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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/87562
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/87562


    Title: 利率特性與景氣循環--臺灣地區貨幣市場實証分析
    Interest Rate and Business Cycle in Taiwan
    Authors: 朱宇琴
    Chu, Yu Chin
    Contributors: 沈中華
    朱宇琴
    Chu, Yu Chin
    Keywords: 利率特性
    景氣循環
    持有報酬率
    違約貼水
    期限貼水
    Interest Rate
    Business Cycle
    Holding Period Return
    Premium
    Date: 1995
    Issue Date: 2016-04-28 15:11:26 (UTC+8)
    Abstract: 本文的研究目的,在於直接以利率特性探究景氣循環,並以景氣循環探究利率特性,以了解兩者之間的關係;此模型的特色,在於避開了一般總體模型共通的一項缺點 : 必須先預測外生變數。以上談到的貨幣市場利率特性,計有持有報酬率、違約貼水、期限貼水等三者,至於景氣循環則採用經建會所認定的標準。 研究發現,民國75年到84年臺灣地區貨幣市場的利率特性與實質經濟活動,的確互有解釋及預測能力,實証結果如下:
    Reference: 【國內文獻】
    陳師孟,"我國商業本票市場對貨幣供給之影響",台北市票券金融事業協會71 年7 月
    陳師孟,"貨幣市場與經濟循環",貨幣市場十年,中典票券'h司75 年
    何顯重,"我國貨幣市場之回顧與未來發展方向",貨幣市場十年,中興票券立:司75 年
    林維義," 我國貨幣市場之現狀",貨幣市場十年,中興票券公司,75年
    林玫吟,"台灣票券市場報酬率特性之研究",台灣大學財務金融研究所碩士論文83 年5 年
    李賢源、林玫吟,"台灣票券市場報酬率特性之研究",刊行中,85年
    台灣景氣指標,行政院經建會

    【國外文獻】
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    Econometrica(1985) 53, pp385-407
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    Rossitor,R.D., " Monetary Policy Indicators after Deregulation", The Quarterly Review of Economics and Finance(1995) 35, pp207-223
    Shen,Chung-Hua, "Estimation of Moneytary Reaction Function via Nonlinear Kalman Filter", Paper presented at
    International Chinese Statistical Association (1995)
    ━━"The Lexicographic Behavior of the Central Bank - Did
    They Say What They Do ? ", Working Paper (1996)
    Stambaugh,Robert F., " The Information in Forward Rates
    Implications for Models of the Term Structure", Journal of
    Financial Economics(1988)21, pp41-70
    Strauss, Jack and Zhou, Guofu, " Time-to-Build Effects and the Term Structure", Journal of Financial Research(1995) 18, pp 115-127
    Tanizaki, Hisashi, "Kalman Filter Model with Qualitative Dependent Variables", The Review of Economics and Statics(1993)LVI(l), pp747-752
    Zavoina,R.and McElvey,W., "A Statistical Model for the Analysis of Ordinal Level Dependent Variables", Journal of Mathematical Sociology( 1975),pp 103-120
    Description: 碩士
    國立政治大學
    金融研究所
    83357016
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002002879
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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