The Behavior of Commercial Paper Rates: Data Frequencies and Great Events

Abstract

由於包含貨幣市場金融商品的投資組合逐漸受到投資人的歡迎，所以許多相關研究已經開始探討短期利率行為。本研究昌在調查4種不同頻率（日、遇、月與季資料）的商業本票利率動態變化與5項重大事件（臺海導彈危機、亞洲金融危機、921大地震、2000年總統大選與911恐怖攻擊）對商業本票利率行為的影響。實證結果首先發現，商業本票的日、週、月與季報酬率在「極」長期（超過20年）是負自我相關。其次，重大事件對於商業本票利率的均數復歸速度產生顯著地衝擊。再者，商業本票利率水準高低對商業本票利率波動性具有關鍵性的影響。最後，商業本票利率的隨機漫步假設在低頻率資料（月與季資料）被拒絕的證據是比高頻率資料（日與週資料）更為明顯。

The behavior of short-term interest rates has been examined in numerous studies because portfolios, including money market instruments, are popular with investors. This study examines the dynamics of commercial paper rates across the four different frequencies (i.e., daily, weekly, monthly, and quarterly data) and the influence of the five great events (i.e., the Taiwan Strait missile crisis, the Asian financial crisis, the 921 earthquake, the 2000 presidential election, and the 911 terrorist attacks) on commercial paper rate behavior. The empirical results indicate that first the daily, weekly, monthly, and quarterly returns on commercial papers are all negatively autocorrelated in the ”very” long term (more than 20 years). Second, the great events have an important impact on the mean-reverting speed of commercial paper rates. Third, the level of commercial paper rates is crucial to the determination of commercial paper rate volatility. Finally, the rejection of the random walk hypothesis of commercial paper rates for low frequency data (monthly and quarterly data) is stronger than that for high frequency data (daily and weekly data).