淡江大學機構典藏:Item 987654321/46905
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/46905


    Title: 臺灣短期利率指標與影響因素之研究
    Other Titles: An Investigation of the Short Term Interest Rate Indicator---Evidence from Taiwan
    Authors: 萬哲鈺
    Contributors: 淡江大學經濟學系
    Keywords: 共整合;誤差修正模型;EGARCH 模型;cointegration;error correction model;EGARCH model
    Date: 2009
    Issue Date: 2010-04-15 15:33:16 (UTC+8)
    Abstract: 隨著金融環境的發展與變遷,中央銀行貨幣政策操作方式逐漸由對貨幣與信用數量的 控制,轉變成對資金價格或利率的調整上,因此金融市場某特定利率的變化,便往往 成為政策當局的操作對象,以及市場參與者觀察資金寬鬆程度的指標。為建立臺灣短 期資金市場的利率指標,中華民國銀行公會於民國94 年10 月推出台北金融業拆款定 盤利率 (TAIBOR)。 TAIBOR 指定報價銀行所報價之利率,為指定報價銀行以無擔保 方式且在合理的拆款金額下,可自金融同業間拆借資金之利率。鑑於 TAIBOR 推出至 今已超過三年的時間,在這段期間TAIBOR 是否已具有領導實際拆款利率與其他貨幣 市場利率,例如商業本票次級市場利率,而進行變化的能力呢?若 TAIBOR 具有領導 市場利率變化的能力,那影響TAIBOR 領導市場變化能力的因素又為何呢?本研究擬 利用VECM-EGARCH 模型、Hasbrouck (1995) 訊息比例模型以及Gonzalo & Granger (1995) 恆常-暫時模型等統計方法,分析與討論TAIBOR 做為短期資金市場之利率指標 的合宜性。同時利用Hasbrouck (1995) 與 Gonzalo & Granger (1995) 模型計算出代表 TAIBOR 價格發現能力高低的指標,與市場成交量、利率高低價差、利率波動、及假 日、週末、旬初、旬末等因市場交易習慣與制度等進行迴歸分析,瞭解影響短期利率 指標的因素,藉以作為當局制訂貨幣政策以及市場人士交易與利率有關之金融商品的 參考依據。 In recent years, the central banks of major industrial countries, including the Federal Reserve, have increased their focus on the overnight interest rate rather than the amount of money supply as the primary indicator of the stance of monetary policy. The Taipei interbank offered rate (TAIBOR) introduced by the Bankers Association of the Republic of China is erected for servicing as the primary short term interest rate indicator of Taiwan’s financial market. In the research, we will employ VECM-GARCH model, Hasbrouck (1995) information share model and Gonzalo & Granger (1995) permanent-transitory model to investigate the relative role of price discovery between TAIBOR, interest rate of interbank call-loan market and secondary money market rate on commercial paper. In addition, we will also study whether the contribution of TAIBOR to price discovery is related to trading volume, spreads, public information and macroeconomic announcements.
    Appears in Collections:[Graduate Institute & Department of Economics] Research Paper

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