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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31727

    Title: 台灣利率期限結構之非線性平滑轉換誤差修正模型實證研究
    Other Titles: The empirical study of the expectations theory of the term structure of interest rates in smooth transition error correction model
    Authors: 許琇庭;Hsu, Shiou-ting
    Contributors: 淡江大學財務金融學系碩士班
    莊武仁;Chuang, Wu-jen
    Keywords: 利率期限結構;失衡指數;非線性平滑轉換誤差修正模型;Term structure of interest rates;Disequilibrium Index;Nonlinear Smooth Transition Error Correction Model
    Date: 2006
    Issue Date: 2010-01-11 01:11:00 (UTC+8)
    Abstract: 本篇研究主要的目的是探討台灣貨幣市場商業本票利率的非線性動態調整行為,並應用平滑轉換誤差修正模型來描述台灣商業本票利率非線性的部分。而在考慮多個利率變數時,體系內不只存在一個共積關係,因此本文使用Granger, Yau and Francis (2003)的失衡指數當作非線性誤差修正模型的轉換變數。實證結果發現:
    The purpose of this paper is to investigate the term structure of interest rates in Taiwan. A nonlinear smooth transition error correction model is specified and estimated with a disequilibrium index as a proxy for the transition variable.
    The results show that the yield spread, which the represents the long-run equilibrium relationship among interest rates, is stable with nonlinear adjustment. The evidences suggest that the LSTECM model is best for characterizing the behaviors of the 1-month and the 3-month interest rates, and the ESTECM model is best for the 6-month interest rate.
    Among the exogenous variables, the lunar new year affects 1-month interest rate adjustment, the political dispute and financial crisis affects 3-month interest rate adjustment.
    The empirical results show that the expectations hypothesis holds in the term structure of interest rates in Taiwan.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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