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    Title: 期間利差,重貼現率與不景氣之預測
    Forecasting Recession with Term Spread and Discount Rate
    Authors: 許原唐
    Contributors: 林信助
    許原唐
    Keywords: 期間利差
    重貼現率
    probit 模型
    term spread
    discount rate
    probit model
    Date: 2006
    Issue Date: 2009-09-18 14:12:40 (UTC+8)
    Abstract: 殖利率曲線為描述零息債卷的殖利率與其到期日間之關係,一般來說其形狀應為正斜率,而一旦殖利率曲線反轉而呈現負斜率時,許多人將之解讀為未來經濟即將走弱的訊號。本論文主要是以Probit Model呈現期間利差與重貼現率的預測能力,並將結果區分為樣本內與樣本外呈現。實證結果發現,與國外文獻比較起來,台灣殖利率曲線斜率捕捉景氣蕭條的能力遜色許多,可能與兩國在經濟體質或是央行政策執行依據上的不同有關。而相較於殖利率曲線的斜率,重貼現率對於台灣景氣的影響更為明顯,顯示出台灣的經濟深受央行政策影響。而不論是在樣本內或樣本外的結果方面,皆顯示期間利差搭配重貼現率的預測能力會較只有期間利差單一解釋變數時來的好。
    Reference: 一、 中文部分
    朱宇琴 (1996), “利率特性與景氣循環—台灣地區貨幣市場實證分析,”政治大學銀行研究所碩士論文。
    蔡培倫 (1997) ,“長短期利率預測及其應用,”東吳大學經濟研究所碩士論文。
    陳大文 (2003) ,“時間利差可預測性與台灣總體經濟預測,”世新大學經濟研究所碩士論文。
    陳明賢 (1986), “財務危機預測之計量分析研究,”台灣大學商學研究所碩士論文。
    二、 西文部分
    Ang, Andrew, Monika Piazzesi and Min Wei(2006),“What does the Yield Curve Tell Us About GDP Growth?,”Jornal of Econometrics, forthcoming.
    Ahrens, R(2002) ,“Predicting Recessions With Interest Spreads: A Multicountry Regime-Swithing Analysis,”Journal of International Money and Finance 21(4),p.519-537.
    Brealey,Myers, and Allen(2006), Corporate Finance, pp636-641
    Bernard, Henri and Stefan Gerlach(1998),“Does the Term Structure Predict Recessions?The International Evidence,”International Journal of Finance and Economics 3(31),p195-215.
    Blinder, Alan and Ben Bernake(1989),“The Federal Funds and the Channels of Monetary Transmission,”American Economic Review, 82, p.901-921.
    Bonser-Neal, Catherine and Morley, Timoth (1997),“Does the Yield Spread Predict Real Economic Activity? A Multicountry Analysis,”Federal Reserve Bank of Kansas City Economic Review 82(3),p.37-53.
    Estrella, Arturo and Gikas Hardouvelis (1991),“The Term Structure as Predictor of Real Economic Activity,”Journal of Finance, 46, p.555-576.
    Estrella, Arturo and Frederic Mishikin (1996),“The Yield Curve as a Predictor of U.S Recessions,”Current Issues in Economics and Finance, 6.

    Estrella, Arturo and Frederic Mishikin (1998),“Predicting U.S Recessions: Financial Variables as Leading Indicators,”Review of Economics and Statistics, 80, p.45-61.
    Estrella, Arturo, Anthony Rodrigues and Sebastian Schich(2003), “How Stable is the Predictive Power of the Yield Curve ?Evidence From Germany and the United States,”The Review of Economics and Statistics,85,p.629-644.
    McCallum, Bernett (1983),“On Non-Uniqueness in Rational Expectations Models: An Attempt at Perspective, ”Journal of Monetary Economics, 11, p.139-168.
    Stock, James and Mark Watson (1987),“Stochastic Trends and Economic Fluctuations,” American Economic Review, 81, p.819-840.
    Wright, Jonathan (2006),“The Yield Curve and Predicting Recessions,” Board of Governors of the Federal Reserve System(U.S.) in its series Finance and Economics Discussion Series, 2006-7.
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    94351007
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094351007
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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