| Summary: | 碩士 === 東吳大學 === 國際貿易學系 === 95 === Financial market has being developed in the world quickly and manifold financial securities open different new ways to investors The pricing of financial securities, the management of risk, the volatility of prediction, and the evaluation of performance already become more relevant topics. However, the trend of most macroeconomic variables quite often is used to analyze these problems such exchange rate, inflation, economic growth rate, and interest rate. Not only can they affect all financial goods, but also most important observation indicators. By previous studies, we find plenty of research about interest rate, but it lack to yield spread between long term and short term bond in histories. Thus we will be treat interest rate spread and decided factors.
The study examines how spread can changes when inflation, exchange rate, and economic grow rate fluctuate. Samples data select the spread of Canada and United State from Jan.1980 to Mar. 2006. We test interest rate spread by Hamilton Markov Switching Regime Model. Our results have some different between Canada and U.S. In Canada, low-inflation and high-inflation show positive relation with spread in 1% significant level. However, economic grow rate and exchange rate different present negative relation in 1% significant level. In U.S., low-inflation is only inverse effect with spread, but high-inflation has not significant relation. On the other hand, the economic grow and exchange rate different are positive relation with spread in 1% significant level.
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