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政大典藏 > College of Commerce > Department of Money and Banking > Periodical Articles > Item 140.119/73974

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/73974

Title:	The Term Structure of Taiwan Money Market Rates And Rational Expectation
Authors:	Shen, Chung-Hua 沈中華
Contributors:	金融系
Date:	1998
Issue Date:	2015-03-24 11:45:19 (UTC+8)
Abstract:	The expectation theory of the term structure was investigated in this study by employing the 10 day short and 30, 90 and 180 day long commercial paper rates in Taiwan. The results indicate that the theory is rejected for the shorter maturity, such as (10,30) days rates, but cannot be rejected for the longer maturities, such as (10, 90) and (10,180) day rates. The reason that the short maturity does not work out well for the expectation theory is probably due to noise, e.g. monthly factor, contaminated in the high frequency date, but not in the low frequency data. Since all rates are cointegrated, the policy “Operation Twist” is not suggested
Relation:	International Economic Journal , vol. 12, no. 1, pp. 105-119
Data Type:	article
DOI link:	http://dx.doi.org/10.1080/10168739800000007
DOI:	10.1080/10168739800080007
Appears in Collections:	[Department of Money and Banking] Periodical Articles

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