本文的研究目的，在於直接以利率特性探究景氣循環，並以景氣循環探究利率特性，以了解兩者之間的關係；此模型的特色，在於避開了一般總體模型共通的一項缺點 : 必須先預測外生變數。以上談到的貨幣市場利率特性，計有持有報酬率、違約貼水、期限貼水等三者，至於景氣循環則採用經建會所認定的標準。 研究發現，民國75年到84年臺灣地區貨幣市場的利率特性與實質經濟活動，的確互有解釋及預測能力，實証結果如下：

1.持有報酬率與景氣循環

持有報酬率對景氣具有顯著的負向關係，以持有報酬率來解釋及預測景氣機率也獲致很好的效果；另外，在景氣由盛而衰及由衰轉強此二個景氣轉折月份，持有報酬率飛高和陡降的劇烈變化特別值得注意。並且可以藉由卡曼模型改變估計方法，提高景氣對持有報酬率的解釋和預測能力。

2.違約貼水與景氣循環

從違約貼水對景氣為固定係數的負向關係來看，顯著性雖然低，卻可藉由卡曼模型改變係數估計的方法，大幅改善違約貼水與景氣相互間的解釋和預測能力。

3.期限貼水景氣循環

下降或駝峰型的利率期間結構堪稱是衰退期特有的現象，和1938(1989美國的歷史資料不謀而合。

【國內文獻】
陳師孟，"我國商業本票市場對貨幣供給之影響"，台北市票券金融事業協會71 年7 月
陳師孟，"貨幣市場與經濟循環"，貨幣市場十年，中典票券'h司75 年
何顯重，"我國貨幣市場之回顧與未來發展方向"，貨幣市場十年，中興票券立:司75 年
林維義，" 我國貨幣市場之現狀"，貨幣市場十年，中興票券公司，75年
林玫吟，"台灣票券市場報酬率特性之研究"，台灣大學財務金融研究所碩士論文83 年5 年
李賢源、林玫吟，"台灣票券市場報酬率特性之研究"，刊行中，85年
台灣景氣指標，行政院經建會

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