政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/78447

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文筆數/總筆數 : 113392/144379 (79%)
造訪人次 : 51214111 線上人數 : 911

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/78447

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/78447

題名:	Determinants of New Taiwan Dollar Interest Rate Swap Spreads
作者:	Lu, Yang-Chen;Wang, Yu-Chun;Lee, Hsiu-Chuan 王佑鈞
貢獻者:	金融系
關鍵詞:	利率交換價差;利率期限結構;流動性風險;違約風險;市場狀態 Swap spreads;term structure of interest rates;liquidity risk;credit risk;market conditions
日期:	2013-06
上傳時間:	2015-09-15 09:41:36 (UTC+8)
摘要:	本研究欲探討臺灣利率交換市場中影響交換價差的因素。實證結果指出，就全樣本期間而言，利率期限結構、流動性風險的變化與違約風險的變化均為交換價差的重要決定因素，而違約風險則為決定交換價差最重要的因素。此外，在空頭時期違約風險為決定交換價差最重要的因素，在多頭時期則依契約到期日而不同。 This study examines the determinants of New Taiwan Dollar interest rate swap spreads. Prior literature provides evidence that the term structure of interest rates, liquidity, and credit risk comprise the swap spreads. The empirical results for the full sample period show that these factors are all important in affecting the swap spreads and that default risk is the most important factor among the five components. Furthermore, default risk plays a more important role than other factors in a bear market, but the key factor varies with the maturities of swap contracts in a bull market.
關聯:	財務金融學刊, 21(2), 91-120
資料類型:	article
DOI 連結:	http://dx.doi.org/10.6545/JFS.2013.21(2).4
DOI:	10.6545/JFS.2013.21(2).4
顯示於類別:	[金融學系] 期刊論文

文件中的檔案:

檔案	描述	大小	格式	瀏覽次數
91-120.pdf		1118Kb	Adobe PDF2	653	檢視/開啟

在政大典藏中所有的資料項目都受到原著作權保護.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

資料載入中.....