The Empirical Study of excess returns on Singapore government bonds in Smooth Transition Error Correction Model

• Main Authors: Shao-Hsuan Lee, 李劭萱
• Other Authors: Wu-Jen Chuang
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/20139867600078696789

碩士 === 淡江大學 === 財務金融學系碩士班 === 95 === The purpose of this paper is to investigate the excess holding period returns on Singapore government bonds. Forward premium, the slope of the term structure, and excess stock returns are all employed as risk factors. A nonlinear smooth transition error correction model is specified and estimated with an error correction term as a proxy for the transition variable. The first issue is due to the long-run equilibrium relationship between excess returns on government bonds and risk factors. The second issue is related to the examination of the existence of nonlinear adjustments in excess returns on government bonds. The empirical results show that there is only one cointegrating relationship between excess returns on Singapore government bonds and risk factors, and excess stock returns act as a weak exogenous variable. The dynamic adjustment behavior of excess returns on government bonds is nonlinear and will be better characterized by logistic smooth transition error correction model (LSTECM).