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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
書刊名:兩岸金融季刊
作者:廖四郎 引用關係連育民 引用關係林斯郁
作者(外文):Liao, Szu-langLian, Yo-minLin, Szu-yu
出版日期:2013
卷期:1:2
頁次:頁37-59
主題關鍵詞:利率期限結構跳躍擴散模型馬可夫狀態轉換利率市場化Term structure of interest ratesJump-diffusion modelMarkov Regime Switching ModelInterest rate liberalization
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(0) 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:0
  • 共同引用共同引用:5
  • 點閱點閱:16
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。
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.
期刊論文
1.林宗耀(20010600)。利率期限結構與貨幣政策。中央銀行季刊,23(2),37-60。new window  延伸查詢new window
2.侯金英(19920900)。利率自由化與貨幣政策。基層金融,25,1-6。  延伸查詢new window
3.周榮喜、楊杰、單欣濤、王曉光(2012)。我國貨幣政策對利率期限結構影響實證研究。經濟問題探索,12,107-110。  延伸查詢new window
4.孫皓、石柱鮮(2011)。利率期限結構與宏觀經濟走勢:理論梳理與實證檢驗。金融與經濟,4,15-18。  延伸查詢new window
5.袁靖、薛偉(2012)。中國利率期限結構與貨幣政策聯合建模的實證研究。統計研究,2,42-47。  延伸查詢new window
6.康書隆、王志強(2010)。中國國債利率期限結構的風險特徵及其內含信息研究。世界經濟,7,121-143。  延伸查詢new window
7.鄭振龍、吳穎玲(2009)。中國利率期限溢酬:後驗信息法與先驗信息法。金融研究,10,68-82。  延伸查詢new window
8.劉金全、鄭挺國(2006)。利率期限結構的馬可夫區制轉移模型與實證分析。經濟研究,11,82-91。  延伸查詢new window
9.熊海芳、王志強(2012)。貨幣政策意外、利率期限結構與通貨膨脹預期管理。世界經濟,6,30-55。  延伸查詢new window
10.簡濟民(19950600)。臺灣地區利率自由化的進程與發展。中央銀行季刊,17(2),42-56。new window  延伸查詢new window
11.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 and Finance,37(8),3204-3217。  new window
12.Lange, Kenneth(1995)。A gradient algorithm locally equivalent to the EM algorithm。Journal of the Royal Statistical Society, Series B,57(2),425-437。  new window
13.Meng, X. L.、Rubin, D. B.(1991)。Using EM to Obtain Asymptotic Variance-covariance Matrices: the SEM Algorithm。Journal of the American Statistical Association,86,899-909。  new window
14.Beckers, Stan(1981)。A Note on Estimating the Parameters of the Diffusion-Jump Model of Stock Returns。Journal of Financial and Quantitative Analysis,16,127-140。  new window
15.Kou, S. G.(2002)。A Jump Diffusion Model for Option Pricing。Management Science,48,1086-1101。  new window
16.Merton, Robert C.(1976)。Option Pricing When Underlying Stock Returns are Discontinuous。Journal of Financial Economics,3(1/2),125-144。  new window
17.Chan, Kalok C.、Karolyi, George Andrew、Longstaff, Francis A.、Sanders, Anthony B.(1992)。An Empirical Comparison of Alternative Models of the Short-term Interest Rate。Journal of Finance,47(3),1209-1227。  new window
18.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。  new window
19.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。  new window
研究報告
1.Chang, C.、Fuh, C. D.、Lin, S. K.(2010)。A Tale of Two Regimes: Theory and Empirical Evidence for a Markov-Switch Jump Diffusion Model and Derivative Pricing Implications。  new window
學位論文
1.方惠蓉(2003)。短期利率模型的台灣實證--無母數法(碩士論文)。國立政治大學。  延伸查詢new window
2.江明珠(2008)。台灣短期利率的極端行為與風險值(博士論文)。國立中山大學。new window  延伸查詢new window
3.連春紅(2006)。台灣短期利率動態行為之實證研究(博士論文)。國立中山大學。new window  延伸查詢new window
4.歐陽德耀(2003)。跳躍過程下利率期間結構之估計與預測(碩士論文)。國立政治大學。  延伸查詢new window
其他
1.(2013)。楊再平:利率市場化勢在必行內地可向臺灣取經,http://kuaixun.stcn.com/ 2013/0329/10381926.shtml。  延伸查詢new window
2.(2013)。楊再平:台灣利率市場化經驗教訓值得借鑒,http://big5.ce.cn/gate/big5/finance.ce.cn/rolling/201304/03/t20130403_17088545.shtml。  延伸查詢new window
3.人民銀行上海總部金融市場管理部課題組(201209)。金融市場發展與利率市場化,CHINABOND。  延伸查詢new window
圖書論文
1.Cont, Rama(2005)。Volatility clustering in financial markets: Empirical facts and agent-based models。Long Memory in Economics。Springer。  new window
 
 
 
 
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