| 作者(Author) | Chia-Wu Lu, Hsien-Hsing Liao, Tsung-Kang Chen,
Hui-Hua Lin |
| 篇名(Article title) | A Factor-dependent Interest Rate Model---A Combination of GARCH(1,1) and Varying Coefficient Model Approach |
| 期刊名(Journal name) | Review of Securities and Futures Markets(證券市場發展季刊)
|
| 國際期刊(International Journal) | TSSCI |
| 中文摘要(Abstrct) | 本研究利用變異性參數模型與GARCH(1,1)模型兩者來建置「因子相依利率模型」，此模型可藉由利率參數的動態調整，來反映總體經濟因子的變動及利率波動的群聚效應。本研究以美國一個月期國庫券利率之月資料進行實證，結果發現：不論在何種形狀之利率期間結構（上升、下降或平坦）或不同的樣本估計期間，本文所提出之因子相依利率模型，皆能較固定參數模型具有更佳的預測效力。此外，本研究亦發現，利差變數對下降型態的利率期間結構具有較高的資訊內涵。 |
| ABSTRCT | By integrating a varying coefficient model with a GARCH(1,1) model, this study develops a factor-dependent interest rate model framework which is able to dynamically adjust the parameters of the model to reflect both the changes of the factor of the macro-economy and the effects of volatility clustering. Using American one-month treasury rate, empirical results of this study show that the proposed factor-dependent models outperform fixed-parameter models in different shapes of term structure (downward-sloping, upward-sloping, and flat) and in different estimation periods. Additionally, this study also finds that the term-spread variable is more informative when term structure is downward-sloping. |
| 中文關鍵字(Keyword) | 因子相依利率模型、變異性參數模型、GARCH(1,1)、利率波動群集效應 |
| KEYWORD | Factor-dependent interest model; Varying coefficient model; GARCH(1,1); Volatility clustering effects |
| 卷期(Volume No) | Vol.26 No.1 |
| 頁數(Page number) | PP.1~30 |
| 年份(Year) | 2014/3 |
| 語言(Language) | 2 |