| dc.contributor.advisor | 林信助 | zh_TW |
| dc.contributor.author (作者) | 許原唐 | zh_TW |
| dc.creator (作者) | 許原唐 | zh_TW |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 18-九月-2009 14:12:40 (UTC+8) | - |
| dc.date.available | 18-九月-2009 14:12:40 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-九月-2009 14:12:40 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0094351007 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35120 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 94351007 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | 殖利率曲線為描述零息債卷的殖利率與其到期日間之關係，一般來說其形狀應為正斜率，而一旦殖利率曲線反轉而呈現負斜率時，許多人將之解讀為未來經濟即將走弱的訊號。本論文主要是以Probit Model呈現期間利差與重貼現率的預測能力，並將結果區分為樣本內與樣本外呈現。實證結果發現，與國外文獻比較起來，台灣殖利率曲線斜率捕捉景氣蕭條的能力遜色許多，可能與兩國在經濟體質或是央行政策執行依據上的不同有關。而相較於殖利率曲線的斜率，重貼現率對於台灣景氣的影響更為明顯，顯示出台灣的經濟深受央行政策影響。而不論是在樣本內或樣本外的結果方面，皆顯示期間利差搭配重貼現率的預測能力會較只有期間利差單一解釋變數時來的好。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論………………………………………………………………… 5第二章 文獻回顧…………………………………………………………… 8第三章 相關理論……………………………………………………………16第一節 利率期限結構理論……………………………………………………16第二節 央行政策下的必然結果………………………………………………18第四章 模型與資料…………………………………………………………20 第一節 模型設定……………………………………………………… 20 第二節 檢驗標準……………………………………………………… 21 第三節 資料簡介……………………………………………………… 23第五章 實證分析………………………………………………………………26 第一節 樣本內結果 ……………………………………………………26 第二節 期間利差預測能力的內涵…………………………………… 29 第三節 樣本外結果…………………………………………………… 35第六章 模型探討…………………………………………………………… 39第七章 結論 …………………………………………………………………42參考文獻……………………………………………………………………… 44附錄…………………………………………………………………………… 46附表一 新變數的加入(Q)6、7期結果…………………………………… 46附表二 新變數的加入(import)6、7期結果………………………………46附表三 期間利差、正交重貼現率加入Q變數………………………………47附表四 期間利差、正交重貼現率加入import變數………………………47附表五 樣本外加入Q變數……………………………………………………48附表六 樣本外加入import變數……………………………………………48 | zh_TW |
| dc.format.extent | 45100 bytes | - |
| dc.format.extent | 78380 bytes | - |
| dc.format.extent | 60176 bytes | - |
| dc.format.extent | 71768 bytes | - |
| dc.format.extent | 49801 bytes | - |
| dc.format.extent | 98026 bytes | - |
| dc.format.extent | 167950 bytes | - |
| dc.format.extent | 134335 bytes | - |
| dc.format.extent | 159042 bytes | - |
| dc.format.extent | 183875 bytes | - |
| dc.format.extent | 116291 bytes | - |
| dc.format.extent | 76638 bytes | - |
| dc.format.extent | 76527 bytes | - |
| dc.format.extent | 74596 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0094351007 | en_US |
| dc.subject (關鍵詞) | 期間利差 | zh_TW |
| dc.subject (關鍵詞) | 重貼現率 | zh_TW |
| dc.subject (關鍵詞) | probit 模型 | zh_TW |
| dc.subject (關鍵詞) | term spread | en_US |
| dc.subject (關鍵詞) | discount rate | en_US |
| dc.subject (關鍵詞) | probit model | en_US |
| dc.title (題名) | 期間利差，重貼現率與不景氣之預測 | zh_TW |
| dc.title (題名) | Forecasting Recession with Term Spread and Discount Rate | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 一、 中文部分 | zh_TW |
| dc.relation.reference (參考文獻) | 朱宇琴 (1996), “利率特性與景氣循環—台灣地區貨幣市場實證分析,”政治大學銀行研究所碩士論文。 | zh_TW |
