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

淡江大學機構典藏 > 商管學院 > 國際企業學系暨研究所 > 期刊論文 > Item 987654321/54892

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題名:	An Empirical Study of the Taiwan’s Bond Market Based on the Nonlinear Dynamic Model
作者:	Su, Chi-wei
貢獻者:	淡江大學國際貿易學系暨國際企業研究所
日期:	2009-03
上傳時間:	2011-07-28 00:51:25 (UTC+8)
出版者:	Abingdon: Routledge
摘要:	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.
關聯:	Applied Financial Economics 19(7), pp.563-574
DOI:	10.1080/09603100802345405
顯示於類別:	[國際企業學系暨研究所] 期刊論文

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