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題名:臺灣短期利率指標之研究
書刊名:應用經濟論叢
作者:高崇瑋 引用關係萬哲鈺 引用關係
作者(外文):Kao, Chung-weiWan, Jer-yuh
出版日期:2012
卷期:92
頁次:頁23-58
主題關鍵詞:價格發現訊息比例衝擊反應分析變異數分解Price discoveryInformation shareImpulse response analysisVariance decomposition
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:20
  • 點閱點閱:31
期刊論文
1.Covrig, V.、Ding, D. K.、Low, B. S.(2004)。The contribution of a satellite market to price discovery: evidence from the Singapore Exchange。Journal of Futures Markets,24(10),981-1004。  new window
2.Su, Q.、Chong, T. T. L.(2007)。Determining the contributions to price discovery for Chinese cross-listed stocks。Pacific-Basin Finance Journal,15,140-153。  new window
3.Hatemi-J, A.(2008)。Tests for Co-integration with Two Unknown Regime Shifts with an Application to Financial Market Integration。Empirical Economics,35(3),497-505。  new window
4.He, Y.、H. Lin、J. Wang、C. Wu(2009)。Price Discovery in the Round-the-Clock U.S. Treasury Market。Journal of Financial Intermediation,18,464-490。  new window
5.Grossman, S. J.(1977)。The existence of futures markets, noisy rational expectations and informational externalities。Review of Economic Studies,44,431-449。  new window
6.陳一端(20001200)。簡介中央銀行之利率操作目標政策暨其傳遞機制。中央銀行季刊,22(4),81-94。new window  延伸查詢new window
7.Furfine, Craig H.(2000)。Interbank Payments and the Daily Federal Funds Rate。Journal of Monetary Economics,46,535-553。  new window
8.MacKinnon, J. G.、Haug, A. A.、Michelis, L.(1999)。Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration。Journal of Applied Econometrics,14,563-577。  new window
9.Gonzalo, Jesus、Granger, Clive W. J.(1995)。Estimation of Common Long-Memory Components in Cointegrated Systems。Journal of Business and Economic Statistics,13(1),27-35。  new window
10.Tse, Y.、Xiang, J.、Fung, J. K. W.(2006)。Price discovery in the foreign exchange futures market。Journal of Futures Markets,26(11),1131-1143。  new window
11.Hasbrouck, Joel(1995)。One Security, Many Markets: Determining the Contributions to Price Discovery。The Journal of Finance,50(4),1175-1199。  new window
12.Baillie, R. T.、Booth, G. G.、Tse, Y.、Zabotina, T.(2002)。Price Discovery and Common Factor Models。Journal of Financial Markets,5(3),309-321。  new window
13.Carrion-i-Silvestre, J. L.、Sansó, A.(2006)。Testing the null of cointegration with structural breaks。Oxford Bulletin of Economics and Statistics,68(5),623-646。  new window
14.Tse, Y.(1998)。International Linkages in Euromark Futures Markets: Information Transmission and Market Integration。Journal of Futures Markets,18,128-149。  new window
15.Fung, H. G.、Leung, W. K.(1993)。The Pricing Relationship of Eurodollar Futures and Eurodollar Deposit Rates。The Journal of Futures Markets,13(2),115-126。  new window
16.Kean, Frad R.、Hachey, George A.(1983)。Eurocurrency and National Money Market Interest Rates: An Empirical Investigation of Causality。Journal of Money, Credit and Banking,15(3),327-328。  new window
17.Tse. Y. K.(1999)。Price Discovery and Volatility Spillovers in the DJIA Index and Futures Markets Returns。Journal of Futures Markets,19,911-930。  new window
18.Bernanke, Ben S.、Blinder, Alan S.(1992)。The Federal Funds Rate and the Channels of Monetary Transmission。American Economic Review,82(4),901-921。  new window
19.Pesaran, M. H.、Shin, Y.(1998)。Generalised Impulse Response Analysis in Linear Multivariate Models。Economics Letters,58(1),17-29。  new window
20.Booth, G. G.、So, R. W.、Tse, Y.(1999)。Price Discovery in the German Equity Index Derivatives Markets。The Journal of Futures Markets,19(6),619-643。  new window
21.Chu, Q. C.、Hsieh, Wen-liang G.、Tse, Y.(1999)。Price discovery on the S & P 500 index markets: An analysis of spot index, index futures, and SPDRs。International Review of Financial Analysis,8,21-34。  new window
