臺灣博碩士論文加值系統

本研究以Nelson & Siegel為模型，利用高斯牛頓法迭代求解，估計台灣公債殖利率曲線。實證結果發現，此模型可捕捉市場上殖利率期限結構之形狀：正斜率帶駝峰狀，負斜率帶凹谷狀，以及單調遞增。此篇研究更是以台灣公債為資料，建構台灣公債交易之策略，以此探討台灣公債市場是否存有套利機會，並發現Nelson & Siegel模型可有效地估計台灣公債利率期限結構，並可視為債券交易策略背後之可靠工具。

This paper uses Nelson & Siegel model, the parsimonious model to fit the term structure in Taiwan bond market. We use the Newton-Gaussian method to estimate parameters of the yield curves. During the observation period, the estimated yield curve had various shapes. Nelson & Siegel model could describe the shapes of yield curves: monotonic, humped and S-shaped and is consistent with the real market. In addition, this paper will develop some trading strategies to examine whether Nelson & Siegel model could be a powerful tool to estimate the term structure interest rate in Taiwan bond market

1.Introduction……………………………………………………..1
1.1 Research Structure ………………………………………….4
2.Literature Review……………………………………………...5
3.Methodology……………………………………………………..9
3.1 ModelConstruction………………………………..........9
3.2 Gaussian-Newton Method………………………………………11
3.2.1 nonlinear regression………………………………………11
3.2.2 recursive method…………………………………………….12
4. Empirical results……………………………………………...15
4.1 Data sources……………………………………………….....15
4.2 Term structure estimation……………………………..…..15
4.3 Strategies return……………………………………………20
5.Conclusions……………………………………………………….30
Appendix A……………………………………………………………31
Appendix B……………………………………………………………33
References…………………………………..……………………40

1. Cox, J.C., Ingersoll, J.E. and S.A. Ross(1985.a),”An Intertemporal General Equilibrium Model of Asset Prices.”, Econometric, Vol.53,p.p. 363-384.
2. Cox, J.C., Ingersoll, J.E. and S.A. Ross(1985.b),”Theory of the Term Structure of Interest Rate.”, Econometric, Vol.53,p.p.385-407.
3. McCulloch, J.H.(1971),” Measure the Term Structure of Interest Rates.”, Journal of Business, p.p. 19-31.
4. McCulloch, J.H.(1975),”The Tax-Adjusted Yield Curve. ”, Journal of Finance, Vol.31, p.p. 881-830.
5. Nelson,Charles R and Andrew F. Siegel(1987) ”Parsimonious Modeling of Yield Curves”,The Journal of Business,Vol.60,No.4, p.p. 473-P.489.
6. Papageorgiou,Nicolas. and Frank,S.Skinner.(2002) “Predicting the Direction of Interest Rate Movements.” The Journal of Fixed Income, p.p.87-95
7. Shea,Gary S.(1984) ”Pitfalls in Smoothing Interest Rate Term Structure Data:Equilibrium Models and Spline Approximations.” Journal of Financial and Quantitative Analysis .p.p.253- 269.
8. Shea, Gary S.(1985). ”Interest Rate Term Structure Estimation with Exponential Splines: A Note.” The Journal of Finance. p.p..319-325.
9.Vasicek, O.(1977),” An equilibrium Characterization of the Term Structure.”, Journal of Financial Economics, Vol.5, p.p.177-188
10. Vasicek ,Oldrich A. and H.Gifford Fong.(1982) ”Term Structure Modeling Using Exponential Splines.” The Journal of Finance, p.p..339-P.349..

11. 賴曉璐(1996)，『政府公債殖利率曲線形狀與免疫策略的選擇』，國立台灣大學財務金融所碩士論文。
12. 陳書瀚(1997)，『利率期限結構共同因子數與其性質之研究』，國立台灣大學財務金融研究所未出版論文。
13. 沈中華(1998)，『影響台灣貨幣市場利率的三因子』，貨幣市場雙月刊，第12期，P.4-7。
14. 張千雲(2003)，『利率期限結構估計模型之實證研究』，管理學報。
15. 楊孟波(2002)，『利率期限結構變動下之債券投資組合免疫策略』，國立高雄第一科技大學財務管理所碩士論文。
16. 鍾韻琳(2003)，『流動性不足限制下利率期限結構之估計』，國立高雄第一科技大學財務管理所碩士論文。
17. 粘逸尊(2004)，『以邏輯迴歸模型建立之戰略性資產配置擇時交易策 略』，國立台灣大學財務金融研究所未出版之碩士論文。