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系統識別號 U0002-0406200909284200
中文論文名稱 利率期限結構之非線性平滑狀態轉換模型分析
英文論文名稱 Testing the Expectations Theory of the Term Structure of Interest Rates in Smooth Transition Regime-Switching Model
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 97
學期 2
出版年 98
研究生中文姓名 賴姮竹
研究生英文姓名 Heng-Chu, Lai
學號 696530095
學位類別 碩士
語文別 中文
口試日期 2009-05-13
論文頁數 75頁
口試委員 指導教授-莊武仁
委員-林筠
委員-劉邦典
委員-黃河泉
中文關鍵字 預期理論  誤差項  非線性平滑狀態轉換模型 
英文關鍵字 the expectations theory  error term  nonlinear smooth transition regime-switching model 
學科別分類 學科別社會科學商學
中文摘要 過去對於預期理論的檢定,多數學者皆是利用線性模型來進行實證研究,但近年來有學者認為傳統線性模型已經無法正確的描述實際市場的短期利率動態調整行為,故提出有些經濟變數之序列是呈現非線性型態的論點,並依據此論點引發了本研究的動機,因此本研究主要目的為探討台灣短期利率的非線性動態調整行為,且再依據Teräsvirta (1994)估計平滑轉換自我迴歸模型的研究步驟,配適出適用於台灣貨幣市場之非線性平滑狀態轉換模型並進行實證分析。實證結果發現:
1、將30天期商業本票利率視為短期利率、90天期商業本票利率視為長期利率進行傳統預期理論檢定時,發現其拒絕利率期限結構下之預期理論的成立。
2、使用誤差項作為模型的轉換變數時,發現該轉換變數會使短期利率調整至均衡的過程是呈現非線性的動態調整,並依其結果進一步配適出logistic(指數)型態的平滑狀態轉換模型。當中亦發現該非線性調整存在雙門檻現象,此意謂著門檻內、外分別呈現出不同的動態調整行為,並進一步對門檻內、外進行檢定,結果發現門檻內預期理論無法成立而門檻外則預期理論成立。
英文摘要 Most prevalent studies are using linear model to investigate the expectations theory of the term structure of interest rates. However, the main purpose of this paper is to re-examine the expectations theory of the term structure of interest rates using nonlinear model. So we try to use Logistic Smooth Transition Regime-Switching Model (LSTRS) to analysis the expectations theory of the term structure of Taiwan monetary market rates. There are two empirical results indicated as follows :
1. The results indicate that the expectations theory of the term structure is rejected for the 30 day short and 90 day long commercial paper rates in Taiwan when using the traditional expectations theory model.
2. By using the lag of error term as the transition variable, we found the nonlinear dynamics adjustment in short term interest rates. Moreover, the short term interest rates can be explained by Logistic Smooth Transition Regime-Switching Model and it has two thresholds. The two thresholds means crossing the thresholds that the short term interest rates will have different nonlinear dynamics adjustment behaviors.
論文目次 目 錄
第一章 緒論1
第一節 研究動機與目的1
第二節 研究範圍4
第三節 研究架構5
第二章 理論基礎與文獻回顧7
第一節 利率期限結構理論7
ㄧ、預期理論9
二、流動性偏好理論12
三、習性偏好理論14
四、市場區隔理論15
第二節 預期理論文獻回顧18
ㄧ、國外文獻部分18
二、國內文獻部分27
第三章 研究方法與建立實證模型30
第一節 單根檢定30
第二節 建立預期理論實證模型38
第三節 ㄧ般化動差法41
第四節 線性與非線性檢定44
第五節 非線性模型之選擇47
第四章 實證結果與分析51
第一節 資料處理與分析51
第二節 單根檢定55
第三節 預期理論檢定57
第四節 線性檢定與非線性模型的選擇58
第五節 平滑狀態轉換模型的估計62
第六節 門檻內外檢定65
第五章 結論67
參考文獻69
附錄75

表 次 目 錄
表2-1 利率期限結構的四個理論彙整表17
表4-1 基本統計量52
表4-2 單根檢定56
表4-3 預期理論檢定之迴歸係數表57
表4-4 非線性模型之選擇59
表4-5 線性與非線性檢定之結果59
表4-6 以誤差項為轉換變數之QLSTRS模型估計結果62
表4-7 門檻內預期理論檢定之結果65
表4-8 門檻外預期理論檢定之結果65

圖 次 目 錄
圖1-1 研究流程圖6
圖4-1 台灣貨幣市場商業本票30天期利率之時間趨勢圖52
圖4-2 台灣貨幣市場商業本票90天期利率之時間趨勢圖53
圖4-3 台灣貨幣市場商業本票長短期利差之時間趨勢圖53
圖4-4 誤差項作為轉換變數時之logistic轉換函數值64
圖4-5 轉換函數的時間趨勢圖64


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沈中華(1993),「The Term Structure of Taiwan Money Market Rates and Rational Expections」,中華財務學會八十二年年會論文,227-307。
陳培源(2003),「金融衝擊和利率期限結構預期理論之實證研究」,淡江大學金融研究所碩士論文,民國92年6月。
黃博怡、邱哲修、林卓民與陳建宏(2005),「短期利率之動態條件變異與預期績效之探討」,金融風險管理季刊,第一卷,第二期,17-32。
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