22.Stock, J. H.、Watson, M. W.(1998)。Testing for Common Trends。Journal of the American Statistical Association,83,1097-1107。  new window
23.侯德潛、田慧琦(20000900)。通貨膨脹預期與泰勒法則--臺灣地區實證分析。中央銀行季刊,22(3),21-48。new window  延伸查詢new window
24.MacKinnon, James G.(1996)。Numerical Distribution Functions for Unit Root and Cointegration Tests。Journal of Applied Econometrics,11(6),601-618。  new window
25.李榮謙(19980300)。貨幣政策操作目標之抉擇--兼論隔夜利率的情報內涵。中央銀行季刊,20(1),28-53。new window  延伸查詢new window
26.Gregory, A. W.、Hansen, B. E.(1996)。Residual-based tests for cointegration in models with regime shifts。Journal of Econometrics,70(1),99-126。  new window
27.King, Robert G.、Plosser, Charles I.、Stock, James H.、Watson, Mark W.(1991)。Stochastic Trends and Economic Fluctuations。American Economic Review,81(4),819-840。  new window
28.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
29.Fung, Joseph K. W.、Tse, Yiuman(2008)。Efficiency of single‐stock futures: An intraday analysis。Journal of Futures Markets,28(6),518-536。  new window
30.Kwiatkowski, Denis、Phillips, Peter C. B.、Schmidt, Peter、Shin, Yongcheol(1992)。Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?。Journal of Econometrics,54(1-3),159-178。  new window
31.Zivot, Eric、Andrews, Donald W. K.(1992)。Further Evidence on the Great Crash, the Oil-price Shock, and the Unit-root Hypothesis。Journal of Business and Economic Statistics,10(3),251-270。  new window
會議論文
1.劉淑敏(1998)。泰勒法則在台灣的實證研究。1998年總體經濟計量模型研討會。中央研究院經濟研究所。  延伸查詢new window
學位論文
1.蘇詠智(1997)。臺灣隔夜拆款利率之變異性與指標性研究(碩士論文)。國立臺灣大學。  延伸查詢new window
2.王宏文(1996)。貨幣政策中間目標及操作目標之選擇--台灣地區之實證研究(碩士論文)。國立台灣大學。  延伸查詢new window
3.房婉縈(1994)。同業拆款利率資訊內含之研究(碩士論文)。國立臺灣大學。  延伸查詢new window
其他
1.吳恭維(1995)。台灣公債市場報酬之分析。  延伸查詢new window
2.沈中華(1998)。使用門檻Taylor’sRule衡量台灣貨幣政策--兼論對亞洲金融風暴的反應,台北:中央研究院經濟研究所。  延伸查詢new window
3.林坤瑲(2005)。台灣短期利率指標之研究--Telerate與SIRIS之比較。  延伸查詢new window
4.陳姿穎(2009)。TAIBOR與LIBOR的連動分析。  延伸查詢new window
5.黃鈺婷(2010)。短期財經指標預測:TAIBOR預期與非預期效果之實證研究。  延伸查詢new window
6.劉嘉瑜(1993)。利率交換合約在台灣市場的可行性。  延伸查詢new window
7.劉德明與劉嘉瑜(1993)。新台幣利率交換市場在台灣之可行性研究。  延伸查詢new window
8.De Grauwe, P.(1989)。Is the European Monetary System a DM-Zone?。  new window
9.Feinman, J.(1993)。Estimating the Open Market Desk’s Daily Reaction Function。  new window
10.Fratinaai, M. and J. Von Hagen(1990)。German Dominance in the EMS: The Empirical Evidence。  new window
11.Garbade, K. D. and W. L. Silber(1979)。Dominant and Satellite Markets: A Study of Duallytraded securities。  new window
12.Hendershott, P. H.(1976)。The Structure of International Interest Rates, the U.S. Treasury Bill Rate and the Eurodollar Deposit Rate。  new window
13.Karfakis, C. J. and D. M. Moschos(1990)。Interest Rate Linkages within the European Monetary System: A Time Series Analysis。  new window
14.Katsimbris, G. M. and S. M. Miller(1993)。Interest Rate Linkages within the European Monetary System: Further Analysis。  new window
15.Kao, C. W. and J. Y. Wan(2009)。Information Transmission and Market Interactions across the Atlantic: An Empirical Study on the Natural Gas Market。  new window
16.Lee, J. and M. C. Strazicich(2003)。Minimum Lagrange Multiplier Unit Root Tests with Two Structural Break。  new window
17.Roope, M. and R. Zurbruegg(2002)。The Intraday Price Discovery Process between the Singapore Exchange and Taiwan Futures Exchange。  new window
18.So, R. W. and Y. Tse(2004)。Price Discovery in the Hang Seng Index Markets: Index, Futures, and the Tracker Fund。  new window
19.Tse, Y., T. H. Lee, and G. G. Booth(1996)。The International Transmission of Information in Eurodollar Futures Markets: A Continuously Trading Market Hypothesis。  new window
20.Wan, J. Y. and C. W. Kao(2009)。Price Discovery in Taiwan’s Foreign Exchange Market。  new window
 
 
 
 
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