| 標題：Fitting the Term Structure of Interest Rates in Illiquid Market: Taiwan Experience |
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| 學年 | 98 |
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| 學期 | 1 |
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| 出版（發表）日期 | 2009/12/01 |
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| 作品名稱 | Fitting the Term Structure of Interest Rates in Illiquid Market: Taiwan Experience |
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| 作品名稱（其他語言） | |
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| 著者 | Chou, Jian-Hsin; Su, Yung-Sheng; Tang, Hui-wen; Chen, Chen-Yu |
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| 單位 | 淡江大學保險學系 |
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| 出版者 | Business Perspectives |
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| 著錄名稱、卷期、頁數 | Investment Management and Financial Innovations 6(1), pp.101-116 |
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| 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. |
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| 關鍵字 | term structure of interest rates;Nelson-Siegel Model;liquidity constraint. |
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| 語言 | 英文 |
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| ISSN | 1813-4998;1812-9358;1810-4967 |
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| 期刊性質 | 國外 |
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| 收錄於 | THCI Core; |
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| 產學合作 | |
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| 通訊作者 | Tang, Hui-wen |
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| 審稿制度 | 否 |
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| 國別 | 烏克蘭 |
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| 公開徵稿 | |
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| 出版型式 | ,電子版,紙本 |
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| 相關連結 | |
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| SDGs | |
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