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題名 利率特性與景氣循環--臺灣地區貨幣市場實証分析
Interest Rate and Business Cycle in Taiwan作者 朱宇琴
Chu, Yu Chin貢獻者 沈中華
朱宇琴
Chu, Yu Chin關鍵詞 利率特性
景氣循環
持有報酬率
違約貼水
期限貼水
Interest Rate
Business Cycle
Holding Period Return
Premium日期 1995 上傳時間 28-Apr-2016 15:11:26 (UTC+8) 摘要 本文的研究目的，在於直接以利率特性探究景氣循環，並以景氣循環探究利率特性，以了解兩者之間的關係；此模型的特色，在於避開了一般總體模型共通的一項缺點 : 必須先預測外生變數。以上談到的貨幣市場利率特性，計有持有報酬率、違約貼水、期限貼水等三者，至於景氣循環則採用經建會所認定的標準。 研究發現，民國75年到84年臺灣地區貨幣市場的利率特性與實質經濟活動，的確互有解釋及預測能力，實証結果如下： 參考文獻 【國內文獻】 陳師孟，"我國商業本票市場對貨幣供給之影響"，台北市票券金融事業協會71 年7 月 陳師孟，"貨幣市場與經濟循環"，貨幣市場十年，中典票券`h司75 年 何顯重，"我國貨幣市場之回顧與未來發展方向"，貨幣市場十年，中興票券立:司75 年 林維義，" 我國貨幣市場之現狀"，貨幣市場十年，中興票券公司，75年 林玫吟，"台灣票券市場報酬率特性之研究"，台灣大學財務金融研究所碩士論文83 年5 年 李賢源、林玫吟，"台灣票券市場報酬率特性之研究"，刊行中，85年 台灣景氣指標，行政院經建會 【國外文獻】 Bernanke,Ben S., "On the Predictive Power of Interest Rates and Interest Rate Spreads", New England Economic Review(l990) Bernanke,Ben S. and Blinder,Alan S., "Is It Money or Credit, or Both, or Neither? ", American Economic Review(1988) 78, pp435-419 Bomfim,Autulio N., " The Equilibrium Fed Funds and the Indicator Properties of Term Structure Spreads", Papers in the Finance and Economics Discussion Series Cohen,Gerald D. and John Wenninger, " The Relationship Between the Spread and the Funds Rates", Federal Reserve Bank of New York Research Paper No. 9408 Cox,John C. and Ingersoll,Jonathan E. JR. and Ross,Stephen A., " A Theory of the Term Structure of Interest Rates", Econometrica(1985) 53, pp385-407 Estrella,Arturo and Hardouvelis,Gikas A., "The Term Structure as a Predictor of Real Economic Activity", The Journal of Finance (1991) 2, pp555-576 Fama,Eugene F., " The Information in the Term Structure", Journal of Financial Economics (1984) 13, pp509-528 Fama,Eugene F., " Term Premiums in Bond Returns", Journal of Financial Economics (1984) 13, pp529-546 Fama,Eugene F., " Term Premiums and Default Premiums in Money Market", Journal of Financial Economics (1986) 17, pp157-196 Fama,Eugene F. and French,Kenneth R., " Business Conditions and Expected Returns on Stocks and Bonds", Journal of Financial Economics (1989) 25, pp23-49 Friedman,Benjamin M. and Kuttner,Kenneth N., "Why Does the Paper Bill Spread Predict Real Economic Activity? ", NBER Working Paper( 1991) #3879 ━━"Money, Income, Prices and Interest Rates", The American Economic Review( 1992) 82, pp472-492 HarveY,Andrew C. , Forecasting,structural time series models and the Kalman filter( 1989),pp 1 04-1 06 ━━"The Econometric Analysis of Time Series (1981), pp 100-103 Harvey,Campbell R, " The Real Term Structure and Consumption Growth", Journal of Financial Economics (1988) 22, pp305-333 ━━"Forecast of Economic Growth from the Bond and Stock Markets", Financial Analysts Journal (1989), pp38-45 ━━"Term Structure Forecasts Economic Growth", Financial Analysts Journal (1993) 49, pp6-8 Hansen,Lars P. and Singleton,Kenneth J., " Stochastic Consumption. Risk Aversion, and the Temporal Behavior of Asset Returns", Journal of Political Economy(1983) 91, pp249-265 Green,Willian H., Econometric Analysis(1993), pp347-348 Kydland,Finn E. and Prescott,Edward C., " Time to Build and Aggregate Fluctuations", Econometrica (1982) SO, pp1345-1371 Pindyck,Robert S. and Rubinfeld,Daniel L., Econometric Models and Economic Forecasts( 1985), pp283-288 Rossitor,R.D., " Monetary Policy Indicators after Deregulation", The Quarterly Review of Economics and Finance(1995) 