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    題名: 短期利率動態調整之實證研究
    其他題名: An empirical comparison of alternative models of the short-term interest rate dynamics.
    作者: 龍思筠;Lung, Shih-yun
    貢獻者: 淡江大學財務金融學系碩士班
    李命志;Lee, Ming-chih
    關鍵詞: 短期利率;非線性;GARCH;水準效果;GED;Short-term interest rate,;Nonlinearity,;GARCH
    日期: 2007
    上傳時間: 2010-01-11 01:10:49 (UTC+8)
    摘要: 本研究利用美國三個月期國庫券利率與財務上短期利率模型來探討實際經濟社會短期利率之動態調整過程,並且考慮含有非常態誤差項的GARCH模型以捕捉隨時間變化的波動性和不連續利率移動的潛在影響。研究過程中使用最大概似估計法進行參數之估計與執行相關的模型檢定,試圖透過估計找出最佳實證配適效果之利率模型。本研究認為估計利率模型時單純採用非線性漂浮項設定並不恰當,因為實證結果發現不同的變異項型態與誤差分配的設定皆可能改變利率模型中對於非線性漂浮項的必要性,例如:非線性變異項之利率模型會降低模型中對於非線性漂浮項的需求。此外,本文實證結果顯示當模型中同時考慮水準效果並且假設誤差項服從GED分配之GARCH模型後,其利率模型大大降低了水準效果的參數估計值,因此本研究認為單獨考慮水準效果之利率模型對於解讀短期利率動態調整過程之波動性稍顯不足。
    This paper provides a comprehensive analysis of the short-term interest rate dynamics based on the US interest rate and two flexible parametric specifications. By using the two parametric specifications, we proposed a flexible one-factor diffusion framework that encompasses most parametric specifications in the literature and considering GARCH-type models with non-normal innovations to capture the potential impact of time-varying volatility and discontinuous interest-rate movements. We estimated both sets of models on the US interest-rate series using the maximum likelihood estimation method and performed relevant likelihood tests.
    The empirical research points out that the significant parameter estimates for the variance function indicating that the conditional variance of the interest-rate change is a nonlinear function of the interest-rate level. Neither the affine specification nor the CEV specification alone can fully capture this nonlinearity. Moreover, using a flexible diffusion specification and incorporating GARCH volatility and non-normal innovation can’t reduce the needs for a nonlinear drift specification.
    顯示於類別:[財務金融學系暨研究所] 學位論文

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