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

ASIA unversity > 管理學院 > 國際企業學系 > 博碩士論文 > Item 310904400/2942

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題名:	An Empirical Study of Term Stucture In Taiwan Bond Market Based on Nonlinear Dynamic Model
作者:	TZU-WEN LIN
貢獻者:	Department of International Business
關鍵詞:	Term Structure of Interest Rates;Threshold Autoregressive Model;Momentum- Threshold Autoregressive Model
日期:	2005
上傳時間:	2009-11-16 11:33:27 (UTC+0)
出版者:	Asia University
摘要:	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.
顯示於類別:	[國際企業學系] 博碩士論文

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