成功大學博碩士論文系統

簡易檢索 / 詳目顯示

回結果列表

研究生：	李玟靜 Lee, Wen-Chin
論文名稱：	國際資本流動對利率期限結構之影響 How international capital flows affect the term structure of interest rate?
指導教授：	王澤世 Wang, Alan T.
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融研究所 Graduate Institute of Finance
論文出版年：	2009
畢業學年度：	98
語文別：	英文
論文頁數：	74
中文關鍵詞：	資本流動、債券流動、利率期限結構、交叉相關、向量自我迴歸
外文關鍵詞：	capital flows, bond flows, term structure of interest rate, Cross Correlogram, VAR
相關次數：	點閱：155 下載：6
分享至:	分享至facebook 分享至twitter

查詢本校圖書館目錄查詢臺灣博碩士論文知識加值系統勘誤回報

本研究主旨在探討資本流動對於G7和亞洲國家間的長期、短期利率以及長短期利率差之間的關係。實際上在國際間存在各種類別的資本型態，本篇研究著重在美國持有外國債券進而影響他國的利率期限結構。此研究主題也相當是債券流動對利率期限結構之影響。我們是以最小平方法檢測模型，並且以交叉相關分析和向量自我迴歸檢測，進而觀察出變數之間的動態關係。
經過這些檢測後，我們發現在一些國家中存有資本流動與利率期限結構間的關係。第一，前期債券流動與當期長期利率存有負相關；而當期長期利率與後期債券流動存有正相關。第二，在亞洲國家中，債券流動對於長期利率的改變之間存有立即的反應。第三，除了台灣，其餘亞洲國家的短期利率與債券流動存在顯著關係。最後，加拿大、德國與英國的利率變動與債券流動有回饋的因果關係。

The objective of this article is to examine the relationship between capital flows, long-term interest rates, short-term interest rates and interest rates spread around G7 and the Asian countries. Because there is a variety of capital types, we focus on US residents holding or selling foreign country bonds to change the term structure of interest rate. It could be called how foreign bond flows affect the term structure of interest rate. We develop a Ordinary Least Squares equations model and then use Cross Correlogram and VAR framework to gain further insights into the dynamic interactions between these variables.
After a series of test, we find several factors concerning the behavior of these variables in some countries. First, previous bond flows are negatively correlated with long-term interest rate, and lagged bond flows are positively correlated with long-term interest rate. Second, there is immediately reaction between bond flows and long-term interest rate in Asian countries. Third, except for Taiwan, the other Asian countries have a significant relation between shot-term interest rate and bond flows. Finally, in Canada and Germany, bond flows and long-term interest rate have feedback relation on Granger Causality method. Similar situation also occur between bond flow and UK interest rate spread.

