新加坡公債超額報酬之非線性平滑轉換誤差修正模型實證研究

The Empirical Study of excess returns on Singapore government bonds in Smooth Transition Error Correction Model

李劭萱(Shao-Hsuan Lee)

指導教授 ： 莊武仁

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.2007.00913

摘要

本文以新加坡十年期公債為研究對象，應用非線性平滑轉換誤差修正模型，主要目的在探討新加坡公債之超額持有期間報酬的短期動態調整行為是否存在非線性的現象，並且研究公債之超額持有期間報酬與風險因子間的長期均衡關係。本文選用遠期貼水、利率期限結構斜率及超額股票報酬等三個變數作為風險因子變數，且以誤差修正項作為分析公債超額持有期間報酬非線性平滑轉換誤差修正模型之轉換變數。實證結果整理如下：
1. 新加坡公債之超額持有期間報酬與遠期貼水、利率期限結構斜率及超額股票報酬僅存在一條共積關係，且超額股票報酬為弱外生變數，表示超額股票報酬雖然存在此共積關係中，但在關係失衡時並不作調整。
2. 新加坡公債之超額持有期間報酬呈現非線性調整，且其調整路徑為logistic型態之轉換行為。

關鍵字

利率 ； 超額報酬 ； 非線性平滑轉換誤差修正模型

並列摘要

The purpose of this paper is to investigate the excess holding period returns on Singapore government bonds. Forward premium, the slope of the term structure, and excess stock returns are all employed as risk factors. A nonlinear smooth transition error correction model is specified and estimated with an error correction term as a proxy for the transition variable.

The first issue is due to the long-run equilibrium relationship between excess returns on government bonds and risk factors. The second issue is related to the examination of the existence of nonlinear adjustments in excess returns on government bonds.

The empirical results show that there is only one cointegrating relationship between excess returns on Singapore government bonds and risk factors, and excess stock returns act as a weak exogenous variable. The dynamic adjustment behavior of excess returns on government bonds is nonlinear and will be better characterized by logistic smooth transition error correction model (LSTECM).

並列關鍵字

Interest rates ； Excess returns ； Nonlinear Smooth Transition Error Correction Model

參考文獻

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