Summary: | 碩士 === 佛光大學 === 經濟學系 === 96 === Forecasting The Short Term Interest Rate of Taiwan
Graduate:Hu. Pei-Chen
Adviser:Dr. Shei. Shun-Yi
Abstract
Short-term interest rate plays an important role in both the financial theory and the empirical research. Nominal interest rate not only impacts individual investment strategies but also affects financial asset pricing. It is also regarded as one of the most adecisive factors in determining the prices of stock and bond. Furthermore, option and future markets also rely on nominal interest rate to establish its pricing models.
For these reasons, this study focuses on Taiwan’s seven macroeconomic which factors are considered to have significant influence on the short-term interest rate:the 30-day commercial paper rate ,using monthly date from January 1985 to December 2006. The paper uses simple OLS model to analyze the relationship between the 30-day commercial paper rate and the chosen seven factors,including M1b, stock index, unemployment rate, economic growth rate, GDP, CPI, and leading economic indicators index.
The result shows that rising M1b, stock index and CPI all have positive influence on interest rate. While, the unemployment rate and economic growth rate variables have negative effects on the interest rate . The paperl concludes that the United States and the global leading economic indicators index variable which is highly correlated with economies has significant negative effect on the 30-day commercial paper rate,and the direction is opposite. And, GNP is the only variable anong these seven which hardly has any impact on the interest rate.
【Keyword】:Short-term interest rate、commercial paper rate、macroeconomic variable、
simple OLS model
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