English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 91280/121421 (75%)
Visitors : 25380643      Online Users : 71
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/4143


    Title: 台灣隔夜拆款市場報酬率與波動性的分析
    Other Titles: Analysis of the Interbank Overnight Rate Changes and Variance Patterns in Taiwan
    Authors: 張元晨
    Keywords: 隔夜拆款利率;一般化自我相關條件變異數模型
    Over-night interbank rates;GARCH
    Date: 2002
    Issue Date: 2007-04-18 16:41:51 (UTC+8)
    Publisher: 臺北市:國立政治大學財務管理學系
    Abstract: 本文探討我國隔夜拆款市場報酬率與波動率的變化,國外文獻發現拆款利率與準備金提存制度及假日效應有密切的關係 (Hamilton,1997),本文利用我國自 2000 年 2 月 5 日到 2002 年 2 月 6 日之間的隔夜拆款市場資料探討在現行月準備提存制度之下,影響隔夜拆款市場利率報酬與波動率的主要因素。本文的實證結果發現我國隔夜拆款利率市場的變化不但受到準備金提存制度的影響,而且也受到非星期假日及週休二日制度改變的影響。後續研究者可以根據本文的研究成果,進一步比較不同模型對隔夜拆款市場報酬率及波動率的預測準確程度。
    This study examines the time-series properties that generate the daily over-night interbank money market in Taiwan. A generalized autoregressive conditional heteroskedasticity (GARCH) model is estimated by incorporating dummy variables to account for the predictable changes due to the reserve maintenance period, weekend, and holiday effects. Our results show that over-night rate was affected not only by the reserve requirement system but also by the launch of two-day weekend holidays. It will be interesting to compare the forecastability of the over-night rate using our model in the future.
    Description: 核定金額:636200元
    Data Type: report
    Appears in Collections:[財務管理學系] 國科會研究計畫

    Files in This Item:

    File Description SizeFormat
    912416H004021.pdf39KbAdobe PDF1434View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback