The Dynamic Relationship between Bond Prices and Interest Rates:Empirical Evidence for the Five PIIGS of European Union

碩士 === 大葉大學 === 管理學院碩士在職專班 === 100 === In this paper we explore the relationship between 3,5 and10-year bond prices and interest rates among the PIIGS of European Union. Monthly data are obtained from IMF database, which spanned from 1999:10 to 2010:12. We utilize the panel unit root, and a panel ve...

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Bibliographic Details
Main Authors: Liu,Ching, 劉璟
Other Authors: Liang,Chin-Chia
Format: Others
Language:zh-TW
Published: 2012
Online Access:http://ndltd.ncl.edu.tw/handle/25581314846206477856
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Summary:碩士 === 大葉大學 === 管理學院碩士在職專班 === 100 === In this paper we explore the relationship between 3,5 and10-year bond prices and interest rates among the PIIGS of European Union. Monthly data are obtained from IMF database, which spanned from 1999:10 to 2010:12. We utilize the panel unit root, and a panel vector autoregression methodology to study the dynamic relationship between bond prices and interest Rates. Our finding suggests that the impact of interest rates shocks have significantly negative effect on the bond market . We provide some policy implications that can be used us guiding tools for monetary policy and investment decision.