短期利率的動態行為：GARCH-X模型之應用

The Empirical Analysis of the Short-Term Interest Rate：Evidence from a GARCH-X model

洪棠譑(Tang-Chiao Hung)

指導教授 ： 李命志

淡江大學/商學院/財務金融學系碩士班/碩士(2007年)

https://doi.org/10.6846/TKU.2007.00405

摘要

本研究探討美國短期利率模型之實證研究，並且在利率模型漂浮項分為對稱與不對稱兩種形式，在擴散項部份除了考慮水準效果以外，分析加入1979年10月至1982年9月狀態改變之虛擬變數與1994年1月以後聯準會利率政策透明化對美國三個月國庫券利率波動性的影響，採用一個新的方法稱為GARCH-X模型，並考量條件變異數在不同分配下，對捕捉短期利率波動之效果；透過上述的方法使條件變異數的傳統模型與古典的短期利率模型結合。實證結果發現漂浮項不對稱的GARCH-X模型不但在解釋波動上優於其他擴散模型，此外更反映了正負衝擊所帶來的不對稱現象，因此可視為美國三個月國庫券利率之最佳模型。

關鍵字

短期利率 ； 波動性 ； 狀態變化

並列摘要

The short-term interest rate is fundamental to many of theoretical and empirical financial, yet no consensus has emerged on the dynamics of its volatility.
This paper aims to capture the dynamics of short-term interest rate volatility by allowing volatility to depend on both level effects and information shocks. Using a GARCH-X model, asymmetric linear GARCH-X model and considering the conditional variance in normal and GED distribution three main conclusions emerge from the present study.
First, we find that the 3-month Treasury bill rate series reach its respective historical high levels during the early 1980s. There have been significant regime shifts in the way that Federal Reserve handled the money supply and interest rates during the sample period considered in this paper. Specifically, October 1979 - September 1982 period witnessed the Federal Reserve's experiment. Second, a reduction in the volatility of the 3-month Treasury bill rate due to disclosure of policy actions supports the resolution of the uncertainty hypothesis. Finally, the asymmetric linear drift GARCH-X-GED in the short-term interest rate is the best model.

並列關鍵字

GARCH-X ； GED ； Asymmetric

參考文獻

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