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    Title: 利率期限結構之非線性平滑狀態轉換模型分析
    Other Titles: Testing the expectations theory of the term structure of interest rates in smooth transition regime-switching model
    Authors: 賴姮竹;Lai, Heng-chu
    Contributors: 淡江大學財務金融學系碩士班
    莊武仁;Chuang, Wu-jen
    Keywords: 預期理論;誤差項;非線性平滑狀態轉換模型;the expectations theory;error term;nonlinear smooth transition regime-switching model
    Date: 2009
    Issue Date: 2010-01-11 01:07:44 (UTC+8)
    Abstract: 過去對於預期理論的檢定,多數學者皆是利用線性模型來進行實證研究,但近年來有學者認為傳統線性模型已經無法正確的描述實際市場的短期利率動態調整行為,故提出有些經濟變數之序列是呈現非線性型態的論點,並依據此論點引發了本研究的動機,因此本研究主要目的為探討台灣短期利率的非線性動態調整行為,且再依據Teräsvirta (1994)估計平滑轉換自我迴歸模型的研究步驟,配適出適用於台灣貨幣市場之非線性平滑狀態轉換模型並進行實證分析。實證結果發現:
    1、將30天期商業本票利率視為短期利率、90天期商業本票利率視為長期利率進行傳統預期理論檢定時,發現其拒絕利率期限結構下之預期理論的成立。
    2、使用誤差項作為模型的轉換變數時,發現該轉換變數會使短期利率調整至均衡的過程是呈現非線性的動態調整,並依其結果進一步配適出logistic(指數)型態的平滑狀態轉換模型。當中亦發現該非線性調整存在雙門檻現象,此意謂著門檻內、外分別呈現出不同的動態調整行為,並進一步對門檻內、外進行檢定,結果發現門檻內預期理論無法成立而門檻外則預期理論成立。
    Most prevalent studies are using linear model to investigate the expectations theory of the term structure of interest rates. However, the main purpose of this paper is to re-examine the expectations theory of the term structure of interest rates using nonlinear model. So we try to use Logistic Smooth Transition Regime-Switching Model (LSTRS) to analysis the expectations theory of the term structure of Taiwan monetary market rates. There are two empirical results indicated as follows :
    1. The results indicate that the expectations theory of the term structure is rejected for the 30 day short and 90 day long commercial paper rates in Taiwan when using the traditional expectations theory model.
    2. By using the lag of error term as the transition variable, we found the nonlinear dynamics adjustment in short term interest rates. Moreover, the short term interest rates can be explained by Logistic Smooth Transition Regime-Switching Model and it has two thresholds. The two thresholds means crossing the thresholds that the short term interest rates will have different nonlinear dynamics adjustment behaviors.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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