臺灣博碩士論文加值系統

本研究主要利用台灣票券市場資料，比較由Adams and Deventer最大平滑度模型配適而得之遠期利率曲線，與由即期利率曲線轉換而得之遠期利率曲線，何者較平滑且預測未來之即期利率準確度較高。並針對票券市場資料不符合Adams and Deventer模型的遠期利率漸近性質，修正 Adams and Deventer模型以配適台灣票券市場之遠期利率曲線。
實證結果顯示：
1.Adams and Deventer模型所估之遠期利率與國內票券次級市場商業本票的利率期間結構之隱含遠期利率，平均而言是一樣的，但Adams and Deventer修正模型推估之各天期遠期利率準確度明顯優於Adams and Deventer模型。
2.由Adams and Deventer模型與修正模型所估之遠期利率，與商業本票的利率期間結構之隱含遠期利率，三者在預測對應之未來即期利率的能力不佳，因此，不能應用推估之遠期利率預測未來的即期利率。

Two approaches of fitting forward rate curves are explored in this essay, including the maximum smoothness approach proposed by Adams and Deventer and the approach of deriving implied forward rates from the current term structure of commercial paper prices. Two main topics are studied: (1) which forward rate curve is more smooth and reasonable? (2) which curves’ forward rates have more effective forecasting power about the future spot rates?
Since the bill yield curve doesn't close to the flat yield curve as maturity is long in Adams and Deventer model, the revised Adams and Deventer model is proposed to fit forward rate curve of Taiwan Bill market.
The empirical evidence indicates the following conclusions:
1.Both approaches on average generate the same forward rates and do not produce implausible values of forward rates. The revised Adams and Deventer model to fit forward rate is more smooth than Adams and Deventer model.
2.The generated forward rates have no forecasting power on the future spot rates.

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........................................3
第二章 文獻回顧............................................6
第一節 傳統利率期間結構理論............................6
第二節 配適利率期間結構................................9
第三節 近代利率期間結構理論：統計模型.................12
第四節 近代利率期間結構理論：均衡模型.................17
第五節 近代利率期間結構理論：無套利模型...............20
第三章 研究方法與實証架構.................................26
第一節 Adams and Deventer 最大平滑度法配適遠期利率曲線
模型...........................................26
第二節 最大平滑度法配適遠期利率曲線修正模型...........31
第三節 實證架構.......................................32
第四章 實證結果與分析.....................................43
第一節 Adams and Deventer 最大平滑度法配適遠期利率曲線
模型之實證結果與分析...........................43
第二節 最大平滑度法配適遠期利率曲線修正模型之實證結果
與分析.........................................54
第三節 Adams and Deventer模型與修正模型之比較.........65
第五章 結論與建議.........................................68
第一節 研究結論.......................................68
第二節 建議...........................................69
參考文獻...................................................70

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