期刊論文
| 學年 | 96 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2007-10-01 |
| 作品名稱 | Liquidity-Adjusted Benchmark Yield Curve: A Look at Trading Concentration and Information |
| 作品名稱（其他語言） | |
| 著者 | 林蒼祥 |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Review of Pacific Basin Financial Markets and Policies 10(4), pp.491 |
| 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. |
| 關鍵字 | Liquidity;trading concentration;information discovery;term structure;yield curve;JEL Classification: D4;JEL Classification: D53;JEL Classification: D83;JEL Classification: E43;JEL Classification: G12 |
| 語言 | en_US |
| ISSN | 0219-0915 1793-6705 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72526 ) |