系統識別號 | U0002-2806200712244400 |
---|---|
DOI | 10.6846/TKU.2007.00913 |
論文名稱(中文) | 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 |
論文名稱(英文) | The Empirical Study of excess returns on Singapore government bonds in Smooth Transition Error Correction Model |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 財務金融學系碩士班 |
系所名稱(英文) | Department of Banking and Finance |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 95 |
學期 | 2 |
出版年 | 96 |
研究生(中文) | 李劭萱 |
研究生(英文) | Shao-Hsuan Lee |
學號 | 694490011 |
學位類別 | 碩士 |
語言別 | 繁體中文 |
第二語言別 | |
口試日期 | 2007-06-17 |
論文頁數 | 57頁 |
口試委員 |
指導教授
-
莊武仁(694490011@s94.tku.edu.tw)
委員 - 林筠 委員 - 李命志 委員 - 劉邦典 |
關鍵字(中) |
利率 超額報酬 非線性平滑轉換誤差修正模型 |
關鍵字(英) |
Interest rates Excess returns Nonlinear Smooth Transition Error Correction Model |
第三語言關鍵字 | |
學科別分類 | |
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). |
第三語言摘要 | |
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 |
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