35, pp207-223 Shen,Chung-Hua, "Estimation of Moneytary Reaction Function via Nonlinear Kalman Filter", Paper presented at International Chinese Statistical Association (1995) ━━"The Lexicographic Behavior of the Central Bank - Did They Say What They Do ? ", Working Paper (1996) Stambaugh,Robert F., " The Information in Forward Rates Implications for Models of the Term Structure", Journal of Financial Economics(1988)21, pp41-70 Strauss, Jack and Zhou, Guofu, " Time-to-Build Effects and the Term Structure", Journal of Financial Research(1995) 18, pp 115-127 Tanizaki, Hisashi, "Kalman Filter Model with Qualitative Dependent Variables", The Review of Economics and Statics(1993)LVI(l), pp747-752 Zavoina,R.and McElvey,W., "A Statistical Model for the Analysis of Ordinal Level Dependent Variables", Journal of Mathematical Sociology( 1975),pp 103-120 描述 碩士
國立政治大學
金融研究所
83357016資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002002879 資料類型 thesis dc.contributor.advisor 沈中華 zh_TW dc.contributor.author (Authors) 朱宇琴 zh_TW dc.contributor.author (Authors) Chu, Yu Chin en_US dc.creator (作者) 朱宇琴 zh_TW dc.creator (作者) Chu, Yu Chin en_US dc.date (日期) 1995 en_US dc.date.accessioned 28-Apr-2016 15:11:26 (UTC+8) - dc.date.available 28-Apr-2016 15:11:26 (UTC+8) - dc.date.issued (上傳時間) 28-Apr-2016 15:11:26 (UTC+8) - dc.identifier (Other Identifiers) B2002002879 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/87562 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 83357016 zh_TW dc.description.abstract (摘要) 本文的研究目的，在於直接以利率特性探究景氣循環，並以景氣循環探究利率特性，以了解兩者之間的關係；此模型的特色，在於避開了一般總體模型共通的一項缺點 : 必須先預測外生變數。以上談到的貨幣市場利率特性，計有持有報酬率、違約貼水、期限貼水等三者，至於景氣循環則採用經建會所認定的標準。 研究發現，民國75年到84年臺灣地區貨幣市場的利率特性與實質經濟活動，的確互有解釋及預測能力，實証結果如下： zh_TW dc.description.tableofcontents 第一章導論..........1 第一節研究動機..........1 第二節研究目的..........3 第三節研究範圍與限制..........4 第四節研究架構與流程..........6 第二章文獻探討與理論分析..........8 第一節文獻探討..........9 第二節利率水準值與景氣循環之理論分析..........11 第三節期限貼水與景氣循環之理論分析..........12 第四節違約貼水與景氣循環之理論分析..........15 一違約風險假說..........16 二貨幣政策假說..........17 三現金流量假說..........18 第三章我國的貨幣市場..........19 第一節發展有組織的貨幣市場..........19 第二節貨幣市場信用工具之介紹..........21 第三節貨幣市場之主要參與者..........25 第四節貨幣市場的特色..........30 第五節票券評價標式..........32 一貨幣市場之發行價格計算法..........32 二貨幣市場之買賣價格計算法..........34 第四章計量模型..........36 第一節機率模型..........36 第二節線性卡曼模型..........40 第三節非線性卡曼模型..........43 第五章實証研究..........46 第一節資料說明..........46 第二節實証計量..........49 第三節實証結果..........52 一持有報酬率..........54 二違約貼水..........101 三期限貼水..........125 第六章結論..........136 參考文獻..........I zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002002879 en_US dc.subject (關鍵詞) 利率特性 zh_TW dc.subject (關鍵詞) 景氣循環 zh_TW dc.subject (關鍵詞) 持有報酬率 zh_TW dc.subject (關鍵詞) 違約貼水 zh_TW dc.subject (關鍵詞) 期限貼水 zh_TW dc.subject (關鍵詞) Interest Rate en_US dc.subject (關鍵詞) Business Cycle en_US dc.subject (關鍵詞) Holding Period Return en_US dc.subject (關鍵詞) Premium en_US dc.title (題名) 利率特性與景氣循環--臺灣地區貨幣市場實証分析 zh_TW dc.title (題名) Interest Rate and Business Cycle in Taiwan en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 【國內文獻】 陳師孟，"我國商業本票市場對貨幣供給之影響"，台北市票券金融事業協會71 年7 月 陳師孟，"貨幣市場與經濟循環"，貨幣市場十年，中典票券`h司75 年 何顯重，"我國貨幣市場之回顧與未來發展方向"，貨幣市場十年，中興票券立:司75 年 林維義，" 我國貨幣市場之現狀"，貨幣市場十年，中興票券公司，75年 林玫吟，"台灣票券市場報酬率特性之研究"，台灣大學財務金融研究所碩士論文83 年5 年 李賢源、林玫吟，"台灣票券市場報酬率特性之研究"，刊行中，85年 台灣景氣指標，行政院經建會 【國外文獻】 Bernanke,Ben S., "On the Predictive Power of Interest Rates and Interest Rate Spreads", New England Economic