淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


下載電子全文限經由淡江IP使用) 
系統識別號 U0002-2806200712244400
中文論文名稱 新加坡公債超額報酬之非線性平滑轉換誤差修正模型實證研究
英文論文名稱 The Empirical Study of excess returns on Singapore government bonds in Smooth Transition Error Correction 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 95
學期 2
出版年 96
研究生中文姓名 李劭萱
研究生英文姓名 Shao-Hsuan Lee
學號 694490011
學位類別 碩士
語文別 中文
口試日期 2007-06-17
論文頁數 57頁
口試委員 指導教授-莊武仁
委員-林筠
委員-李命志
委員-劉邦典
中文關鍵字 利率  超額報酬  非線性平滑轉換誤差修正模型 
英文關鍵字 Interest rates  Excess returns  Nonlinear Smooth Transition Error Correction Model 
學科別分類 學科別社會科學商學
中文摘要 本文以新加坡十年期公債為研究對象,應用非線性平滑轉換誤差修正模型,主要目的在探討新加坡公債之超額持有期間報酬的短期動態調整行為是否存在非線性的現象,並且研究公債之超額持有期間報酬與風險因子間的長期均衡關係。本文選用遠期貼水、利率期限結構斜率及超額股票報酬等三個變數作為風險因子變數,且以誤差修正項作為分析公債超額持有期間報酬非線性平滑轉換誤差修正模型之轉換變數。實證結果整理如下:
1. 新加坡公債之超額持有期間報酬與遠期貼水、利率期限結構斜率及超額股票報酬僅存在一條共積關係,且超額股票報酬為弱外生變數,表示超額股票報酬雖然存在此共積關係中,但在關係失衡時並不作調整。
2. 新加坡公債之超額持有期間報酬呈現非線性調整,且其調整路徑為logistic型態之轉換行為。
英文摘要 The purpose of this paper is to investigate the excess holding period returns on Singapore government bonds. Forward premium, the slope of the term structure, and excess stock returns are all employed as risk factors. A nonlinear smooth transition error correction model is specified and estimated with an error correction term as a proxy for the transition variable.

The first issue is due to the long-run equilibrium relationship between excess returns on government bonds and risk factors. The second issue is related to the examination of the existence of nonlinear adjustments in excess returns on government bonds.

The empirical results show that there is only one cointegrating relationship between excess returns on Singapore government bonds and risk factors, and excess stock returns act as a weak exogenous variable. The dynamic adjustment behavior of excess returns on government bonds is nonlinear and will be better characterized by logistic smooth transition error correction model (LSTECM).

論文目次 第一章 緒論
第一節 研究動機與目的......................................1
第二節 研究架構與流程......................................4
第二章 文獻回顧............................................6
第三章 研究方法與模型建立
第一節 單根檢定...........................................16
第二節 共積檢定...........................................21
第三節 設定誤差修正模型...................................25
第四章 實證分析
第一節 資料說明與處理.....................................31
第二節 各變數時間走勢圖...................................33
第三節 單根檢定...........................................35
第四節 共積分析...........................................39
第五節 線性誤差修正模型...................................45
第六節 非線性模型檢定與非線性模型的選擇...................47
第七節 平滑轉換誤差修正模型之估計.........................49
第五章 結論...............................................54
參考文獻..................................................55

圖次
圖1-1:研究流程圖..........................................5
圖4-1:十年期公債之超額持有期間報酬走勢圖.................33
圖4-2:遠期貼水走勢圖.....................................34
圖4-3:利率期限結構斜率走勢圖.............................34
圖4-4:超額股票報酬走勢圖.................................34
圖4-5:十年期公債之超額持有期間報酬一階差分走勢圖.........37
圖4-6:遠期貼水一階差分走勢圖.............................38
圖4-7:利率期限結構斜率一階差分走勢圖.....................38
圖4-8:超額股票報酬一階差分走勢圖.........................38
圖4-9:殘差自我相關圖.....................................40
圖4-10:共積向量 圖.......................................42
圖4-11:recursive analysis................................43
圖4-12:公債超額報酬之logistic轉換函數值之時間趨勢圖......53
圖4-13:公債超額報酬之logistic轉換函數....................53

表次
表4-1:基本統計量.........................................33
表4-2:單根檢定...........................................36
表4-3:差分一次序列之單根檢定.............................37
表4-4:公債超額報酬與風險因子間之共積向量個數檢定.........41
表4-5:弱外生檢定.........................................43
表4-6:公債超額報酬與風險因子間之共積向量.................44
表4-7:弱外生檢定.........................................44
表4-8:公債超額報酬之線性誤差修正模型估計.................45
表4-9:非線性模型選擇.....................................48
表4-10:公債超額報酬之非線性檢定..........................48
表4-11:公債超額報酬之LSTECM模型估計結果..................50
參考文獻 一、中文部分

