Publications-Theses
Article View/Open
Publication Export
-
題名 美中台利率期限結構馬可夫鏈模型實證
Hidden Markov Models: Term Structures for US, China and Taiwan Interest Rates作者 彭光裕
Peng, Guang-Yu貢獻者 廖四郎
彭光裕
Peng, Guang-Yu關鍵詞 隱馬可夫模型
利率結構
跳躍擴散
Hidden Markov Models
Term structure
Jump diffusion
GARCH日期 2019 上傳時間 7-Aug-2019 16:11:26 (UTC+8) 摘要 本文主要目的在透過建立不同模型來捕捉個別市場與相異天期的利率特徵，並以美中台自2008年一月金融海嘯前到美中貿易戰展開後的2019年四月的利率作為實證研究對象。研究結果顯示以擴散模型描述的飄移項在模型中並不顯著，利率變動主要來自於變異數項而非飄移項，進一步將模型加入跳躍或馬可夫狀態轉換後飄移項的影響在大部分模型下能被更好的分辨出來。在波動的叢聚方面，加入馬可夫狀態轉換後中國與台灣波動叢聚現象明顯，美國則是在短利較為明顯；在市場槓桿效應方面各國的短利皆較長利明顯表現出不對稱的性質
This paper is to capture the term structure characteristics of interest rate markets, and provide some evidences on the US, China and Taiwan since financial crisis in January 2008. We find out that the simple Geometrical Brownian Motion cannot capture the market turbulence, the model perform better while Markov Switch or Jump Process was introduced. In terms of volatility clustering, China and Taiwan is obvious, while the United States is significant only in short-term interest. And in the leverage effect, the asymmetric properties are more obvious in short-term interest in both three markets.參考文獻 Ang, A., & Bekaert, G. (2002). Regime switches in interest rates. Journal of Business & Economic Statistics, 20(2), 163-182.Ardia, D., Bluteau, K., Boudt, K., Catania, L., & Trottier, D. A. (2016). Markov-switching GARCH models in R: The MSGARCH package. Journal of Statistical Software, Forthcoming.Bauwens, L., De Backer, B., & Dufays, A. (2014). A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models. Journal of Empirical Finance, 29, 207-229.Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.Chan, K. C., Karolyi, G. A., Longstaff, F. A., & Sanders, A. B. (1992). An empirical comparison of alternative models of the short‐term interest rate. The journal of finance, 47(3), 1209-1227.Chang, C., Fuh, C. D., & Lin, S. K. (2013). A tale of two regimes: theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications. Journal of Banking & Finance, 37(8), 3204-3217.Cox, J. C., Ingersoll Jr, J. E., & Ross, S. A. (1985). An intertemporal general equilibrium model of asset prices. Econometrica: Journal of the Econometric Society, 363-384.Dempster, A. P., Laird, N. M., & Rubin, D. B. (1977). Maximum likelihood from incomplete data via the EM algorithm. Journal of the Royal Statistical Society: Series B (Methodological), 39(1), 1-22.Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007.Gray, S. F. (1996). Modeling the conditional distribution of interest rates as a regime-switching process. Journal of Financial Economics, 42(1), 27-62.Haas, M., Mittnik, S., & Paolella, M. S. (2004). A new approach to Markov-switching GARCH models. Journal of Financial Econometrics, 2(4), 493-530.Hamilton, J. D., & Susmel, R. (1994). Autoregressive conditional heteroskedasticity and changes in regime. Journal of econometrics, 64(1-2), 307-333.Hermanns, H. (2002). Interactive markov chains. In Interactive Markov Chains (pp. 34-39). Springer, Berlin, Heidelberg.Merton, R. C. (1973). An intertemporal capital asset pricing model. Econometrica, 41(5), 867-887.Merton, R. C. (1976). Option pricing when underlying stock returns are discontinuous. Journal of financial economics, 3(1-2), 125-144.Pearson, N. D., & Sun, T. S. (1994). Exploiting the conditional density in estimating the term structure: An application to the Cox, Ingersoll, and Ross model. The Journal of Finance, 49(4), 1279-1304.Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of financial economics, 5(2), 177-188.Zakoian, J. M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and control, 18(5), 931-955.廖四郎, 連育民, & 林斯郁. (2013). 兩岸動態利率期限結構—馬可夫狀態轉換跳躍擴散模型之實證研究及其貨幣政策意涵. 兩岸金融季刊, 1(2), 37-59.刘金全, & 郑挺国. (2006). 利率期限结构的马尔科夫区制转移模型与实证分析 (Doctoral dissertation).赵东喜. (2012). 中美两国利率联动性研究. 亚太经济, 3, 37-41. 描述 碩士
國立政治大學
金融學系
106352023資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106352023 資料類型 thesis dc.contributor.advisor 廖四郎 zh_TW dc.contributor.author (Authors) 彭光裕 zh_TW dc.contributor.author (Authors) Peng, Guang-Yu en_US dc.creator (作者) 彭光裕 zh_TW dc.creator (作者) Peng, Guang-Yu en_US dc.date (日期) 2019 en_US dc.date.accessioned 7-Aug-2019 16:11:26 (UTC+8) - dc.date.available 7-Aug-2019 16:11:26 (UTC+8) - dc.date.issued (上傳時間) 7-Aug-2019 16:11:26 (UTC+8) - dc.identifier (Other Identifiers) G0106352023 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124733 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 106352023 zh_TW dc.description.abstract (摘要) 本文主要目的在透過建立不同模型來捕捉個別市場與相異天期的利率特徵，並以美中台自2008年一月金融海嘯前到美中貿易戰展開後的2019年四月的利率作為實證研究對象。