Review(l990) Bernanke,Ben S. and Blinder,Alan S., "Is It Money or Credit, or Both, or Neither? ", American Economic Review(1988) 78, pp435-419 Bomfim,Autulio N., " The Equilibrium Fed Funds and the Indicator Properties of Term Structure Spreads", Papers in the Finance and Economics Discussion Series Cohen,Gerald D. and John Wenninger, " The Relationship Between the Spread and the Funds Rates", Federal Reserve Bank of New York Research Paper No. 9408 Cox,John C. and Ingersoll,Jonathan E. JR. and Ross,Stephen A., " A Theory of the Term Structure of Interest Rates", Econometrica(1985) 53, pp385-407 Estrella,Arturo and Hardouvelis,Gikas A., "The Term Structure as a Predictor of Real Economic Activity", The Journal of Finance (1991) 2, pp555-576 Fama,Eugene F., " The Information in the Term Structure", Journal of Financial Economics (1984) 13, pp509-528 Fama,Eugene F., " Term Premiums in Bond Returns", Journal of Financial Economics (1984) 13, pp529-546 Fama,Eugene F., " Term Premiums and Default Premiums in Money Market", Journal of Financial Economics (1986) 17, pp157-196 Fama,Eugene F. and French,Kenneth R., " Business Conditions and Expected Returns on Stocks and Bonds", Journal of Financial Economics (1989) 25, pp23-49 Friedman,Benjamin M. and Kuttner,Kenneth N., "Why Does the Paper Bill Spread Predict Real Economic Activity? ", NBER Working Paper( 1991) #3879 ━━"Money, Income, Prices and Interest Rates", The American Economic Review( 1992) 82, pp472-492 HarveY,Andrew C. , Forecasting,structural time series models and the Kalman filter( 1989),pp 1 04-1 06 ━━"The Econometric Analysis of Time Series (1981), pp 100-103 Harvey,Campbell R, " The Real Term Structure and Consumption Growth", Journal of Financial Economics (1988) 22, pp305-333 ━━"Forecast of Economic Growth from the Bond and Stock Markets", Financial Analysts Journal (1989), pp38-45 ━━"Term Structure Forecasts Economic Growth", Financial Analysts Journal (1993) 49, pp6-8 Hansen,Lars P. and Singleton,Kenneth J., " Stochastic Consumption. Risk Aversion, and the Temporal Behavior of Asset Returns", Journal of Political Economy(1983) 91, pp249-265 Green,Willian H., Econometric Analysis(1993), pp347-348 Kydland,Finn E. and Prescott,Edward C., " Time to Build and Aggregate Fluctuations", Econometrica (1982) SO, pp1345-1371 Pindyck,Robert S. and Rubinfeld,Daniel L., Econometric Models and Economic Forecasts( 1985), pp283-288 Rossitor,R.D., " Monetary Policy Indicators after Deregulation", The Quarterly Review of Economics and Finance(1995) 35, pp207-223 Shen,Chung-Hua, "Estimation of Moneytary Reaction Function via Nonlinear Kalman Filter", Paper presented at International Chinese Statistical Association (1995) ━━"The Lexicographic Behavior of the Central Bank - Did They Say What They Do ? ", Working Paper (1996) Stambaugh,Robert F., " The Information in Forward Rates Implications for Models of the Term Structure", Journal of Financial Economics(1988)21, pp41-70 Strauss, Jack and Zhou, Guofu, " Time-to-Build Effects and the Term Structure", Journal of Financial Research(1995) 18, pp 115-127 Tanizaki, Hisashi, "Kalman Filter Model with Qualitative Dependent Variables", The Review of Economics and Statics(1993)LVI(l), pp747-752 Zavoina,R.and McElvey,W., "A Statistical Model for the Analysis of Ordinal Level Dependent Variables", Journal of Mathematical Sociology( 1975),pp 103-120 zh_TW
