淡江大學機構典藏:Item 987654321/72526
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    题名: Liquidity-Adjusted Benchmark Yield Curve: A Look at Trading Concentration and Information
    作者: 林蒼祥
    贡献者: 淡江大學財務金融學系
    关键词: Liquidity;trading concentration;information discovery;term structure;yield curve;JEL Classification: D4;JEL Classification: D53;JEL Classification: D83;JEL Classification: E43;JEL Classification: G12
    日期: 2007-10
    上传时间: 2011-10-24 10:32:00 (UTC+8)
    摘要: Estimation of benchmark yield curve in developing markets is often influenced by liquidity concentration. Based on an affine term structure model, we develop a long run liquidity weighted fitting method to address the trading concentration phenomenon arising from horizon-induced clientele equilibrium as well as information discovery. Specifically, we employ arguments from models of liquidity concentration and benchmark security information. After examining time series behavior of price errors against our fitted model, we find results consistent with both the horizon and information hypotheses. Our evidence indicates that trading liquidity carries information effect in the long run, which cannot be fully captured in the short run. Trading liquidity plays a key role in long run term structure fitting. Markets for liquid benchmark government bond issues collectively form a long term equilibrium. Compared with previous studies, our results provide a robust and realistic characterization of the spot rate term structure and related price forecasting over time, which in turn help portfolio investment of fixed income and long run pricing of financial instruments.
    關聯: Review of Pacific Basin Financial Markets and Policies 10(4), pp.491
    DOI: 10.1142/S0219091507001173
    显示于类别:[財務金融學系暨研究所] 期刊論文

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