Affecting Factors and Forecasts of Ten-year Government Bond Yields and Liquidity in Taiwan
碩士 === 東吳大學 === 經濟學系 === 102 === This study analyzes the affecting factors of 10-years bond yield and liquidity in Taiwan. We estimate the simultaneous relation between bond yield and liquidity by 2SLS. Then we forecast the bond yield and liquidity by simultaneous model and ARIMA model. The empirica...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/32751981910182302016 |
| Summary: | 碩士 === 東吳大學 === 經濟學系 === 102 === This study analyzes the affecting factors of 10-years bond yield and liquidity in Taiwan. We estimate the simultaneous relation between bond yield and liquidity by 2SLS. Then we forecast the bond yield and liquidity by simultaneous model and ARIMA model.
The empirical results are as follows:
1.The affecting factors of bond yield : Bond liquidity and Money Supply are significantly negative associated with the bond yield .Industrial production index, 10-years U.S. government bond yield , and inflation rate are significantly as positive associated with the bond yield.
2.The affecting factors of bond liquidity : Default spread and bond yield is insignificant associated with the bond liquidity. Term spread is significantly negative associated with the bond liquidity. Bond funds is significantly positive associated with the bond liquidity.
3.The forecasting results of bond yield and liquidity have different suitable
Choice between simultaneous and ARIMA model
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