| dc.contributor | 金融系 | |
| dc.creator (作者) | 廖四郎;連育民;林斯郁 | zh_TW |
| dc.creator (作者) | Liao, Szu-Lang | |
| dc.date (日期) | 2013-12 | |
| dc.date.accessioned | 14-Mar-2016 16:00:58 (UTC+8) | - |
| dc.date.available | 14-Mar-2016 16:00:58 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Mar-2016 16:00:58 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/82598 | - |
| dc.description.abstract (摘要) | 本文使用馬可夫狀態轉換跳躍擴散模型，並基於兩岸金融市場2006年第四季至2013年第二季的資料數據，分別對兩岸的利率期限結構進行動態研究及比較分析。實證研究顯示馬可夫狀態轉換的跳躍擴散模型可以對利率期限結構提供合理解釋，並依照兩岸利率市場化不同，存在不同程度的特徵如：跳躍性、動差型態以及波動聚類。最後本文實證支持，利率市場化程度越深的金融市場，其銀行間拆款利率與債券市場的跳躍性越緊密，顯示貨幣政策傳導效果越佳。 | |
| dc.description.abstract (摘要) | This article uses the Markov Regime Switching Jump-Diffusion model, and is based on the data of Mainland China and Taiwan offered rates spanning from 2006 Q4 ~ 2013Q2 to study the term structures of interest rates. From empirical analysis, we find that the Markov Regime Switching Jump-Diffusion model performs well in the fitness of the term structure of interest rate process. Also, the estimated parameters reflect that there exist characteristics of jump process, moment matching and volatility clustering features in the term structure of interest rate process. Finally, our empirical study supports that a deeper degree of interest rate liberalization, the inter-bank interest rate and bond markets jump more closely, which shows a more effective transmission of monetary policy. | |
| dc.format.extent | 175 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | 兩岸金融季刊,1(2),37-59 | |
| dc.subject (關鍵詞) | 利率期限結構 ; 跳躍擴散模型 ; 馬可夫狀態轉換 ; 利率市場化 | |
| dc.subject (關鍵詞) | Term structure of interest rates ; Jump-diffusion model ; Markov Regime Switching Model ; Interest rate liberalization | |
| dc.title (題名) | 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 | zh_TW |
| dc.title.alternative (其他題名) | An Empirical Study of Mainland China and Taiwan on the Term Structure of Interest Rate-- Estimation based on Markov Regime Switching Jump-Diffusion Model | |
| dc.type (資料類型) | article | |
