本文資料來自於美聯儲經濟數據庫(FRED)，並使用時間序列計量方法，例如單根檢定、向量自我回歸模型、Granger因果關係檢定及衝擊函數與預測誤差變異數分解等，來探討1. 探討美國長短天期債券是否存在領先或落後的關係。2.探討美國長短天期債券殖利率之間是否存在正向或負向關係。
向量自我迴歸模型之實證結果顯示美國三個月公債殖利率與美國十年期公債殖利率都受到美國三個月公債殖利率落後4期與5期的影響，具有顯著正相關。
Granger因果檢定下，美國十年期公債殖利率的變動不會「Granger影響」美國三個月公債殖利率，美國三個月公債殖利率會「Granger 影響」美國十年期公債殖利率，所以兩變數間不具有相互回饋關係。
美國三個月期公債殖利率對於自身衝擊會產生正向反應，尤其以第一期與第六期衝擊反應最大，之後驟減再緩慢上升。美國三個月公債殖利率對於美國十年期公債殖利率的衝擊自第一期到第五期皆有正向反應，預測誤差變異數分解也跟衝擊反應圖有相呼應的結果。

This article uses data from the Federal Reserve Economic Database (FRED) and employs time series econometric methods, such as the single root test, vector autoregression model, Granger causality test, and shock function and prediction error variance decomposition, to explore: 1. Whether a leading or lagging relationship exists between US long-term and short-term bond yields. 2. Whether a positive or negative relationship exists between US long-term and short-term bond yields.
Empirical results show that both the yield on the three-month U.S. Treasury note and the yield on the ten-year U.S. Treasury note are significantly positively correlated due to the lag of the three-month U.S. Treasury note yield by four and five periods.
Under the Granger causality test, changes in the yield on the 10-year U.S. Treasury note do not have a Granger effect on the yield on the 3-month U.S. Treasury note, but the yield on the 3-month U.S. Treasury note does have a Granger effect on the yield on the 10-year U.S. Treasury note. Therefore, there is no feedback relationship between the two variables.
The yield on the three-month U.S. Treasury note exhibits a positive response to shocks to itself, with the largest responses observed in the first and sixth periods, followed by a sharp decrease and then a slow rise. The yield on the ten-year U.S. Treasury note shows a positive response to shocks from the first to the fifth period, and the decomposition of the variance in the prediction error also corresponds to the results of the shock response diagram.

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