本研究旨在探討財政預期、治理風險事件與經濟政策不確定性對美國長天期公債殖利率與期限溢酬之影響。過去文獻多著重於貨幣政策、通膨預期與總體經濟條件對長期利率的解釋，惟近年美國財政赤字擴大、債務水準上升、預算僵局以致停擺頻繁發生，以及主權信用評等負向行動，使財政可持續性與政府治理可信度逐漸成為影響長期利率的重要因素。
本文以1986年至2026年間美國國會預算處(CBO)財政預測報告發布時點為基礎，分別以財政餘額、初級餘額與聯邦債務作為財政預期變數，透過OLS搭配Newey-West HAC穩健標準誤進行估計。模型另納入臨時撥款法案(CR)虛擬變數、主權信用評等負向行動指標與經濟政策不確定性指數(EPU)，以衡量治理風險與政策不確定性之定價效果。
實證結果顯示，在三種財政規格下，財政惡化皆會顯著推升美國長天期公債殖利率與期限溢酬，表示市場會將財政可持續性納入長期利率定價。治理風險與政策不確定性亦具有獨立影響，其中CR主要透過期限溢酬管道推升長期利率，主權信用評等負向行動不僅具有直接風險訊號效果，亦會放大財政惡化對長期利率之影響。子樣本結果進一步顯示，隨樣本納入金融危機後與近年觀測值，財政與治理風險之定價效果更加明顯。本研究驗證美國長期利率除受貨幣政策與總體經濟條件影響外，亦會反映市場對財政可持續性、政府治理能力與政策不確定性的評價。

This thesis examines whether fiscal expectations, governance risk events, and economic policy uncertainty are reflected in the pricing of U.S. long-term Treasury yields and term premia. Using 102 event-based observations from CBO projection releases between 1986 and 2026, this study estimates Newey-West HAC regressions under three fiscal specifications: projected fiscal balance, primary balance, and federal debt. It further incorporates three governance and uncertainty measures: a continuing resolution dummy, a sovereign credit negative-action indicator, and the Economic Policy Uncertainty index.
The empirical results show that fiscal expectations have robust and statistically significant effects on long-term yields and term premia. Governance risk variables also exhibit independent pricing effects after controlling for fiscal fundamentals. Interaction results further indicate that sovereign credit negative actions amplify the transmission from fiscal deterioration to long-term interest rates, whereas continuing resolutions mainly operate through an independent premium channel. Sub-sample analysis suggests that these effects become more pronounced as the sample extends beyond the global financial crisis and includes more recent observations.
Overall, the findings suggest that governance risk and policy uncertainty constitute measurable pricing forces beyond conventional monetary policy and macroeconomic channels.

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