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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/73974


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    題名: The Term Structure of Taiwan Money Market Rates And Rational Expectation
    作者: Shen, Chung-Hua
    沈中華
    貢獻者: 金融系
    日期: 1998
    上傳時間: 2015-03-24 11:45:19 (UTC+8)
    摘要: 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
    關聯: International Economic Journal , vol. 12, no. 1, pp. 105-119
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1080/10168739800000007
    DOI: 10.1080/10168739800080007
    顯示於類別:[金融學系] 期刊論文

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