An Empirical Study of the Term Structure of Interest Rate Theory and the Interest Rate Forecasting Models in the Taiwan Financial Market
| Autor: | Ya-Ting Hsieh, 謝雅婷 |
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| Rok vydání: | 2011 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 99 The interest rate structure is one of important financial indicators for not only private investors but public sectors. However, the financial instruments have different maturity of long-term and short-term interest rates which is called “the Term Structure of Interest Rate”. This study attempted to inspect the term structure of interest rate theory and establish the interest rate forecast models in the Taiwan financial market. In this study, financial theories were adopted to discuss the interest rate structure including expectations theory, market segmentation theory and the liquidity preference theory. Monthly data from September 2002 to December 2010 were applied to interpret the long-term and short-term rates, the consumer price index (CPI), money supply, GDP, etc. The result of the study was unable to explain relationships between three theories of the term structure of interest rate and the financial market in Taiwan. Besides, forecasts of macroeconomic variables by applying the Vector Error Correction Model (VECM) in developing the interest rate forecast models. There are three measurement error indexes, include Root Mean Square Error (RMSE), Mean Absolute Error (MAE) and Mean Absolute Percentage Error (MAPE). The measurement showed it within the acceptable range. Results of the study might provide forecasting information of the interest rates for choosing financial strategies of private investors and proposing monetary policies of the government. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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