本研究旨在探討專營票券商次級市場交易利率是否相較於TAIBIR（臺灣短期票券報價利率指標）與TAIBOR（台北金融業拆款定盤利率）更具市場利率領導性。票券商為我國獨特之金融中介機構，主要負責商業本票之承銷與流通，其報價行為對短期資金市場利率有高度敏感性。然而現行TAIBIR指標因編製方式可能將部分專營票券商高利率報價剔除，低估實際市場利率水準。透過蒐集2019年至2024年間每日交易利率資料，進行時間序列分析與VECM模型，探討三項利率間之領導關係與因果連動。本研究結果指出，短期而言，票券業利率對TAIBIR影響顯著、對TAIBOR影響不顯著；TAIBIR對票券業利率影響邊際顯著、對TAIBOR影響不顯著；TAIBOR對TAIBIR及票券業利率影響皆不顯著；長期而言，票券業利率、TAIBIR利率皆不顯著，係由TAIBOR修正利率。亦即在貨幣政策調整過程中，短期而言，票券業利率為利率變動之先行指標；長期而言，TAIBOR為主要影響者。

This study aims to investigate whether the secondary market transaction rates of Dedicated Bills Finance Companies possess greater market interest rate leadership compared to TAIBIR (Taiwan Bills Index Rate) and TAIBOR (Taipei Interbank Offered Rate). Bills finance companies are unique financial intermediaries in Taiwan, primarily responsible for the underwriting and circulation of commercial paper. Their pricing behavior is highly sensitive to interest rates in the short-term money market. However, the current compilation method of the TAIBIR index may exclude high-rate quotes from certain bills finance companies, potentially underestimating the actual market interest rate level.
By collecting daily transaction rate data from 2019 to 2024, this study employs time series analysis and the Vector Error Correction Model (VECM) to examine the leadership relationships and causal linkages among these three interest rates. The results indicate that, in the short term, the bills finance industry rate significantly affects TAIBIR but not TAIBOR; TAIBIR has a marginally significant effect on the bills finance industry rate but not on TAIBOR; and TAIBOR has no significant effect on either TAIBIR or the bills finance industry rate. In the long run, the bills finance industry rate and TAIBIR are not significant, with TAIBOR acting as the rate adjustment mechanism. In other words, during the process of monetary policy adjustment, the bills finance industry rate acts as a leading indicator for rate changes in the short term, while TAIBOR is the dominant influencer in the long term.

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