| 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 | en |
| ISSN | 1813-4998 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 | 否 |
| 國別 | UKR |
| 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/987654321/61248 ) |
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