An Empirical Study of the Taiwan’s Bond Market Based on the Nonlinear Dynamic Model

機構典藏 > College of Business and Management > Graduate Institute & Department of International Business > Journal Article > Item 987654321/54892

Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/54892

Title:	An Empirical Study of the Taiwan’s Bond Market Based on the Nonlinear Dynamic Model
Authors:	Su, Chi-wei
Contributors:	淡江大學國際貿易學系暨國際企業研究所
Date:	2009-03
Issue Date:	2011-07-28 00:51:25 (UTC+8)
Publisher:	Abingdon: Routledge
Abstract:	This article examines long-run dynamic adjustments of the term structure of interest rates using Taiwan government bond interest with different maturities. This permits threshold and momentum-threshold adjustments to test for asymmetry in unit roots and cointegration. More specifically, we employ nonlinear methodology to investigate whether the term structure of interest rates is consistent with the expectation theory. The results support the expectation theory in the case of the term structure of interest rates with dynamic adjustment. Furthermore, we find solid evidence of the asymmetric price transmission effect among bonds with different maturities in both the short and long run, and we employ the asymmetry error-correction model to successfully capture dynamic adjustments of interest rates.
Relation:	Applied Financial Economics 19(7), pp.563-574
DOI:	10.1080/09603100802345405
Appears in Collections:	[Graduate Institute & Department of International Business] Journal Article

Files in This Item:

File	Description	Size	Format
An Empirical Study of the Taiwan’s Bond Market Based on the Nonlinear Dynamic Model.pdf		257Kb	Adobe PDF	1	View/Open
index.html		0Kb	HTML	155	View/Open