教師資料查詢 | 類別: 期刊論文 | 教師: 蘇志偉 Su, Chih-wei (瀏覽個人網頁)

標題:An Empirical Study of the Taiwan’s Bond Market Based on the Nonlinear Dynamic Model
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學期
出版(發表)日期2009/03/01
作品名稱An Empirical Study of the Taiwan’s Bond Market Based on the Nonlinear Dynamic Model
作品名稱(其他語言)
著者Su, Chi-wei
單位淡江大學國際貿易學系暨國際企業研究所
出版者Abingdon: Routledge
著錄名稱、卷期、頁數Applied Financial Economics 19(7), pp.563-574
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.
關鍵字
語言英文
ISSN0960-3107
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產學合作
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國別英國
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