An Empirical Study of Term Stucture In Taiwan Bond Market Based on Nonlinear Dynamic Model

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Title:	An Empirical Study of Term Stucture In Taiwan Bond Market Based on Nonlinear Dynamic Model
Authors:	TZU-WEN LIN
Contributors:	Department of International Business
Keywords:	Term Structure of Interest Rates;Threshold Autoregressive Model;Momentum- Threshold Autoregressive Model
Date:	2005
Issue Date:	2009-11-16 11:33:27 (UTC+0)
Publisher:	Asia University
Abstract:	This paper examines the dynamic adjustment to long-run relationship between Taiwan?s government bond interest rates with different maturities. We employ a methodology that permits threshold and the momentum-threshold adjustment towards equilibrium. To compare with past research, we assume that the dynamic adjustment of yield spreads in different maturity bonds. Our results support the expectations hypothesis of the term structure of interest rate with dynamic adjustment using Taiwan interest rates. It maybe erroneous by using symmetry adjustment assumption to build the term structure of interest rates. Furthermore, when interest was down, we find asymmetric price transmissions between different maturity bonds in the short and long run. But it was not done when interest was up.
Appears in Collections:	[Department of International Business] Theses & dissertations

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