本文主要是探討外國資金流入美國國庫券市場造成之利率影響。研究資料從2000年3月至2017年12月，資料皆為月資料，資料來源為Data stream、FRED以及TIC（Treasury International Capital System）使用變數為工業生產指數成長率、消費者物價指數、聯邦基金利率、持有美債資料、三月期國庫券利率、十年期債券利率。
研究方法主要是利用向量自我迴歸模型以及衝擊反應函數去探討國外資金購買美國債券對利率期限結構的影響。實證結果顯示，在研究期間國外資金湧入美國債券市場，對其利率期限結構的影響是顯著且長遠持續的，但是來自於兩大債權國日本以及中國的資金來說，其效果並不顯著，故可認為對美國利率期限結構變動有所貢獻的來源來自於美國本土或是其他地區。

This paper analyzed the impact of foreign capital inflows into the U.S. treasury market. This paper used monthly data from Data stream, FRED , TIC（Treasury International Capital System）, and we used macroeconomic variables in VAR （vector autoregression）model including industrial production index, consumer price index, federal funds rate, the foreign holdings data, 3-month treasury bill rate and 10-year bond yield.
This study primarily used VAR and impulse responses to analyzed the impacts of foreign holdings on term structure. The empirical results show that the impacts of foreign capital pouring into the US bond market on the term structure of interest rates was significant and long-lasting, but the results from the two major creditor countries, Japan and China, were not significant. Therefore, it can be considered that the contribution to the change in the term structure comes from the United States or other regions.

目錄
摘要-----i
ABSTRACT-------ii
第一章 緒論-------4
第一節 研究目的與動機------4
第二節 研究架構-----6
第二章 經濟背景與文獻回顧-----7
第一節 美國經濟背景-----7
第二節 美債與國外資金關係之探討-----9
第三章 研究方法-----10
第一節 研究流程-----10
第二節 單根檢定-----10
第三節 最適落後期數選擇-----13
第四節 Johansen 共整合檢定-----14
第五節 Granger 因果關係檢定-----16
第六節 向量自我迴歸模型（Vector Autoregression Model, VAR）-----17
第七節 衝擊反應函數-----18
第四章 實證結果-----19
第一節 資料來源-----19
第二節 國外資金比例VAR與衝擊反應分析-----20
第三節 國外資金VAR與衝擊反應分析-----24
第四節 日本持有美債資金VAR與衝擊反應分析-----28
第五節 中國持有美債資金VAR與衝擊反應分析-----32
第五章 結論-----36
第六章 參考文獻-----36

一、 中文部分
陳旭昇. (2013). 時間序列分析: 總體經濟與財務金融之應用
二、 英文部分
Ang, A. and M. Piazzesi (2003). A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. Journal of Monetary economics 50(4),745–787

Beltran, D. O., M. Kretchmer, J. Marquez, and C. P. Thomas (2013). Foreign holdings
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1120-1143.

Bertaut, C., DeMarco, L.P., Kamin, S., Tryon, R., 2011. ABS Inflows to the United States and the Global Financial Crisis. International Finance Discussion Papers 1028. Board of Governors of the Federal Reserve System.

D’Amico, S., King, T.B., 2011. Flow and Stock Effects of Large-scale Treasury Purchases. Working paper. Board of Governors of the Federal Reserve System.

Department of the Treasury, 2018. Report on Foreign Portfolio Holdings of U.S. Securities as of June 30, 2018

Erin L. Wolcott (2016). Impact of Foreign Official Purchases of U.S. Treasuries on the Yield Curve. University of California, San Diego. Available at https://lamacro.davidson.edu/wp-content/uploads/2017/07/Foreign_Official_Purchases.pdf

Gurkaynak, R., and J. Wright. 2010. “Macroeconomics and the Term Structure.” Manuscript, Johns Hopkins University. Available at http://www.econ.jhu.edu/People/Wright/mats.pdf.

Gurkaynak, R.S., Sack, B., Wright, J.H., November 2007. The U.S. treasury yield curve: 1961 to the present. Journal of Monetary Economics 54 (8), 2291–2304

Martin, C. A. (2014). Foreign treasury purchases and the yield curve: Evidence from asign-identified vector autoregression. Available at SSRN 2534430.


Warnock, F. E. and V. C. Warnock (2009). International capital inflows and us interest rates. Journal of International Money and Finance 28 (6), 903-919.

Wayne M. Morrison, Marc Labonte (2008) China’s Holdings of U.S. Securities: Implications for the U.S. Economy. Congressional Research Service Report for Congress