Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 郑会荣教授 (金融学系) |
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| 数位物件识别号 (DOI) ○○@http://aims.cuhk.edu.hk/converis/portal/Publication/2$@○○ |
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Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/2Scopus source URL
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摘要This paper examines the intertemporal behavior of the Hong Kong short-term interest rate via a mean-reverting model, Vasicek (1977). Using Goldfeld and Quandt's switching regression method that allows for a gradual switch in the regression parameters, three interest rate regimes are uncovered and parameter estimates are found to be unstable over the sample period, July 1984 to August 1993. Significant mean-reversion occurs over the full sample period as well as for each individual regime. One of the two regime switch points corresponds to the imposition of the New Accounting Arrangement by the Hong Kong Government in July 1988. Since the mean and the level of uncertainty change across subperiods, care must be exercised in partitioning observations across time and in applying a short-term diffusion model in interest rate and term structure related analysis. ? Blackwell Publishers Ltd. 1996.
着者Cheng J.W.
期刊名称Journal of Business Finance and Accounting
出版年份1996
月份10
日期1
卷号http://aims.cuhk.edu.hk/converis/portal/Publication/23
期次7
出版社Blackwell Publishing Inc.
出版地United Kingdom
页次1059 - 1068
国际标準期刊号0306-686X
语言英式英语
关键词Gradual regime shift, Interest rate volatility, Short-term interest rate, Switching regression, Vasicek model
