本研究主要利用2000年1月至2023年2月之月度資料，目的在於理解買賣價差以及其他決定因素對於歐盟各國主權債券利差的影響。本研究探討的其他因素包括歐洲聯盟各國的信用評級、市場壓力指標，以及標普500波動率指數(VIX)等。資料截取自Bloomberg資料庫。主要使用兩階段最小平方法(2SLS)作為本篇的研究方法。
實證結果顯示，金融危機之後，買賣價差和標普500波動率指數(VIX)對歐盟國家的影響力有明顯的上升趨勢。在此狀況下，投資者對歐盟債務危機五國(葡萄牙、愛爾蘭、義大利、希臘、西班牙)相比其他歐盟國家，表現出更強烈的風險趨避傾向，因此，投資者會要求更高的利差作為風險溢酬。此外，市場壓力指標亦反映出金融危機後，歐洲中央銀行的貨幣政策已轉變成為影響歐洲主權債券市場的主要力量。最後，信用評等和經濟政策不確定性指數(EPU In-dex)在全樣本中顯示正向顯著，然而在不同國家的顯著程度並不一致，這指出了各地區異質性的重要性，並需要進一步的探討與考量。

This study utilizes monthly data from January 2000 to February 2023 to assess the impact of bid-ask spread and several other determinants on sovereign bond spreads across European Union countries. We delve into additional influences such as credit ratings of EU countries, market stress indicators, and the Volatility Index (VIX) related to the S&P 500. All data are sourced from the Bloomberg database. The analytical method is based on the two-stage least squares (2SLS) approach, ena-bling a thorough understanding of these intricate interconnections.
Empirical results indicate that, following the financial crisis, the influence of the bid-ask spread and the S&P 500 Volatility Index (VIX) on EU nations has shown a notable upward trend. In this scenario, compared to other EU nations, investors exhibit a stronger risk-aversion tendency towards the five EU countries hit hardest by the debt crisis (Portugal, Ireland, Italy, Greece, Spain), consequently demanding a higher yield spread as a risk premium. Moreover, the market stress indicator also reflects that, post-financial crisis, the monetary policy of the European Central Bank has evolved into a major force impacting the European sovereign bond market. Fi-nally, while the credit rating and Economic Policy Uncertainty (EPU) Index demon-strate a significant positive correlation in the overall sample, their significance var-ies across different countries. This underscores the importance of regional heteroge-neity, which requires further exploration and consideration.

中文摘要 .......................................................... I
英文摘要 ......................................................... II
目錄 ............................................................. III
表目錄 ........................................................... IV
圖目錄 ............................................................ V
第一章、緒論 ...................................................... 1
第一節 研究動機 ..................................................1
第二節 研究背景 ..................................................2
第三節 研究架構 ..................................................6
第二章、文獻回顧 .................................................. 7
第一節 利差模型主要變數 ..........................................7
第二節 利差模型研究演變 ..........................................8
第三章、實證資料敘述 ............................................. 10
第一節 資料說明 .................................................10
第二節 資料來源與處理方法 .......................................20
第三節 資料時間序列趨勢 .........................................22
第四章、實證方法與模型 ........................................... 34
第一節 實證方法 .................................................34
第二節 實證模型 .................................................35
第五章、實證估計結果 ............................................. 37
第一節 主權債券利差模型- 全樣本-兩階段最小平方法 ................37
第二節 主權債券利差模型- 歐盟債務危機五國-兩階段最小平方法 ......39
第三節 主權債券利差模型- 全樣本時間改變效應-兩階段最小平方法 ....41
第四節 主權債券利差模型- 各國-普通最小平方法 ....................43
第五節 穩健性檢定- 以美國十年公債收益率為基準利率 ...............47
第六章、結論 ..................................................... 52
參考文獻 ......................................................... 54

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