Autor:	Ju-Yu Fang, 方如玉
Rok vydání:	2008
Druh dokumentu:	學位論文 ; thesis
Popis:	96 The aim of this paper is to test the term structure of interest rates. The paper develops a test with the null of unit root that allows for the possibility of an unknown number of structural breaks in the data-generating process. The test is based on the fact that the behavior of a breaking process can often be captured using single frequency component of Fourier approximation. The data we use are daily interest rates for the Taiwan and Japan. The results show that our proposed test supports the expectation theory of the term structure of interest rates, and show that structural breaks are present in the term structure of interest rates.
Databáze:	Networked Digital Library of Theses & Dissertations
Externí odkaz:	http://ndltd.ncl.edu.tw/handle/23627010517414046448 Zobrazit plný text záznamu