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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/38820


    Title: 定期總體經濟數據發佈對台灣債市之影響
    The impact of scheduled macroeconomic announcements on Taiwan’s bond market
    Authors: 陳明玉
    Contributors: 曾巨威
    陳明玉
    Keywords: 總體經濟數據發佈
    市場微結構
    Macroeconomic Announcements
    market microstructure
    Date: 2006
    Issue Date: 2010-04-09 18:11:13 (UTC+8)
    Abstract: 由於亞洲金融風暴源於資產價格崩盤,引發系統性風險,影響經濟穩定發展,各國央行開始正視資產價格變動所傳達之訊息,各個金融市場之資產價格也可能反映出投資人對物價之預期及經濟成長或衰退的訊息,似乎可作為央行執行貨幣政策指標或預測未來經濟發展之參考依據。
    本研究利用Ederington and Lee(1993)模型,以台灣公債日資料(01/04/2001~12/29/2006)及日內資料(08/31/2005~12/20/2006)檢視經濟數據發佈對台灣十年期公債影響。以日資料實證結果發現僅經濟成長率及海關進出口貿易發佈對公債報酬率波動有較顯著衝擊;日內資料實證結果僅CPI-WPI及景氣對策訊號有顯著影響。台灣經濟數據發佈效果不如國外債券市場來的明顯,使得國內債券市場投資人反而尋求其他私人訊息納入交易策略考慮。
    Reference: 詹德松編(1997)。經濟統計指標-兼述政府統計實務。台北市:華泰。
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    Description: 碩士
    國立政治大學
    行政管理碩士學程
    92921050
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0929210501
    Data Type: thesis
    Appears in Collections:[行政管理碩士學程(MEPA)] 學位論文

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