦稅改革委員會委託研究計劃報告。
4. 徐仁輝 (2000)。財政赤字與公共債務法。主計月報，537，59-66。
5. 黃台心、陳正佑 (1993)。政府支出與預算赤字對利率之影響─台灣地區之實證研究（上）。企銀季刊，17(2)，68-83。
6. 黃台心、陳正佑 (1993)。政府支出與預算赤字對利率之影響─台灣地區之實證研究（下）。企銀季刊，17(3)，103-119。
7. 黃瓊如 (2002)。政府最適收入的均攤分析─台灣之實證研究。財稅研究，34(1)，110-123。
8. 彭惠琴 (2003)。通貨膨脹、就業及貨幣政策與景氣循環之關聯性。碩士論文，中原大學國際貿易研究所。
9. 楊子菡 (1985)。台灣地區財政盈虧與融通之研究。台灣銀行季刊，36(2)，244-290。
10. 游慧光、魏銘賜 (2003)。財政赤字對私人投資排入或排擠效果的實證研究。財稅研究，35(1)，4-17。
11. 游慧光 (2004)。財政赤字、私人投資與經濟成長因果關係之探討。財稅研究，36(5)，19-32。
12. 韋伯韜。公共財務學。華泰書局，台北，2006年。
13. 賴景昌。總體經濟學二版。雙葉書廊，台北，2004年。
14. 楊奕農。時間序列分析。雙葉書廊，台北，2007年。


二、 國外部分：
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4. Barro, R. J. (1989). The Ricardian Approach to Budget Deficits. Journal of Economic Perspectives, 3(2), 37-54.
5. Bleaney, M.F. (1996). Macroeconomic Stability, Investment and Growth in Developing Countries. Journal of Development Economics, 48(2), 461-477.
6. Brunner, K. (1984). Deficits, interest rates and monetary policy. Shadow open market committee policy statement and position papers.
7. Caporale G., and G. Williams (2002). Long-term Nominal Interest Rates and Domestic Fundamentals. Review of Financial Economics, 11, 119-130.
8. Croushore, D.D. (1987). Government Financial Policy and Capital. Southern Economic Journal, 435-448.
9. Darrat, A. (1990). Structural Federal Deficits and Interest Rates: Some Causality and Co-Integration Tests. Southern Economic Journal, pp. 752-759.
10. Dickey, D.A. and W.A. Fuller (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74, 427-431.
11. Dickey, D. A. and W. A. Fuller (1981). Likelihood Ratio Statistics for Autoregressive Time Series With a Unit Root. Econometrica, 49, 735-779.
12. Enders, W. (2004). Applied Econometric Time Series. New York: John Willey & Sons, Inc.
13. Engle, R. F. and C.W.J. Granger (1987). Cointegration and Error Correction: Representation, Estimation, and Testing. Econometrica, 2, 251-276.
14. Evans, P. (1985). “Do Large Deficits Produce High Interest Rates?”, American Economic Review, 75, 68-87.
15. Evans, P. (1987a). Do Budget Deficits Raise Nominal Interest Rates? Evidence from Six Countries. Journal of Monetary Economics, 20, 281-300.
16. Evans, P. (1987b). Interest Rates and Expected Future Deficits in the United States. Journal of Political Economy, 95(1), 34-58.
17. Fischer, S. (1993). The Role of Macroeconomic Factors in Growth. Journal of Monetary Economics, 32(3), 485-512.
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19. Greene, W. H. (1993). Econometric Analysis, 2nd edition, New York: Macmillan Publishing Co.
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24. Mankiw, N. G. (2003). Macroeconomics, 5th edition, New York: Worth.
25. Michael Kuehlwein and Sansern Samalapa (2004). Budget Deficits, Public Spending and Interest Rates in Thailand. Journal of the Asia Pacific Economy, 9(3), 325-347.
26. Murphy, Cait (2001). Debt Is Not a Four-Letter Word. Fortune, 143(6), p.36.
27. Oludele Akinloye Akinboade (2004). The relationship between budget deficit and interest rates in South Africa: some econometric results. Development Southern Africa, 21(2), 289-302.
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31. Richard J. Cebula (2003a). Budget Deficts and Interest Rates in Germany. Int’l Advances in Econ. Res., 9(1), 64-68.
32. Richard J. Cebula (2003b). Budget Deficts and Real Interest Rates: Updated Empirical Evidence on Causality. Atlantic Econ. J., 31(3), 255-265.
33. Silvia Ardagna, Francesco Caselli, and Timothy Lane (2007). Fiscal Discipline and the Cost of Public Debt Service: Some Estimates for OECD Countries. The B.E. Journal of Macroeconomics, 7(1), Article 28.
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36. William G. Gale & Peter R. Orszag (2005). Deficits, Interest Rates, and the User Cost of Capital: A Reconsideration of the Effects of Tax Policy on Investment. National Tax Journal, 58(3), 409-426.
37. Zijun Wang (2005). A Note on Deficit, Implicit Debt, and Interest Rates. Southern Economic Journal, 72(1), 186-196.


三、 網路資源：
1. 財政部國庫署 (2008)。財政收支。2008年4月25日取自
http://www.nta.gov.tw/ch/08work/inf_a01_main.asp?bull_id=668。