政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/87562

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/87562

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政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/87562

Please use this identifier to cite or link to this item: https://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】 Bernanke,Ben S., "On the Predictive Power of Interest Rates and Interest Rate Spreads", New England Economic Review(l990) Bernanke,Ben S. and Blinder,Alan S., "Is It Money or Credit, or Both, or Neither? ", American Economic Review(1988) 78, pp435-419 Bomfim,Autulio N., " The Equilibrium Fed Funds and the Indicator Properties of Term Structure Spreads", Papers in the Finance and Economics Discussion Series Cohen,Gerald D. and John Wenninger, " The Relationship Between the Spread and the Funds Rates", Federal Reserve Bank of New York Research Paper No. 9408 Cox,John C. and Ingersoll,Jonathan E. JR. and Ross,Stephen A., " A Theory of the Term Structure of Interest Rates", Econometrica(1985) 53, pp385-407 Estrella,Arturo and Hardouvelis,Gikas A., "The Term Structure as a Predictor of Real Economic Activity", The Journal of Finance (1991) 2, pp555-576 Fama,Eugene F., " The Information in the Term Structure", Journal of Financial Economics (1984) 13, pp509-528 Fama,Eugene F., " Term Premiums in Bond Returns", Journal of Financial Economics (1984) 13, pp529-546 Fama,Eugene F., " Term Premiums and Default Premiums in Money Market", Journal of Financial Economics (1986) 17, pp157-196 Fama,Eugene F. and French,Kenneth R., " Business Conditions and Expected Returns on Stocks and Bonds", Journal of Financial Economics (1989) 25, pp23-49 Friedman,Benjamin M. and Kuttner,Kenneth N., "Why Does the Paper Bill Spread Predict Real Economic Activity? ", NBER Working Paper( 1991) #3879 ━━"Money, Income, Prices and Interest Rates", The American Economic Review( 1992) 82, pp472-492 HarveY,Andrew C. , Forecasting,structural time series models and the Kalman filter( 1989),pp 1 04-1 06 ━━"The Econometric Analysis of Time Series (1981), pp 100-103 Harvey,Campbell R, " The Real Term Structure and Consumption Growth", Journal of Financial Economics (1988) 22, pp305-333 ━━"Forecast of Economic Growth from the Bond and Stock Markets", Financial Analysts Journal (1989), pp38-45 ━━"Term Structure Forecasts Economic Growth", Financial Analysts Journal (1993) 49, pp6-8 Hansen,Lars P. and Singleton,Kenneth J., " Stochastic Consumption. Risk Aversion, and the Temporal Behavior of Asset Returns", Journal of Political Economy(1983) 91, pp249-265 Green,Willian H., Econometric Analysis(1993), pp347-348 Kydland,Finn E. and Prescott,Edward C., " Time to Build and Aggregate Fluctuations", Econometrica (1982) SO, pp1345-1371 Pindyck,Robert S. and Rubinfeld,Daniel L., Econometric Models and Economic Forecasts( 1985), pp283-288 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:	[Department of Money and Banking] Theses

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