研究結果顯示以擴散模型描述的飄移項在模型中並不顯著，利率變動主要來自於變異數項而非飄移項，進一步將模型加入跳躍或馬可夫狀態轉換後飄移項的影響在大部分模型下能被更好的分辨出來。在波動的叢聚方面，加入馬可夫狀態轉換後中國與台灣波動叢聚現象明顯，美國則是在短利較為明顯；在市場槓桿效應方面各國的短利皆較長利明顯表現出不對稱的性質 zh_TW dc.description.abstract (摘要) This paper is to capture the term structure characteristics of interest rate markets, and provide some evidences on the US, China and Taiwan since financial crisis in January 2008. We find out that the simple Geometrical Brownian Motion cannot capture the market turbulence, the model perform better while Markov Switch or Jump Process was introduced. In terms of volatility clustering, China and Taiwan is obvious, while the United States is significant only in short-term interest. And in the leverage effect, the asymmetric properties are more obvious in short-term interest in both three markets. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景 1第二節 研究動機與標的 1第三節 利率走勢概述 2一、 美國利率走勢概述 2二、 中國利率走勢概述 3三、 台灣利率走勢概述 5第四節 研究架構與流程 6第二章 文獻回顧 7第三章 研究方法 9第一節 馬可夫鏈與隱馬可夫模型 9第二節 EM演算法 10第四章 模型設定 13第一節 幾何布朗運動模型(GBM) 13第二節 馬可夫狀態轉換幾何布朗運動模型(MSGBM) 14第三節 跳躍擴散模型 15第四節 馬可夫狀態轉換GARCH模型 16一、 Bollerslev (1986) GARCH 16二、 Zakoian (1994) TGARCH， 17第五章 實證分析 18第一節 參數估計結果 18一、 幾何布朗運動模型(GBM) 18二、 馬可夫狀態轉換幾何布朗運動模型(MS-GBM) 19三、 跳躍擴散模型(JDM) 20四、 馬可夫GARCH族模型(MS-GARCH family) 22第六章 結論 26參考文獻 27 zh_TW dc.format.extent 1925432 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106352023 en_US dc.subject (關鍵詞) 隱馬可夫模型 zh_TW dc.subject (關鍵詞) 利率結構 zh_TW dc.subject (關鍵詞) 跳躍擴散 zh_TW dc.subject (關鍵詞) Hidden Markov Models en_US dc.subject (關鍵詞) Term structure en_US dc.subject (關鍵詞) Jump diffusion en_US dc.subject (關鍵詞) GARCH en_US dc.title (題名) 美中台利率期限結構馬可夫鏈模型實證 zh_TW dc.title (題名) Hidden Markov Models: Term Structures for US, China and Taiwan Interest Rates en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Ang, A., & Bekaert, G. (2002). Regime switches in interest rates. Journal of Business & Economic Statistics, 20(2), 163-182.Ardia, D., Bluteau, K., Boudt, K., Catania, L., & Trottier, D. A. (2016). Markov-switching GARCH models in R: The MSGARCH package. Journal of Statistical Software, Forthcoming.Bauwens, L., De Backer, B., & Dufays, A. (2014). A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models. Journal of Empirical Finance, 29, 207-229.Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.Chan, K. C., Karolyi, G. A., Longstaff, F. A., & Sanders, A. B. (1992). An empirical comparison of alternative models of the short‐term interest rate. The journal of finance, 47(3), 1209-1227.Chang, C., Fuh, C. D., & Lin, S. K. (2013). A tale of two regimes: theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications. Journal of Banking & Finance, 37(8), 3204-3217.Cox, J. C., Ingersoll Jr, J. E., & Ross, S. A. (1985). An intertemporal general equilibrium model of asset prices. Econometrica: Journal of the Econometric Society, 363-384.Dempster, A. P., Laird, N. M., & Rubin, D. B. (1977). Maximum likelihood from incomplete data via the EM algorithm. Journal of the Royal Statistical Society: Series B (Methodological), 39(1), 1-22.Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007.Gray, S. F. (1996). Modeling the conditional distribution of interest rates as a regime-switching process. Journal of Financial Economics, 42(1), 27-62.Haas, M., Mittnik, S., & Paolella, M. S. (2004). A new approach to Markov-switching GARCH models. Journal of Financial Econometrics, 2(4), 493-530.Hamilton, J. D., & Susmel, R. (1994). Autoregressive conditional heteroskedasticity and changes in regime. Journal of econometrics, 64(1-2), 307-333.Hermanns, H. (2002). Interactive markov chains. In Interactive Markov Chains (pp. 34-39). Springer, Berlin, Heidelberg.Merton, R. C. (1973). An intertemporal capital asset pricing model. Econometrica, 41(5), 867-887.Merton, R. C. (1976). Option pricing when underlying stock returns are discontinuous. Journal of financial economics, 3(1-2), 125-144.Pearson, N. D., & Sun, T. S. (1994). Exploiting the conditional density in estimating the term structure: An application to the Cox, Ingersoll, and Ross model. The Journal of Finance, 49(4), 1279-1304.Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of financial economics, 5(2), 177-188.Zakoian, J. M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and control, 18(5), 931-955.廖四郎, 連育民, & 林斯郁. (2013). 兩岸動態利率期限結構—馬可夫狀態轉換跳躍擴散模型之實證研究及其貨幣政策意涵. 兩岸金融季刊, 1(2), 37-59.刘金全, & 郑挺国. (2006). 利率期限结构的马尔科夫区制转移模型与实证分析 (Doctoral dissertation).赵东喜. (2012). 中美两国利率联动性研究. 亚太经济, 3, 37-41. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900196 en_US