CONTENTS
ABSTRACT .............................................I
摘要 ............... II
Chapter 1 Introduction ........................................... 1
Chapter 2 Literature Review ........................ 5
2.1 Capital Flow ............ 5
2.1.1 Capital flow and exchange rate ..................... 5
2.1.2 Capital flow and stock return .......................... 6
2.2 Term structures of interest rate ......................................... 7
2.2.1 Long-term interest rate: influence in economics .............. 8
2.2.2 Short-term interest rate: influence in economics .............. 9
2.2.3 Interest rate spread: influence in economics .................. 11
2.3 Capital flows and Interest rate ............................................. 12
Chapter 3 Methodology and Data .......................... 17
3.1 Methodology ......... 17
3.1.1 Ordinary Least Squares model ................................. 17
3.1.2 Seemingly Unrelated Regressions.......................... 17
3.1.3 Cross Correlogram ............................................. 18
3.1.4 Vector Autoregression (VAR) ............................... 18
3.1.5 Lag length selection ............................................ 19
3.1.6 Granger causality test ........................... 20
3.2 Data ............. 22
Chapter 4 Empirical Results ................................. 24
4.1 Series Statistics ....... 24
4.1.1 G7 Countries Long-term Interest Rate .......................... 24
4.1.2 Asian Countries Long-term Interest Rate ....................... 25
4.1.3 G7 Countries Short-term Interest Rate ......................... 26
4.1.4 Asian Countries Short-term Interest Rate .................. 27
4.1.5 G7 Countries Interest Rate Spread ................................ 27
4.1.6 Asian Countries Interest Rate Spread ............................ 28
4.1.7 G7 Countries Net Capital Flow...................................... 28
4.1.8 Asian Countries Net Capital Flow ................................ 29
4.2 Ordinary Least Squares approach ..................................................................................................... 29
4.2.1 Ordinary Least Squares for G7 countries ...................... 30
4.2.2 Ordinary Least Squares for Asian countries ................... 31
4.3 Seemingly Unrelated Regression Models .............................. 32
4.3.1 Seemingly Unrelated Regressions for G7 countries ......... 32
4.3.2 Seemingly Unrelated Regressions for Asian countries.... 33
4.3.3 Interaction Model estimation for G7 countries .............. 33
4.3.4 Interaction Model estimation for Asian countries ........... 34
4.4 Cross Correlogram ....................................... 35
4.4.1 Net capital flow and long-term interest rate in G7 countries ....................................................... 35
4.4.2 Net capital flow and long-term interest rate in Asian countries .................................. 36
4.4.3 Net capital flow and short-term interest rate in G7 countries ....................................... 36
4.4.4 Net capital flow and short-term interest rate in Asian countries ...................... 37
4.4.5 Net capital flow and interest rate spread in G7 countries ............................... 37
4.4.6 Net capital flow and interest rate spread in Asian countries ................................................. 38
4.5 VAR analysis ...................................................................... 38
4.5 Granger causality test ........................................................... 40
Chapter 5 Conclusion .......................................... 41
References ............................................................. 43
APPENDIX
Table 1-1 Series Statistics-G7 Countries Long-term Interest Rate ............... 46
Table 1-2 Series Statistics- Asian Countries Long-term Interest Rate ....................................................................... 46
Table 1-3 Series Statistics-G7 Countries Short-term Interest Rate ................ 47
Table 1-4 Series Statistics-Asian Countries Short-term Interest Rate ............ 47
Table 1-5 Series Statistics-G7 Countries Interest Rate Spread ...................... 48
Table 1-6 Series Statistics-Asian Countries Interest Rate Spread.................. 48
Table 1-7 Series Statistics-G7 Countries Net Capital Flow .......................... 49
Table 1-8 Series Statistics-Asian Countries Net Capital Flow ..................... 49
Table 2-1 Ordinary Least Squares estimation for G7 countries.................... 50
Table 2-2 Ordinary Least Squares estimation for Asian countries ................ 51
Table 3-1 Seemingly Unrelated Regressions for G7 countries ..................... 52
Table 3-2 Seemingly Unrelated Regressions for Asian countries.................. 53
Table 3-3 Interaction Model estimation for G7 countries ............................. 54
Table 3-4 Interaction Model estimation for for Asian countries.................... 55
Table 4-1 Cross Correlogram: Long-term Rate and Net Capital Flow in G7 Country ................................................ 56
Table 4-2 Cross Correlogram: Long-term Rate and Net Capital Flow in Asian Country ....................................... 57
Table 4-3 Cross Correlogram: Short-term Rate and Net Capital Flow in G7 Country ................................................ 58
Table 4-4 Cross Correlogram: Short-term Rate and Net Capital Flow in Asian Country ........................................... 59
Table 4-5 Cross Correlogram: Interest Spread and Net Capital Flow in G7 Country ................................................. 60
Table 4-6 Cross Correlogram: Interest Spread and Net Capital Flow in Asian Country ............................................. 61
Table 5-1 Bivariate VAR estimates: Net capital flow and Long-term interest rate ...................................... 62
Table 5-2 Bivariate VAR estimates: Net capital flow and Short-term interest rate ............................................. 64
Table 5-3 Bivariate VAR estimates: Net capital flow and Interest rate spread ............................................. 66
Table 6-1 VAR Granger Causality/Block Exogeneity Wald Tests: Net Capital Flow and Long-term interest rate ...... 71
Table 6-2 VAR Granger Causality/Block Exogeneity Wald Tests:Net Capital Flow and Short-term interest rate ....... 72
Table 6-3 VAR Granger Causality/Block Exogeneity Wald Tests:Net Capital Flow and Interest rate spread ............. 72
Figure 1 Granger Causality Result ................................................ 74
                                    

