On Vnder-reactions of Long-term Interest Rates to Changes in Short-term Interest Rates: The Transaction Cost Hypothesis_

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題名：	On Vnder-reactions of Long-term Interest Rates to Changes in Short-term Interest Rates: The Transaction Cost Hypothesis
書刊名：	經濟論文叢刊
作者：	黃朝熙
出版日期：	1992
卷期：	20:4
頁次：	頁285-302
主題關鍵詞：	反應；交易；成本；長期利率；短期利率；變動
原始連結：	連回原系統網址
相關次數：	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:0 共同引用:0 點閱:17

　　　　　過去許多研究顯示，事後長短期債券持有期報酬率之差，常與當期長短期利率之差成正相關。此現象與利率結構預期假說的預測不符，而一些經濟學家認為此現象係長期利率對短期利率變動的反應不足所造成。本文在說明交易成本的存在，可能是造成上述反應不足的重要原因。我們利用美國三個月及六個月國庫券利率資料所做的研究顯示，當債券市場的主要參與者是風險中立的套利者，而買賣債券的交易成本大約與三個月國庫券的買賣平均利率差相當時，則文獻中所記載長短期債券持有期報酬率之差與長短期利率之差的正相關現象將不足為奇。

以文找文

　　　　　Numerous studies have found that ex-post excess holding periodreturns on long-term securities are positively correlated with current long-short yield spreads. These findings are inconsistent withthe expectations hypothesis of the term structure and are explainedby many as reflecting the under-reactions of long-term interestrates to changes in short-term interest rates. In this paper, we demonstrate that the existence of transaction costs cound be a theoretical reason for such under-reactions. By employing data on U.S. sixmonth and three-month Treasury bill rates, we found that providedU.S. bill markets are dominated by risk neutral arbitragers, transaction costs with a magnitude roughly equal to average threemonth (or six-month) bill bid ask yield spreads could easily accountfor the positive correlation between ex-post excess holding periodreturns on six-month bills and six-month three-month bill yieldspreads documented in the literature.

以文找文

期刊論文
1.	Frenkel, Jacob A.、Levich, Richard M.(1975)。Covered Interest Arbitrage: Unexploited Profits?。Journal of Political Economy，83(2)，325-338。
2.	Campbell, John Y.、Shiller, Robert J.(1987)。Cointegration and Tests of Present Value Models。Journal of Political Economy，95(5)，1062-1088。
3.	Stock, James H.、Watson, Mark W.(1988)。Testing for Common Trends。Journal of the American Statistical Association，83(404)，1097-1107。
4.	Hansen, Lars Peter、Hodrick, Robert J.(1980)。Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis。Journal of Political Economy，88(5)，829-853。
5.	Kleidon, Allan W.(1986)。Variance Bounds Tests and Stock Price Valuation Models。Journal of Political Economy，94(5)，953-1001。
6.	Campbell, John Y.(1986)。A Defense of Traditional Hypotheses about the Term Structure of Interest Rates。Journal of Finance，41(1)，183-193。
7.	Mankiw, N. Gregory、Miron, Jeffrey A.(1986)。The Changing Behavior of the Term Structure of Interest Rates。Quarterly Journal of Economics，101(2)，211-228。
8.	Singleton, Kenneth J.(1980)。Expectations models of the term structure and implied variance bounds。Journal of Political Economy，88(6)，1159-1176。
9.	Jones, David S.、Roley, V. Vance(1983)。Rational Expectations and the Expectations Model of the Term Structure: A Test Using Weekly Data。Journal of Monetary Economics，12(3)，453-465。
10.	Mankiw, N. Gregory(1986)。The Term Structure of Interest Rates Revisited。Brookings Papers on Economic Activity，1，61-110。
11.	Kleidon, Allan W.(1986)。Bias in Small Sample Tests of Stock Price Rationality。Journal of Business，59(2)，237-261。
12.	Bahmani-Oskooee, Mohsen、Das, Satya P.(1985)。Transaction Costs and the Interest Parity Theorem。Journal of Political Economy，93(4)，793-799。
13.	Campbell, John Y.(1987)。Stock Returns and the Term Structure。Journal of Financial Economics，18(2)，373-399。
14.	Campbell, John Y.、Clarida, Richard H.(1987)。The Term Structure of Euromarket Interest Rates。Journal of Monetary Economic，19(1)，25-44。
15.	Campbell, John Y.、Shiller, Robert J.(1984)。A Simple Account of the Behavior of Long-Term Interest Rates。American Economic Review Papers and Proceedings，74(2)，44-48。
16.	Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1981)。A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates。Journal of Finance，36(4)，769-799。
17.	Fama, Eugene F.(1984)。The Information in the Term Structure。Journal of Financial Economics，13(4)，509-528。
18.	Fama, Eugene F.、Bliss, Robert R.(1987)。The Information in the Long-Maturity Forward Rates。American Economic Review，77(4)，680-692。
19.	Flavin, Marjorie A.(1983)。Excessive Volatility in the Financial Markets: A Reassessment of the Empirical Evidence。Journal of Political Economy，91(6)，929-956。
20.	Frenkel, Jacob A.、Levich, Richard M.(1977)。Transaction Costs and Interest Arbitrage: Tranquil versus Turbulent Periods。Journal of Political Economy，85(6)，1209-1226。
21.	Froot, Kenneth A.(1989)。New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates。Journal of Finance，44(2)，283-305。
22.	Lauterbach, Beni(1989)。Consumption Volatility, Production Volatility, Spot-Rate Volatility, and the Returns on Treasury Bills and Bonds。Journal of Financial Economics，24(1)，155-179。
23.	Mankiw, N. Gregory、Summers, Lawrence H.(1984)。Do Long-Term Interest Rates Overreact to Short-Term Interest Rates。Brookings Papers on Economic Activity，1984(1)，223-248。
24.	Shiller, Robert J.(1981)。Alternative Tests of Rational Expectations Models: The Case of the Term Structure。Journal of Econometrics，16(1)，71-87。
25.	Shiller, Robert J.、Campbell, John Y.、Schoenholtz, Kermit L.(1983)。Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates。Brookings Papers on Economic Activity，1983(1)，173-217。
26.	Walz, Daniel T.、Spencer, Roger W.(1989)。The Informational Content of Forward Rates: Further Evidence。Journal of Financial Research，12(1)，69-82。
27.	Shiller, Robert J.(1979)。The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure。Journal of Political Economy，87(6)，1190-1219。
28.	Demsetz, Harold(1968)。The cost of Transacting。Quarterly Journal of Economics，82(1)，33-53。
29.	Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica，55(2)，251-276。

研究報告
1.	Shiller, Robert J.(1985)。Conventional Valuation and the Term Structure of Interest Rates。
2.	Shiller, Robert J.、McCulloch, J. Huston(1987)。The Term Structure of Interest Rates。

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