臺灣博碩士論文加值系統

Lim and Xiao (2002)模型以零息債券價格為樣本資料，利用最大平坦度配適遠期利率曲線，求解出遠期利率函數型態為二次樣條函數型態。有鑑於國內市場上交易較活絡的是附息債券價格，本文嘗試將Lim and Xiao (2002)模型直接應用於附息債券，探討附息債券對配適殖利率曲線之影響。經由模擬分析結果發現樣本資料中包含短、中、長期的到期資料所配適出的效果最佳、最為穩定，與零息債券時有相同的結果。也就是說，利用附息債券探討市場殖利率時，市場上的資料中具有短、中、長期的到期資料所推估出的殖利率會較為貼近市場上的殖利率曲線。

Lim and Xiao (2002) model base on zero-coupon bond prices as sample data and derive the interesting result that quadratic polynomial spline functions obtain given the maximum flatness estimation of the forward rate curves. Because coupon bond prices are more frequent in internal market trade. Therefore, this article tries to extend Lim and Xiao (2002) model to apply directly to coupon bond, and discuss the impact of coupon bond prices on yield curves. According to simulating and analyzing result, we can find the proper effect will be optimal and most stable if sample data include short, middle, and long term data. And using zero-coupon bond model to analyze will has the same result. It shows when using coupon bond to analyze market yield, the yield will be more close to market yield curves if market have more short, middle, and long term data.

第一章 緖論
第一節 研究背景與機…………………………………………………1
第二節 文獻回顧………………………………………………………3
第三節 研究目的………………………………………………………5
第二章 研究方法探討
第一節 零息債券模型…………………………………………………7
第二節 附息債券模型…………………………………………………9
第三章 模擬分析
第一節 零息債券之模擬分析…………………………………………11
第二節 附息債券之模擬分析…………………………………………27
第四章 結論與建議
參考文獻
一、中文文獻………………………………………………………… 44
二、英文文獻………………………………………………………….44

一、中文文獻
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[4]林宗耀，(2001)，利率期限結構與貨幣政策，中央銀行季刊，第二十三卷第二期。
[5]周建新、于鴻福、張千雲，(2003)，以線性劃法估計台灣公債市場市場利率期限結構之實證研究，管理科學研究，第二十卷第一期，31-37。
[6]陳朝鈞，(2000)，台灣中央公債殖利率曲線之配適，長庚大學管理學研究所碩士論文。
[7]張千雲，(2000)，利率期限結構估計模型之實證研究，高雄第一科技大學財務管理碩士論文。
[8]馮士耀，(1999)，配適最平滑之遠期利率曲線，國立台灣大學商研究所碩士論文。
[9]謝承熹，(2000)，以分段三次方指數函數配適台灣公債市場之利率期限結構：線性最適化及非線性最適化之比較，中國財務學刊，第八卷第二期，25-47。
[10]謝富堯，(2005)，考慮流動性之公債殖利率曲線，天主教輔仁金融研究所在職專班碩士論文。
二、英文文獻
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