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    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/2942


    Title: An Empirical Study of Term Stucture In Taiwan Bond Market Based on Nonlinear Dynamic Model
    Authors: TZU-WEN LIN
    Contributors: Department of International Business
    Keywords: Term Structure of Interest Rates;Threshold Autoregressive Model;Momentum- Threshold Autoregressive Model
    Date: 2005
    Issue Date: 2009-11-16 19:33:27 (UTC+8)
    Publisher: Asia University
    Abstract: This paper examines the dynamic adjustment to long-run relationship between Taiwan?s government bond interest rates with different maturities. We employ a methodology that permits threshold and the momentum-threshold adjustment towards equilibrium. To compare with past research, we assume that the dynamic adjustment of yield spreads in different maturity bonds. Our results support the expectations hypothesis of the term structure of interest rate with dynamic adjustment using Taiwan interest rates. It maybe erroneous by using symmetry adjustment assumption to build the term structure of interest rates. Furthermore, when interest was down, we find asymmetric price transmissions between different maturity bonds in the short and long run. But it was not done when interest was up.
    Appears in Collections:[國際企業學系] 博碩士論文

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