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題 名 | 美國國庫券與歐洲美元期貨市場關聯性之研究=A Study of the Relationship between U.S. Treasury Bill and Eurodollars Futures Market |
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作 者 | 徐清俊; 蔡依蒨; | 書刊名 | 德明學報 |
卷 期 | 20 2002.12[民91.12] |
頁 次 | 頁121-131 |
分類號 | 561.76 |
關鍵詞 | 利率期貨; 共整合; 誤差修正; 因果關係; Interest futures; Cointegration; Error correction model; Granger causality; |
語 文 | 中文(Chinese) |
中文摘要 | 本文的目的主要在探討美國國庫券與歐洲美元兩期貨市場間的關聯性。以定態與 共整合為基礎,進而使用誤差修正模型進行市場共整合分析,根據共整合之檢定結果發現, 美國國庫券與歐洲美元期貨兩市場間已具有穩定的長期均衡關係。其次,經誤差修正模型之 研究結果發現美國國庫券與歐洲美元兩樣本期貨市場存在雙向的因果關係,美國國庫券期貨 與歐洲美元期貨彼此間的均衡調整主要是透過長期共整合關係的誤差修正項及短期價格波動 的影響,歐美美元期貨價格的加入有助於美國國庫券期貨價格的預測,同理即美國國庫券期 貨價格訊息的加入有助於歐洲美元期貨價。市場 |
英文摘要 | The objective of this investigation is to study the relationship between U.S. Treasury bills futures market and Eurodollar futures market. This study analyze the market cointegration and causal relationship through the error correction model (ECM). The cointegration analysis reveals that there exists a long-run equilibrium relationship between these two nonstationary price series. The error correction model representation of the two series suggest that there is a two-way feedback relationship. U.S. Treasury bills futures price and Eurodollar futures price adjusted balance between error correction terms and short price volatility. Therefore, it is advantageous to forecast U.S. Treasury bills futures market by considering the Eurodollar futures market. Under the above conditions, it is advantageous to forecast Eurodollar futures market by considering the U.S. Treasure bills futures market. |
本系統中英文摘要資訊取自各篇刊載內容。