臺灣博碩士論文加值系統

本研究利用金融業拆款利率與財務短期利率模型來探討台灣短期利率之動態擴散效果，試圖找出利率模型估計之最佳實證模型。本研究發現估計擴散模型時一律採用線性之漂浮項並不恰當，因為實證結果發現不同的擴散模型應該配適其特有之漂浮項型式，例如：NARCH模型應該採用非線性型式。此外，本文實證結果顯示GARCH模型高估短期利率的波動性，然而「漂浮項不對稱之非線性NARCH模型」不但在解釋波動性上優於其他擴散模型，此外更具備了反應正負衝擊所帶來的不對稱現象，因此可視為短期利率之最佳模型。

This paper estimates a dynamics model of short-term interest rate and allows sensitivity of the volatility process to interest rate levels. The empirical results that GARCH effect, NARCH effect and stochastic volatility effect in the diffusion function fit the date well and superior to the single factor model of the level effect. If we use GARCH model to estimate the diffusion process will cause over-evaluate the fluctuation, so this paper especially make use of NARCH model to describe the true dynamic fluctuation reacts of short interest rate. The empirical research points out that modeling of the linear drift GARCH model and the nonlinear drift NARCH model in the short interest rate are the best. In addition, I develop some asymmetric framework in mean and diffusion function. When estimating the nonlinear drift NARCH model, the asymmetric response in the drift function is the best model.

目 錄

第一章 緒論1
第一節 研究動機1
第二節 研究目的2
第三節 研究架構4

第二章 文獻回顧6
第一節 短期利率之理論模型6
第二節 短期利率模型之實證研究9

第三章 研究方法22
第一節 模型檢定22
第二節 非線性漂浮項與GARCH模型27
第三節 非線性漂浮項與NARCH模型34
第四節 隨機波動效果37
第五節 不對稱模型43

第四章 實證分析51
第一節 敘述統計量檢定51
第二節 模型檢定53
第三節 非線性漂浮項與GARCH效果檢驗56
第四節 非線性漂浮項與NARCH效果檢驗63
第五節 隨機波動效果之檢驗69
第六節 不對稱模型之檢驗72

第五章 結論80

參考文獻82

表目錄


表1-1 未平倉量之衡量................................................5
表4-1 各變數的基本敘述統計資料.....................................39
表4-2 各變數相關係數表.............................................41
表5-1 ADF單根檢定..................................................43
表5-2 落階期數之SBC值..............................................44
表5-3 VAR模型檢定結果..............................................46
表5-4 Granger因果關係檢定結果......................................48
表5-5 預期與非預期未平倉量對市場深度影響...........................49
表5-6 預期與非預期未平倉量對成交量影響.............................50
表5-7 未平倉量變化之增減對市場深度影響.............................52
表5-8 未平倉量之絕對增（減）量幅度對買（賣）方市場深度影響...........54
表5-9 未平倉量絕對增（減）量幅度對成交量影響.........................56
表5-10 未平倉量與成交量對買（賣）方市場深度之影響....................57


圖目錄


圖1-1 台灣股價指數期貨之市場規模....................................4
圖1-2 台指期貨到期合約成交量之變化..................................8
圖1-3 台指期貨到期合約未平倉量之變化................................8
圖1-4 研究流程圖...................................................10
圖2-1 市場價格反應曲線.............................................13
圖3-1 單根檢定流程圖...............................................24
圖4-1 預期未平倉量與非預期未平倉量趨勢圖...........................40
圖4-2 成交量趨勢圖.................................................40
圖4-3 買（賣）方市場深度趨勢圖.......................................40
圖5-1 未平倉量、市場深度與成交量間之因果關係圖.....................48

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