本研究以投資組合分散風險的觀念，選取台灣、日本、澳洲、韓國及泰國的公債殖利率，來探討亞太地區公債市場間的互動關係；此外，因1997年的亞洲金融風暴對亞太地區造成相當大的衝擊，所以將研究期間分為金融風前與金融風暴後兩時期，以瞭解金融風暴的發生對公債市場間的整合程度造成何種影響。本文採用共整合、VAR與VECM模型、衝擊反應函數及預測誤差變異數分解等方法來進行研究，研究期間為自1993年9月至2003年9月為止的月資料。 實證結果發現，金融風暴前各國間沒有長期共整合的關係，但風暴後則有整合的現象存在，顯示亞洲金融風暴的發生，反而促進了亞太區域金融市場的整合。在金融風暴前日本市場對亞太地區，短期上較具有領導地位與影響力，但台灣的公債市場則較為獨立。在金融風暴發生後，受風暴衝擊較輕微的台灣與日本間有單向的互動關係，且日本公債殖利率是領先台灣。另一方面，韓國與泰國有雙向的互動關係存在；日本與澳洲殖利率間亦有雙向的影響關係。另外，金融風暴前各國的衝擊反應型態為上下跳動性，但經過10期後衝擊效果幾乎趨近於零，表示風暴前各國間有短期的影響但卻沒有長期的整合關係。而風暴後衝擊反應多較強烈且具有持續性，經過12期仍有相當的衝擊效果，顯示金融風暴的發生使得各國衝擊影響更為明顯。由預測變異數分解上，也顯示金融風暴後各國公債市場間的關聯性是日益增強的。 This article bases on portfolio theory to investigate the relationships of government bond markets among Taiwan, Japan, South Korea, Australia and Thailand. As the 1997 Asia Financial Crisis, we separate research period into two parts to understand how it affects. The research periods used in this study are from September 1993 to September 2003. We use cointegration, VAR and VECM model, Granger causality test, impulse response and variance decomposition techniques to analyze, and obtain the results as following: First, there are long cointegration trends among the five Asia-Pacific markets after 1997 Financial Crisis. Second, VAR and VECM reveal that Japan occupied the leader position in Asia-Pacific region before Financial Crisis while there is one-way effect from Japan to Taiwan after Crisis. There are short-term interactions between Japan and Australia, Korea and Thailand as well. Third, the result of Granger causality test shows that the lead-lag relationships among five countries after Financial Crisis become significantly stronger than before. Fourth, the effects of impulse response among four markets only show temporary effect before crisis, but then gradually persistent and increase after crisis. The accumulative effects of each market are almost positive. Finally, analysis of variance decomposition detects that Japan has greatest interpretative ability in Asia-Pacific region before Financial Crisis but the interpretative abilities among each bond markets become stronger after crisis. This implies that the occurrence of Asia Financial Crisis makes the relationships among Asia-Pacific government bond markets become closer.