| dc.relation.reference (參考文獻) | 蔡培倫 (1997) ,“長短期利率預測及其應用,”東吳大學經濟研究所碩士論文。 | zh_TW |
| dc.relation.reference (參考文獻) | 陳大文 (2003) ,“時間利差可預測性與台灣總體經濟預測,”世新大學經濟研究所碩士論文。 | zh_TW |
| dc.relation.reference (參考文獻) | 陳明賢 (1986), “財務危機預測之計量分析研究,”台灣大學商學研究所碩士論文。 | zh_TW |
| dc.relation.reference (參考文獻) | 二、 西文部分 | zh_TW |
| dc.relation.reference (參考文獻) | Ang, Andrew, Monika Piazzesi and Min Wei(2006),“What does the Yield Curve Tell Us About GDP Growth?,”Jornal of Econometrics, forthcoming. | zh_TW |
| dc.relation.reference (參考文獻) | Ahrens, R(2002) ,“Predicting Recessions With Interest Spreads: A Multicountry Regime-Swithing Analysis,”Journal of International Money and Finance 21(4),p.519-537. | zh_TW |
| dc.relation.reference (參考文獻) | Brealey,Myers, and Allen(2006), Corporate Finance, pp636-641 | zh_TW |
| dc.relation.reference (參考文獻) | Bernard, Henri and Stefan Gerlach(1998),“Does the Term Structure Predict Recessions?The International Evidence,”International Journal of Finance and Economics 3(31),p195-215. | zh_TW |
| dc.relation.reference (參考文獻) | Blinder, Alan and Ben Bernake(1989),“The Federal Funds and the Channels of Monetary Transmission,”American Economic Review, 82, p.901-921. | zh_TW |
| dc.relation.reference (參考文獻) | Bonser-Neal, Catherine and Morley, Timoth (1997),“Does the Yield Spread Predict Real Economic Activity? A Multicountry Analysis,”Federal Reserve Bank of Kansas City Economic Review 82(3),p.37-53. | zh_TW |
| dc.relation.reference (參考文獻) | Estrella, Arturo and Gikas Hardouvelis (1991),“The Term Structure as Predictor of Real Economic Activity,”Journal of Finance, 46, p.555-576. | zh_TW |
| dc.relation.reference (參考文獻) | Estrella, Arturo and Frederic Mishikin (1996),“The Yield Curve as a Predictor of U.S Recessions,”Current Issues in Economics and Finance, 6. | zh_TW |
| dc.relation.reference (參考文獻) | | zh_TW |
| dc.relation.reference (參考文獻) | Estrella, Arturo and Frederic Mishikin (1998),“Predicting U.S Recessions: Financial Variables as Leading Indicators,”Review of Economics and Statistics, 80, p.45-61. | zh_TW |
| dc.relation.reference (參考文獻) | Estrella, Arturo, Anthony Rodrigues and Sebastian Schich(2003), “How Stable is the Predictive Power of the Yield Curve ?Evidence From Germany and the United States,”The Review of Economics and Statistics,85,p.629-644. | zh_TW |
| dc.relation.reference (參考文獻) | McCallum, Bernett (1983),“On Non-Uniqueness in Rational Expectations Models: An Attempt at Perspective, ”Journal of Monetary Economics, 11, p.139-168. | zh_TW |
| dc.relation.reference (參考文獻) | Stock, James and Mark Watson (1987),“Stochastic Trends and Economic Fluctuations,” American Economic Review, 81, p.819-840. | zh_TW |
| dc.relation.reference (參考文獻) | Wright, Jonathan (2006),“The Yield Curve and Predicting Recessions,” Board of Governors of the Federal Reserve System(U.S.) in its series Finance and Economics Discussion Series, 2006-7. | zh_TW |
