本研究透過敘述統計、相關係數、時間序列的單根檢定及Granger因果關係檢定等方法，來分析東協五國、台灣等六個國家的十年期公債殖利率及美國十年期公債殖利率的利差，與該國之消費者物價指數及匯率間是否具有因果關係，期能找出預測景氣的指標。
實證結果顯示，由於各國的經濟體組成結構與開發程度不盡相同，因此在各變數間的相互關係存在一定之差異，以新加坡、馬來西亞及泰國而言，該國的消費者物價指數具有領先指標的特性，對於利差(新加坡、馬來西亞及泰國)與匯率(馬來西亞)有其一定之影響。而在菲律賓而言，該國的匯率相對其利差則具有領先指標的特性。另外在印尼及台灣的部分，利差相對於消費者物價指數(印尼及台灣)及匯率(印尼)則具有領先指標的特性，其中印尼利差及匯率兩者間有相互影響的特性，而台灣的匯率亦有領先消費者物價指數反應的特性。

SUMMARY

This study examines if the sovereign debt spreads between The ASENS-5 and US ten-year bond is a leading indicator for CPI and exchange rate. The time series methodologies such as VAR, Granger causality have been applied.
The results show some significant lead/lag relationship between these variables: CPI leads spread in Singapore, Malaysia and Thailand; CPI leads exchange rate in Malaysia; Exchange rate leads spread in Philippine; Spread and exchange rate have interaction in Indonesia; Spread leads CPI both in Indonesia and Taiwan; Exchange rate leads CPI in Taiwan. Between These variables do exist early information in different countries because of the different composition structure of GDP.

INTRODUCTION

Started from the 1990’s, with the surge international bond issues in developing countries, the sovereign debts spread has become staring instruments for financing development. According to the past research, Chia-Jung Lin (2012) indicate that all the tradable financial instruments have an effect on the sovereign bond spread. For Latin America countries, the result of each variable except short-term government bond yield is consistent with her assumption: Exchange rate has negative impact on bond spread for all country. Lending spread, long-term government bond yield, VIX and TED spread respectively has positive impact on sovereign bond spread. Wan-HsuanTsai (2012) show that with the quarterly sample of EMBI spread and eleven determinants, sovereign spreads play the different roles and are not exclusively determined by the same variables in different countries. Besides, for each determinant, the direction and the degree of the effect vary among the countries in her sample. Li, Yi-Zhen (2013) find that sovereign CDS and EMBI bond spreads move together in the long run although deviate in the short run. Chia-Chien Weng (2014) found that after the subprime crisis, there is no significant relationship between the bond yield spreads and the economic growth due to monetary policy causing the inaccurate yield spreads and the failed ability to predict economic growth in the short-run future.
This study examines if the sovereign debt spreads between The ASENS-5 and US ten-year bond is a leading indicator for CPI and exchange rate. Using data a total of 3,372 strokes since January 2000 to December 2014.
The results show that some significant lead/lag relationship between sovereign debt spread, CPI and exchange rate.

MODELS AND METHODS

My total 3,372 monthly data during the 15 years are collected from datastreams which consists of U.S., Singapore, Malaysia, Thailand, Indonesia, Philippine and Taiwan ten-year bond yields, CPI, exchange rate, three-month U.S. treasury bill rate, three-month LIBOR and VIX index.
Time series measurement methods were such as VAR, Granger causality, impulse response, variance decomposition.
RESULTS AND DISCUSSION
A summary of the results is reported as follow:
1. CPI leads sovereign debt spread at 5% significant level in Singapore.
2. CPI leads both sovereign debt spread and exchange rate at 1% significant level in Malaysia.
3. CPI leads sovereign debt spread at 10% significant level in Thailand.
4. Exchange rate leads spread; and spread also leads exchange rate both at 1% significant level in Indonesia. It means that spread and exchange rate have interaction. Spread leads CPI at 5% significant level in Indonesia.
5. Exchange rate leads spread at 1% significant level in Philippine.
6. Spread leads CPI at 5% significant level and exchange rate leads CPI at 10% significant level in Taiwan.
The empirical results that between sovereign debt spread, CPI and exchange rate are not exclusively determined by the same variables in different countries because of the composition structure of GDP are not the same.

CONCLUSION

This paper shows that sovereign debt spread play the different roles and are not exclusively determined by the same variables in different countries. The information transmission between sovereign debt spread, economic and financial factors vary among five ASEAN countries and Taiwan. For each factor, the direction and the degree of the effect vary for countries in our sample. However, in this paper we won’t consider the Mutual influence relations between variables of different countries. Hence, in the future, we should depth study the relationship of this variables between countries.

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