教師資料查詢 | 類別: 期刊論文 | 教師: 林蒼祥 Lin William T. (瀏覽個人網頁)

標題:Liquidity-Adjusted Benchmark Yield Curve: A Look at Trading Concentration and Information
學年
學期
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
語言英文(美國)
ISSN0219-0915;1793-6705
期刊性質國外
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產學合作
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國別美國
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