王恕含 (2003),殖利率曲線與利率非線性調整之探討,輔仁大學經濟學研究所碩士論文。

林向愷、黃裕烈和管中閔 (1998),景氣循環轉折點認定與經濟成長率預測,經濟論文叢刊,第26卷第4期,頁431-457。

林曉怡 (2003),利率期間結構狀態轉換模型之探討,淡江大學財務金融學研究所碩士論文。

巫秋蓮 (2004),國際債券市場的預期報酬,台灣大學財務金融學研究所碩士論文。

許琇庭 (2005),台灣利率期限結構之非線性平滑轉換誤差修正模型實證研究,淡江大學財務金融學研究所碩士論文。

黃裕烈 (1996),Markov Switching Model:台灣實質GNP的應用,台灣大學經濟研究所碩士論文。

張惠萍 (2004),利率期限結構非線性平滑轉換誤差修正模型之分析,淡江大學 財務金融學研究所碩士論文。

廖元宏 (2002),以STAR模型研究新台幣實質有效匯率,國立中山大學財務管理研究所碩士論文。

蔡蓓婷 (2004),台灣貨幣需求函數-非線性平滑轉換誤差修正模型之分析,淡江大學財務金融學研究所碩士論文。

二、英文部分

Anderson, H.M., (1997), “Transaction costs and nonlinear adjustment towards equilibrium in the US Treasury Bill market,” Oxford Bulletin of Economics and Statistics, 59, 465-484.

Bekaert, G., and R.J. Hodrick, (1992), “Characterising predictable components in excess returns on equity and foreign exchange markets,” Journal of Finance, 47, 467-509.

Boudoukh, J., (1993), “An equilibrium model of nominal bond prices with inflation-output correlation and stochastic volatility,” Journal of Money, Credit and Banking, 25, 636-665.

Campbell, J.Y., and J. Ammer, (1993), “What moves the stock and bond markets? A variance decomposition for long-term asset returns,” Journal of Finance, 48, 3-37.

Campbell, J.Y., and R. Shiller, (1987), “Cointegration and tests of present value models,” Journal of Political Economy, 95, 1062-1088.

Campbell, J.Y., and R. Shiller, (1988), “The dividend—price ratio and expectations of future dividends and discount factors,” Review of Financial Studies, 1, 195-228.

Campbell, J., and R. Shiller, (1991), “Yield spreads and interest rates movements: A bird’s eye view,” Review of Economic Studies, 58, 495-514.

Chen, N., (1991), “Financial investment opportunities and the macroeconomy,” Journal of Finance,46, 529-554.

Cumby, R.E., (1988), “Is it risk? Explaining deviations from uncovered interest rate parity,” Journal of Monetary Economics, 22, 279-300.

Davis, E.P., S. Henry and B. Pesaran, (1994), “The role of financial spreads: Empirical analysis of spreads and economic activity,” Manchester School of Economic and Social Studies, 62, 374-394.

Elton, E.J., M.J. Gruber, and C.R. Blake, (1995), “Fundamental economic variables, expected returns and bond fund performance,” Journal of Finance, 50, 1229-1256.

Elton, E.J., M.J. Gruber, and J. Mei, (1996), “Return generating process and the determinants of term premiums,” Journal of Banking and Finance, 20, 1251-1269.

Estrella, A., and G.A. Hardouvelis, (1991), “The term structure as a predictor of real economic activity,” Journal of Finance, 46, 555-576.

Evans, M.D.D., and K.K. Lewis, (1994), “Do stationary premia explain it all? Evidence from the term structure,” Journal of Monetary Economics, 33, 285-318.

Fama, E.F., (1976), “Forward rates as predictors of future spot rates,” Journal of Financial Economics, 3, 361-377.

Fama, E.F., (1984), “The information in the term structure,” Journal of Financial Economics, 13,509-528.

Fama, E.F., and K.R. French, (1989), “Business conditions and expected returns on stocks and bonds,” Journal of Financial Economics, 25, 23-49.

Granger, C.W.J., and T. Teräsvirta, (1993), “Modelling nonlinear economic relationships,” Oxford University Press, Oxford.

Granger, C.W.J., Yau, and N. Francis (2003), “Forecasting Business Cycles Using Deviations From Long-run Economics Relationships,” Macroeconomic Dynamics, 7, 734-758.

Haug, A.A., and P.L. Sikos (2004), “The Term Spread: International Evidence of Non-Linear Adjustment,” working paper.

Ilmanen, A., (1995), “Time-varying expected returns in international bond markets,” Journal of Finance, 50, 481-506.

Keim, D.B., and R.F. Stambaugh, (1986), “Predicting returns in the stock and bond markets,” Journal of Financial Economics, 17, 357-390.

Lewis, K.K., (1995), “Puzzles in international financial markets,” in: Grossman G. and K. Rogoff,(Eds.), Handbook of International Economics, 3, North-Holland, Amsterdam, 1913-1971.

Lekkos, Ilias & Milas, Costas, (2004). "Time-varying excess returns on UK government bonds: A non-linear approach," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 45-62.

Maki, D. (2006),“Non-linear adjustment in the term structure of interest rates: a cointegration analysis in the non-linear STAR framework,” Applied Financial Economics, 16 , 17 , 1301 - 1307.
論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2012-07-03公開。
  • 同意授權瀏覽/列印電子全文服務,於2012-07-03起公開。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信