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Title: |
The Term Structure of Taiwan Money Market Rates and Rational Expectation |
| Author: |
Shen, Chung-Hua |
| Author
Affiliation: |
National
ChengChi U |
| Source: |
International Economic Journal, Spring 1998, v. 12, no. 1, pp. 105-119 |
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Publication Date: |
Spring 1998 |
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Abstract: |
The expectation theory of the term
structure was investigated in this study by employing the 10 day short
and 30, 90 and 180 day long commercial paper rates in Taiwan. The
results indicate that the theory is rejected for the shorter maturity,
such as (10, 30) days rates, but cannot be rejected for the longer
maturities, such as (10, 90) and (10, 180) days rates. The reason that
the short maturity does not work out well for the expectation theory is
probably due to noise, e.g. monthly factor, contaminated in the high
frequency data, but not in the low frequency data. Since all rates are
cointegrated, the policy "Operation Twist" is not suggested. |
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