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題 名 | 利率變動對債市整合影響之研究--聯合利率模式之應用=The Impact of Interest Rates on Bond Market Integration--An Application of a Joint Interest Rate Model |
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作 者 | 李志偉; | 書刊名 | 北商學報 |
卷 期 | 16 2009.07[民98.07] |
頁 次 | 頁25-37 |
分類號 | 562.12 |
關鍵詞 | 聯合利率模式; 市場整合; 主成份分析; Joint interest rate model; Market integration; Principal component analysis; |
語 文 | 中文(Chinese) |
中文摘要 | 本文以聯合利率模式討論利率參數變動對債券市場整合之影響。由於市場整合的程度,影響跨國投資的資產配置決策,因此許多研究探討影響市場整合的原因。本文以聯合利率模式改進現有模式忽略利率相關性、以及無法假設動態利率的缺點。在估計上,我們用主成份分析以及 quasi-MLE (Maximum likelihood estimation) 的方法,估計聯合利率模式的參數。在實證上,本文對台灣與美國債市整合做數值分析,發現當參數變動使利率共同因子變異數增加時,則台灣與美國的債市整合程度變高;當參數變動使台灣或美國的利率個別因子變異數增加時,則台灣與美國的債市整合程度變低。但共同因子的外國利率衝擊乘數對債市整合的影響,都較這兩種情形來得大。 |
英文摘要 | We investigate the impact of interest rate factors on bond market integration. The asset allocation for an international portfolio is related to the degree of market integration. Therefore, factors that affect market integration are often discussed in literatures. We propose a joint term structure model to address problems of neglecting cross interest rate correlation, and failing to consider dynamic interest rates, which often appear in current models. Principal component analysis (PCA) and quasi-MLE are used to estimate parameters in a joint interest rate model. Besides, numerical analysis regarding to market integration is performed. It shows that when variance of common factor increases, bond markets of Taiwan and U.S. become more integrated. When variances of country-specific factors increase, bond markets get less correlated. In particular, the impact coefficient of the common factor on the foreign interest rate affects market integration more than other factors do. |
本系統中英文摘要資訊取自各篇刊載內容。