請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/15444完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 莊文議(Wen-I Chuang) | |
| dc.contributor.author | Cheng-Chih Chang | en |
| dc.contributor.author | 張成志 | zh_TW |
| dc.date.accessioned | 2021-06-07T17:40:40Z | - |
| dc.date.copyright | 2020-08-04 | |
| dc.date.issued | 2019 | |
| dc.date.submitted | 2020-07-23 | |
| dc.identifier.citation | Bansal, R., Yaron, A. (2004). Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles. The Journal of FINANCE, 59(4), 1489-1501. Booij, A. S., Van Praag, B. M. (2009). A simultaneous approach to the estimation of risk aversion and the subjective time discount rate. Journal of Economic Behavior Organization, 70(1-2), 374-388. EIOPA. (2019). Technical documentation of the methodology to derive EIOPA’s risk-free interest rate term structures. EIOPA-BoS-19/408 Epstein, L. G., Zin, S. E. (1991). Substitution, risk aversion, and the temporal behavior of consumption and asset returns: An empirical analysis. Journal of Political Economy, 99(2), 263-286. Hansen, L. P., Heaton, J. C., Li, N. (2008). Consumption Strikes Back? Measuring Long‐Run Risk. Journal of Political Economy, 116(2), 260-302. Hansen, L. P., Sargent, T. J., Scheinkman., J. (2009). Long-run Uncertainty and Value. Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica: journal of the Econometric Society, 1551-1580. Kreps, D. M., Porteus, E. L. (1978). Temporal resolution of uncertainty and dynamic choice theory. Econometrica: journal of the Econometric Society, 185-200. Laibson, D., Repetto, A., Tobacman, J. (2007). Estimating discount functions with consumption choices over the lifecycle (0898-2937). Retrieved from Paap, R., Van Dijk, H. K. (2003). Bayes estimates of Markov trends in possibly cointegrated series: An application to US consumption and income. Journal of Business Economic Statistics, 21(4), 547-563. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/15444 | - |
| dc.description.abstract | 本篇蒐集臺灣2001到2019的實質消費、實質公司盈餘、實質股利、實質收入，並以Hansen, Heaton, Li (2008)發展出的向量自我迴歸(VAR)估計終值利率(UFR)，發現實質收入對消費的長期風險影響較大，並提出及未來此主題實務上選擇變數和建構相關理論思考方向。
| zh_TW |
| dc.description.abstract | This study applied VAR model developed by Hansen et al. (2008) with real consumption, real corporate earnings, and dividends from Taiwan 50 Index, to predict the ultimate forward rate (UFR). In addition to the UFR prediction, the study shows that the long-run risk in real consumption are captured much by real income than real corporate earnings. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-07T17:40:40Z (GMT). No. of bitstreams: 1 U0001-2207202017304000.pdf: 1217590 bytes, checksum: e6f539e133906481c499ea09540fb349 (MD5) Previous issue date: 2019 | en |
| dc.description.tableofcontents | 圖表目次 ii 中文摘要 iii Abstract iv 壹、 緒論 5 貳、 估計方法 7 參、 資料集介紹和預處理 11 肆、 實證結果和探討 13 伍、 另一種假設 17 陸、 結論 18 參考文獻 19 | |
| dc.language.iso | zh-TW | |
| dc.subject | 向量自我迴歸 | zh_TW |
| dc.subject | 總體經濟 | zh_TW |
| dc.subject | 共整合 | zh_TW |
| dc.subject | 長期利率 | zh_TW |
| dc.subject | 風險 | zh_TW |
| dc.subject | cointegration | en |
| dc.subject | long-run risk | en |
| dc.subject | UFR | en |
| dc.subject | vector autoregression | en |
| dc.subject | IFRS17 | en |
| dc.title | 估計臺灣最終遠期利率 | zh_TW |
| dc.title | Measuring Ultimate Forward Rate in Taiwan | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 108-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 石百達(Pai-Ta Shih) | |
| dc.contributor.oralexamcommittee | 盧佳琪(Chia-Chi Lu),蔡芸琤(Yun-Cheng Tsai) | |
| dc.subject.keyword | 向量自我迴歸,總體經濟,共整合,長期利率,風險, | zh_TW |
| dc.subject.keyword | IFRS17,vector autoregression,long-run risk,cointegration,UFR, | en |
| dc.relation.page | 19 | |
| dc.identifier.doi | 10.6342/NTU202001748 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2020-07-23 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| U0001-2207202017304000.pdf 未授權公開取用 | 1.19 MB | Adobe PDF |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。