English  |  正體中文  |  简体中文  |  Items with full text/Total items : 49523/84737 (58%)
Visitors : 7604151      Online Users : 89
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31549

    Title: 臺灣公債主流券殖利率與各金融市場變數之關聯性
    Other Titles: The relationship between financial market variables and government bond yield in Taiwan
    Authors: 張申東;Chang, Shen-tung
    Contributors: 淡江大學財務金融學系碩士在職專班
    聶建中;Neih, Chien-chung
    Keywords: 公債主流券殖利率;共整合;誤差修正;public bond yield;Cointegration;Variance decomposition
    Date: 2007
    Issue Date: 2010-01-11 00:53:23 (UTC+8)
    Abstract: 本研究主要探討公債主流券殖利率與各金融市場變數間的相互影響及變數間的長短期均衡互動關係,研究期間為1999年1月至2006年12月,以ADF單根檢定法進行變數的穩定性測試,再利用共整合模型來檢定所有變數在長期下是否存在穩定的均衡共移關係,並以誤差修正模型來探討長短期動態調整效果,另加入衝擊反應函數與預測誤差變異數分解來觀察長短期互動影響力與波動解釋效果。

    The purpose of this paper is to examine the relationship between financial market variables and government bond yield in Taiwan. We examine the stability of variances with ADF unit root test and check all the variables if exist stable equilibrium relationship in co-moving in the long run by using the cointegration test. We also use vector error correction model to analyze the effect of the dynamic regulation over the long and short term. And we add impulse response function and variance decomposition to observe the effect in the long and short run and the explanation of fluctuations.
    The results show that, (1) in the long term, CP rate, exchange rate, RP rate and stock index affect the government bond yield the most, and these 5 factors may lead to an equilibrium in long term investment. (2) in the short term, the lags of government bond yield would affect the current government bond yield itself the most. (3) Besides the historical data, investors are suggested to refer the CP rate, exchange rate, RP rate, stock index, and the lags of government bond yield itself.
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Thesis

    Files in This Item:

    File SizeFormat

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback