本研究係以向量自我迴歸模式探討次貸風暴前後美國長短期公債殖利率利差與經濟成長之互動關係，經由Granger因果關係檢定、預測誤差變異數分解及衝擊反應分析，研究結果發現：
一、由Granger因果關係檢定發現次貸風暴前，長短期公債殖利率利差具有領先經濟成長率之關係，惟次貸風暴後，長短期公債殖利率利差與經濟成長率呈現獨立關係。
二、由變異數分解可知次貸風暴前，經濟成長率主要被長短期公債殖利率利差與消費者物價指數兩項變數所影響，而消費者物價指數對經濟成長率影響較公債利差快速，惟次貸風暴後，經濟成長率主要被三個月國庫券殖利率及消費者物價指數所影響。
三、由衝擊反應分析可知次貸風暴前，經濟成長率主要被公債殖利率利差顯著的影響。次貸風暴後，經濟成長率主要被消費者物價指數顯著之影響。當經濟成長率發生自發性干擾時，對消費者物價指數影響較持久且為負向，對三個月國庫券殖利率影響次之，對公債殖利率利差時間較短且影響最小。
綜合上述，本研究發現經過次貸風暴後長短期公債殖利率利差與經濟成長率之關係已大幅降低，作者認為可能因為實施貨幣量化寬鬆與超低利率政策影響，以致利差預測經濟成長之能力已顯著降低。

This study is based on vector autoregression model to explore the interaction between the U.S. short-term and long-term government bond yield spreads and the economic growth before and after subprime mortgage crisis via Granger causality Tests、Forecast Error Variance Decomposition and Impulse Response Analysis. The results are found as follow:
First, the Granger causality test found that before the subprime mortgage crisis, there is a leading relationship between the short-term and long-term bond yield spreads and the economic growth. But after the subprime mortgage crisis, there is an independent relationship between the short-term and long-term bond yield spreads and the economic growth.
Second, via Forecast Error Variance Decomposition, we can see that before the subprime mortgage crisis, the economic growth is mainly affected by the bond yield spreads and the consumer price index, and the consumer price index has much more impact on the economic growth rate than on the bond yield spreads. But after the subprime mortgage crisis, the economic growth rate is mainly influenced by three-month Treasury yields and the consumer price index and it is consistent with the Federal Reserve’s Monetary Policy Statement attitude in July 2013. If U.S. inflation rate fails to rise close to the target level of the central bank in future, low interest rates will continuously be maintained for a period of time in order to keep up the economic growth in the United States.

Third, via Impulse Response Analysis, we can found that before the subprime mortgage crisis, the economic growth rate is mainly influenced significantly by the bond yield spreads. it has a more lasting and positive impact on the spreads of bond yields, and it has the negative and less impact on the yields of three-month Treasury bills. After the subprime mortgage crisis, the economic growth rate has the significant and main effect to the consumer price index. When the economic growth rate has the spontaneous disturbance, it has the more lasting and negative impact on the consumer price index, and next, the three-month Treasury yield. It has the short-term and less impact on the bond yield spreads.

In summary, this study 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.

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