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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/52837


    Title: 參數不確定性和利率期限結構預期理論模型之檢定─以台灣貨幣市場為例
    Authors: 莊武仁
    Contributors: 淡江大學財務金融學系
    Keywords: 利率期限結構;預期理論;參數不確定性
    Date: 2003-03
    Issue Date: 2010-12-01 11:03:50 (UTC+8)
    Publisher: 臺北縣:淡江大學
    Abstract: 實證研究文獻常拒絕利率期限結構的預期理論和理性預期的聯合假設,並將拒絕的原因歸究於隨時間變動的期限貼水、衡量誤差和過度反應,本文則利用參數不確定性假設以模擬方法探討聯合假設在臺灣貨幣市場的適用性,實證結果符合參數不確定假設的論點,實證結果亦顯示,臺灣貨幣市場的參與者在知道長短期利差和超額持有期間報酬兩者之相關性時,可以利用此項資訊獲取超額報酬,但此項超額報酬並不大,或許僅能彌補因持有較長天期票券所承擔較高的利率風險或較低的流動性而已。
    Relation: 淡江人文社會學刊=Tamkang Journal of Humanities and Social Sciences 14,頁31-48
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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