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題名：利率期限結構與貨幣政策：臺灣的實證分析
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-wei／Wan, Jer-yuh
出版日期：2015
卷期：98
頁次：頁55-100
主題關鍵詞：利率期限結構；中央銀行；非線性；Term structure of interest rates；Central bank；Nonlinearity
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(2) 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:2
  • 共同引用共同引用:28
  • 點閱點閱:32
期刊論文
1.Taylor, M. P.、Davradakis, E.(2006)。Interest Rate Setting and Inflation Targeting: Evidence of a Nonlinear Taylor Rule for the United Kingdom。Studies in Nonlinear Dynamics and Econometrics，10，1-18。  new window
2.吳致寧、李慶男、張志揚、林依伶、陳佩玗、林雅淇(20110900)。再論臺灣非線性利率法則。經濟論文，39(3)，307-338。new window  延伸查詢new window
3.Weber, E.、Wolters, J.(2012)。The US Term Structure and Central Bank Policy。Applied Economics Letters，19，41-45。  new window
4.Tzavalis E.、Wickens, M. R.(1997)。Explaining the Failure of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure。Journal of Money, Credit and Banking，29，364-380。  new window
5.Sola, M.、Driffill, J.(1994)。Testing the Term Structure of Interest Rates Using a Stationary Vector Autoregression with Regime Switching。Journal of Economic Dynamics and Control，18，601-628。  new window
6.Simon, D. P.(1989)。Expectations and Risk in the Treasury Bill Market: An Instrumental Variable Approach。Journal of Financial and Quantitative Analysis，24，357-365。  new window
7.Shen, C. H.(1998)。The Term Structure of Taiwan Money Market Rates and Rational Expectations。International Economic Journal，12，105-119。  new window
8.Rudebusch, G. P.(1995)。Federal Reserve Interest Rate Targeting, Rational Expectation, and the Term Structure。Journal of Monetary Economics，35，245-274。  new window
9.Pfann, G. A.、Schotman, P. C.、Tschernig, R.(1996)。Nonlinear Interest Rate Dynamics and Implications for the Term Structure。Journal of Econometrics，74，149-176。  new window
10.McCallum, B. T.(2005)。Monetary Policy and the Term Structure of Interest Rates。Federal Reserve Bank of Richmond Economic Quarterly，91，1-21。  new window
11.Mankiw, N. G.、Miron, J. A.(1986)。The Changing Behaviour of the Term Structure of Interest Rates。Quarterly Journal of Economics，101，211-228。  new window
12.Liau, Y. S.、Yang, J. J. W.(2009)。The Expectation Hypothesis of Term Structure of Interest Rates in Taiwan's Money Market。International Research Journal of Finance and Economics，27，180-191。  new window
13.Longstaff, F. A.(2000)。The Term Structure of Very Short-term Rates: New Evidence for the Expectations Hypothesis。Journal of Financial Economics，58，397-415。  new window
14.Kuo, S. H.、Enders, W.(2004)。The Term Structure of Japanese Interest Rates: The Equilibrium Spread with Asymmetric Dynamics。Journal of the Japanese and International Economies，18，84-98。  new window
15.Kugler, P.(1997)。Central Bank Policy Reaction and the Expectations Hypothesis of the Term Structure。International Journal of Finance and Economics，2，217-224。  new window
16.Kugler, P.(1996)。The Term Structure of Interest Rates and Regime Shifts: Some Empirical Results。Economics Letters，50，121-126。  new window
17.Kugler, P.(1988)。An Empirical Note on Term Structure and Interest Rate Stabilization Policies。The Quarterly Journal of Economics，103，789-792。  new window
18.Koukouritakis, M.、Michelis, L.(2008)。The Term Structure of Interest Rates in the 12 Newest EU Countries。Applied Economics，40，479-490。  new window
19.Klose, J.(2011)。Asymmetric Taylor Reaction Functions of the ECB: An Approach Depending on the State of the Economy。The North American Journal of Economics and Finance，22，149-163。  new window
20.Jondeau, E.、Ricart, R.(1999)。The Expectation Hypothesis of the Term Structure: Tests on UK Euro-rates。Journal of International Money and Finance，18，725-750。  new window
21.Hsu, C.、Kugler, P.(1997)。The Revival of the Expectations Hypothesis of the US Term Structure of Interest Rates。Economics Letters，55，115-120。  new window
22.Holmes, M. J.、Otero, J.、Panagiotidis, T.(2011)。The Term Structure of Interest Rates, the Expectations Hypothesis and International Financial Integration: Evidence from Asian Economies。International Review of Economics and Finance，20，679-689。  new window
23.Hardouvelis, G. A.(1994)。The Term Structure Spread and Future Changes in Long and Short Rates in G-7 Countries: Is There a Puzzle?。Journal of Monetary Economics，33，255-283。  new window
24.Hansen, B. E.(2002)。Tests for Parameter Instability in Regressions with I(1) Processes。Journal of Business and Economic Statistics，20，45-59。  new window
25.Hamilton, J. D.(1988)。Rational-expectations Econometric Analysis of Changes in Regime: An Investigation of the Term Structure of Interest Rates。Journal of Economic Dynamics and Control，12，385-423。  new window
26.Gonzalo, J.、Pitarakis, J. Y.(2006)。Threshold Effects in Cointegrating Relationships。Oxford Bulletin of Economics and Statistics，68，813-833。  new window
