An empirical analysis the effect of interest-rate variance on term structure of interest rate

• Main Authors: Mei-Ching Chen, 陳玫靜
• Other Authors: 邱建良
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/27332820512595850711

碩士 === 淡江大學 === 財務金融學系碩士班 === 93 === The aim of this study is to empirically verify the effect of interest-rate variance on the shape of the yield curve with the use of ARCH-M model for the short-rate changes and the yield curve slope, that based on sample taken from developed countries and developing countries. The empirical results show as follows: 1. The relationship of the change in interest rate variance that lead to a change in short term interest rate is better explained in our sample from the develop countries compare with the sample taken from developing countries. 2. The relationship between the change in interest rate variance to the change in its slope of yield curve do statistic significant value within 95% confidence interval in our sample both taken from developed and developing countries respectively. 3. The positive relationship we proposed under our analysis does statistically significant value within 99% interval both in terms of its change in interest rate variance and in its slope of yield curve in our sample taken from Japan, Germany, Canada, Taiwan, Thailand and Singapore. However for countries that we find a negative correlated relationship as in United Kingdom and South Korea. 4. Both positive and negative relationship between the change in interest rate variance to the change in short term interest rate is independent of country development level. Both positive and negative relationship between the change in interest rate variance to the change in its slope of yield curve is independent of country development level.