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題名 | 參數不確定性和利率期限結構預期理論模型之檢定--以臺灣貨幣市場為例=Parameter Uncertainty and the Expectations Hypothesis of Term Structure of Interest Rates: An Application in the Taiwan Money Market |
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作者姓名(中文) | 莊武仁; 張淑鑾; | 書刊名 | 淡江人文社會學刊 |
卷期 | 14 民92.03 |
頁次 | 頁31-48 |
分類號 | 562.12 |
關鍵詞 | 利率期限結構; 預期理論; 參數不確定性; Term structure of interest rates; Expectations hypothesis; Parameter uncertainty; |
語文 | 中文(Chinese) |
中文摘要 | 實證研究文獻常拒絕利率期限結構的預期理論和理性預期的聯合假設,並將拒絕的原因歸究於隨時間變動的期限貼水、衡量誤差和過度反應,本文則利用參數不確定性假設以模擬方法探討聯合假設在臺灣貨巾市場的適用性,實證結果符合參數不確定假設的理論,實證結果亦顯幣市場的適用性,實證結果符合參數不確定假設的論點,實證結果亦顯示,臺灣貨幣市場的參與者在知道長短期利差和超額持有期間報酬兩者之相關性時,可以利用此項資訊獲取超額報酬,但此項額報酬並大大,或許僅能彌補因持有較長天期票券所承擔較高的利率風險或較低的流動性而已。 |
英文摘要 | Numerous empirical studies have tested and rejected the joint hypothesis of the expectations model of term structure and the rational expectations hypothesis. Explanations of these results have been offered and explored mainly due to time-varying term premium, measurement error, and over-reaction. Parameter uncertainty offers another explanation. This paper shows that the rejection of the joint hypothesis in the Taiwan money market can indeed be explained by the hypothesis of parameter uncertainty. The results also show that, if the relationship between the yield spread and the excess holding period returns were known to the market participants, excess returns could be exploited. But these excess returns are not excessive and might be only large enough to compensate for the higher interest risks or the lower liquidity due to the holding of long-maturity bills. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。