27.Gerlach, S.、Smets, F.(1997)。The Term Structure of Euro-rates: Some Evidence in Support of the Expectations Hypothesis。Journal of International Money and Finance，16，305-321。  new window
28.Gerlach, S.(2003)。Interpreting the Term Structure of Interbank Rates in Hong Kong。Pacific-Basin Finance Journal，11，593-609。  new window
29.Froot, K. A.(1989)。New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates。Journal of Finance，44，283-305。  new window
30.Evans, M. D. D.、Lewis, K. K.(1994)。Do Stationary Risk Premia Explain It All: Evidence from Term Structure。The Journal of Monetary Economics，33，285-318。  new window
31.Engsted, T.、Tanggaard, C.(1995)。The Predictive Power of Yield Spreads for Future Interest Rates: Evidence from the Danish Term Structure。Scandinavian Journal of Economics，97，145-159。  new window
32.Engsted, Tom、Tanggaard, Carsten(1994)。Cointegration and the US Term Structure。Journal of Banking and Finance，18，167-181。  new window
33.Downing, C.、Oliner, S.(2007)。The Term Structure of Commercial Paper Rates。Journal of Financial Economics，83，59-86。  new window
34.Cook, T. Q.、Hahn, T. K.(1990)。Interest Rate Expectations and the Slope of the Money Market Yield Curve。Federal Reserve Bank Richmond Economic Review，76，3-26。  new window
35.莊武仁、段孝文(19960200)。臺灣貨幣市場預期模型與效率市場假說之實證研究--變異數臨界檢定。淡江學報，35，207-221。  延伸查詢new window
36.高崇瑋、萬哲鈺(20121200)。臺灣短期利率指標之研究。應用經濟論叢，92，23-58。new window  延伸查詢new window
37.Stock, James H.、Watson, Mark W.(1993)。A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems。Econometrica，61(4)，783-820。  new window
38.Hansen, Bruce E.、Seo, Byeongseon(2002)。Testing for Two-Regime Threshold Cointegration in Vector Error-Correction Models。Journal of Econometrics，110(2)，293-318。  new window
39.Hansen, B. E.(1997)。Approximate asymptotic p values for structural-change tests。Journal of Business and Economic Statistics，15，60-67。  new window
40.Hall, A. D.、Anderson, H. M.、Granger, C. W. J.(1992)。A Cointegration Analysis of Treasury Bill Yields。Review of Economics and Statistics，74(1)，117-126。  new window
41.Campbell, J. Y.、Shiller, R. J.(1991)。Yield Spreads and Interest Rate Movements: A Bird's Eye View。Review of Economic Studies，58，495-514。  new window
42.Tsay, R. S.(1998)。Testing and Modeling Multivariate Threshold Models。Journal of the American Statistical Association，93(443)，1188-1202。  new window
43.Kwiatkowski, D.、Phillips, P. C. B.、Schmidt, P.、Shin, Y.(1992)。Testing the null hypothesis of stationarity against the alternative of an unit root: How sure are we that economic time series have a unit root?。Journal of Econometrics，54，159-178。  new window
44.Campbell, John Y.、Shiller, Robert J.(1987)。Cointegration and Tests of Present Value Models。Journal of Political Economy，95(5)，1062-1088。  new window
45.MacKinnon, James G.(1996)。Numerical Distribution Functions for Unit Root and Cointegration Tests。Journal of Applied Econometrics，11(6)，601-618。  new window
46.陳旭昇、吳聰敏(20100300)。臺灣貨幣政策法則之檢視。經濟論文，38(1)，33-59。new window  延伸查詢new window
47.Campbell, John Y.(1995)。Some Lessons from the Yield Curve。Journal of Economic Perspective，9(3)，129-152。  new window
48.Balke, N. S.、Fomby, T. B.(1997)。Threshold Cointegration。International Economic Review，38(3)，627-645。  new window
49.Enders, Walter、Siklos, Pierre L.(2001)。Cointegration and Threshold Adjustment。Journal of Business & Economic Statistics，19(2)，166-176。  new window
50.Hansen, B. E.(1996)。Inference when a nuisance parameter is not identified under the null hypothesis。Econometrica: Journal of the econometric society，64(2)，413-430。  new window
51.Enders, W.、Granger, C. W. J.(1998)。Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates。Journal of Business and Economic Statistics，16(3)，304-311。  new window
52.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
53.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica，55(2)，251-276。  new window
會議論文
1.伏和靖(1989)。臺灣地區貨幣市場利率期限結構之實證研究。中國經濟學會年會。台北：中國經濟學會。391-401。  延伸查詢new window
研究報告
1.McCallum, B. T.(1994)。Monetary Policy and the Term Structure of Interest Rates。  new window
2.Kozicki, S.(1994)。A Nonlinear Model of the Term Structure。Washington D.C.：Federal Reserve Board。  new window
3.Granger, C. W. J.(1993)。Modelling Non-linear Relationships between Long-memory Variables。University of California。  new window
學位論文
1.黃蔚文(1991)。貨幣市場利率期限結構--預期理論之實證研究(碩士論文)。淡江大學。  延伸查詢new window
圖書
1.Doan, T. A.(2011)。Rats Handbook for Switching Models and Structural Breaks。Evanston：Estima Press。  new window
2.Shiller, Robert J.(1989)。Market Volatility。The MIT Press。  new window
其他
1.Wane, A.，Gilbert, S.，Dibooglu, S.(2004)。Critical Values of the Empirical F-distribution for Threshold Autoregressive and Momentum Threshold Autoregressive Models，Department of Economics, Southern Illinois University。  new window
圖書論文
1.Gerlach, S.、Smets, F.(1998)。Exchange Rate Regimes and the Expectations Hypothesis of the Term Structure。Monetary Policy and Interest Rates。London：Macmillan and St Martin's Press。  new window
 
 
 
 
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