References
Ashoka Mody, Antu Panini Murshid. (2005). Growing up with capital flows. Journal of International Economics, 65, 249– 266
Brennan, M. J., Cao, H. H. (1997). International portfolio investment flows. The Journal of Finance, 52(5), 1851-1880.
Bohn, H., Tesar L. L. (1996). U.S. equity investment in foreign markets: portfolio rebalancing or return chasing? The American Economic Review, 86(2), 77-81.
Calvo, G. A., Leiderman, L., Reinhart, C. M. (1994). Capital Inflows to Latin American: the 1970s and 1990s. Munich Personal RePEc Archive, 4, 123-148.
C. W. J. Granger. (1969). Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica, 37, 424–438.
Chuhan, Punam, Claessens, Constantijn A. ,Mamingi, Nlandu. (1998). Equity and bond flows to Asia and Latin America: the role of global and country factors. Journal of Department Economics Vol. 55, 439-463
Chander Kant. (2005). Capital mobility among advanced countries. Journal of Policy Modeling, 27, 1067–1081
Edsel L. Beja Jr. (2007). Brothers in distress: Revolving capital flows of Indonesia, Malaysia, and Thailand. Journal of Asian Economics, 18, 904–914
Francis E. Warnock, Veronica Cacdac Warnock. (2009). International capital flows and U.S. interest rates. Journal of International Money and Finance. 28, 903–919
F. Pasquale. (2007). Testing for Granger causality between stock prices and economic growth. Munich Personal RePEc Archive, 2692.
Freferic S. Mishkin. (2009). How to Get The Fed Out Of Its 'Box'. The Wall Street Journal
44
http://online.wsj.com/article/SB124562899626335803.html
Herbert G. Grubel.(1968).Internationally diversified portfolios: welfare gains and capital flows. American Economic Review.58,1299-1314
International Monetary Fund ―International Financial Statistics‖ (2009) http://www.imfstatistics.org/imf/
D. N. Joanes, C. A. Gill. (1998). Comparing measures of sample skewness and kurtosis. Journal of the Royal Statistical Society (Series D): The Statistician 47 (1), 183–189.
Eric W. Weisstein. (1962). Pearson's Skewness Coefficients. MathWorld http://mathworld.wolfram.com/PearsonsSkewnessCoefficients.html
Lucio Sarno, Mark P. Taylor. (1998). Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation. Weltwirtschaftliches Archiv 134:1, 69-98
Martin Feldstein, Charles Horioka. (1980). Domestic Saving and International Capital Flows. Economic Journal .90, 314–329
Michael R. Pakko. (2000). Do high interest rates stem capital outflows? Economics Letters, 67, 187–192
Michael Kumhof. (2004). Sterilization of short-term capital inflows—through lower interest rates?. Journal of International Money and Finance, 23, 1209–1221
Frenderic S. Mishkin. Stanley G. Eakins (2007). Finacial Markets and Institutions. Addison-Wesley. ISBN 0-321-05064-9
Tesar, L. L., Werner, I. M. (1994). International equity transactions and U.S. portfolio choice. The Internationalization of Equity Markets, 185-215
Tesar, L. L., Werner, I. M. (1995). U.S. equity investment in emerging stock markets. The World Bank Economic Review, 9(1), 109-130.
Warther, V.A.(1995). Aggregate mutual fund and security returns. Journal of Financial
45
Economics,39,209-235
Yoonbai Kim. (2000). Causes of capital flows in developing countries. Journal of International Money and Finance, 19, 235–253
Arnold Zellner. (1962). An efficient method of estimating seemingly unrelated regression equations and tests for aggregation bias. Journal of the American Statistical Association 57: 348–368.
中文參考文獻
王玉梅(2000)，「殖利率曲線在亞洲金融風暴之前、之後和期間內與股價、匯率的相關性」，東吳大學國際貿易學系碩士論文
喬治.達格尼諾(2002) ，「透析經濟、聰明投資」，麥格羅希爾出版
李建儀(2006)，「以時間數列預測台灣公債市場之利率期限結構」，國立高雄第一科技大學財務管理研究所碩士論文
林建龍(2008)，「資本流動與股匯市之互動關係-以亞洲開發中國家為例」，國立成功大學財務金融研究所碩士論文
許馨云 (2008)，「資本流動與股匯市之互動關係-以G7國家為例」，國立成功大學財務金融研究所碩士論文
Watt Sten (2005)，「Fed認為債市走勢正在削弱加息的效力」，華爾街日報
Greg Ip (2006)，「貝南克分析長期利率難題」，華爾街日報
Mark Whitehouse. Serena NG (2006)，「美國長期利率開始攀升」，華爾街日報
Yuka Hayashi . Justin Lahart，(2006)，「日本經濟復甦推動長期利率走高」，華爾街日報
Paul Beckett，(2008)，「印度央行雙管齊下遏制通脹」，華爾街日報
Jon Hilsenrath.Joellen Perry. Sudeep Reddy，(2008)，「主要央行聯手出擊，難撫市場緊張情緒，」華爾街日報
周小川(2008)，「一直在密切監測熱錢流入」，華爾街日報
Alan Greenspan，(2009)，「格老鳴冤﹕美聯儲不是住房泡沫禍首」，華爾街日報

校內：立即公開
校外：立即公開

簡易檢索 / 詳目顯示

相關論文