教師資料查詢 | 類別: 期刊論文 | 教師: 湯惠雯 Hui-wen Tang (瀏覽個人網頁)

標題:Fitting the Term Structure of Interest Rates in Illiquid Market: Taiwan Experience
學年98
學期1
出版(發表)日期2009/12/01
作品名稱Fitting the Term Structure of Interest Rates in Illiquid Market: Taiwan Experience
作品名稱(其他語言)
著者Chou, Jian-Hsin; Su, Yung-Sheng; Tang, Hui-wen; Chen, Chen-Yu
單位淡江大學保險學系
出版者Business Perspectives
著錄名稱、卷期、頁數Investment Management and Financial Innovations 6(1), pp.101-116
摘要This paper aims to compare the fitting performance of term structure estimation for Taiwan Government Bonds market,which is considered as an illiquid bond market with a low trading volume, based on the Nelson and Siegel, Extended Nelson-Siegel Model and Nelson-Siegel-Svensson Model (see Nelson and Sigel, 1987; Bliss, 1996; Svensson, 1994).The empirical results indicate that the fitting performance in accuracy for Nelson-Siegel-Svensson Model is better than that of Extended Nelson-Siegel Model, and the Extended Nelson-Siegel Model is better than that of Nelson-Siegel Model. It means that adding more parameters will obtain a better capability in describing the shape of the term structure. Also, compared with the case of which the liquidity constraint is not taken into consideration, these three models will have a better fitting performance if the liquidity constraint is considered.
關鍵字term structure of interest rates;Nelson-Siegel Model;liquidity constraint.
語言英文
ISSN1813-4998;1812-9358;1810-4967
期刊性質國外
收錄於THCI Core;
產學合作
通訊作者Tang, Hui-wen
審稿制度
國別烏克蘭
公開徵稿
出版型式,電子版,紙本
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