臺灣博碩士論文加值系統

摘要
本研究以基礎樣條近似法(Basis spline approximation)為基礎，利用Powell（1981）所定義之基礎樣條函數，來估計台灣公債市場的利率期限結構，一方面也考慮到台灣公債市場流動性不足的問題。實證結果發現B-spline模型對於台灣公債市場債券的估算相當精確，其判定係數高達94.03%；而在考慮考慮台灣估債市場交易時流動性不足的因素，以權重修正B-spline模型來估算的結果，不但有效解決判定係數在樣本即間中段較低的情形，更大幅提高判定係數達97.6%，在整個樣本期間中，有98.58%的觀察時點，模型的判定係數是大於90%以上，僅有5週的判定係數低於90%；而透過流動性加權的修正後，樣本期間內的所有觀察時點，其平均方根誤差百分比皆是小於1%，顯見加入流動性加權因子修正後的B-spline模型更具有高度配適能力。故以權重修正B-spline模型來配適台灣公債市場不僅可以提昇原B-spline模型精確的估算結果，其配適結果更能代表台灣公債市場的實際狀況。

ABSTRACT
This paper uses the Basis spline approximation defined by Powell（1981）to fit the term structure of the Taiwanese Government Bond market. Since the Taiwanese Government bond market is an illiquid bond market, it must consider the illiquidity constraint when estimating the term structure of interest rate in this market. The empirical results show that the fitting performance of B-spline model is quite well with the mean R-square higher than 94.03%. And the fitting performance of B-spline model with liquidity-weighted objective functions are better than the original B-spline model, because of (1)the mean R-square is higher than 97.6%, (2) 98.58% of the observations, the R-square is higher than 90%, and (3)all of the observations, the estimated price error percentage is less than 1%.Based on the results of this study, we conclude the fitting performance of B-spline model could be effectively improved considering the illiquidity constraint.

目錄
摘要0
ABSTRACTii
誌謝iii
表目錄vi
圖目錄vii
第一章 緒論1
第一節 研究動機1
第二節 研究目的8
第三節 研究架構9
第二章 文獻回顧11
第一節 息票效果11
第二節 利率期限結構之形狀13
第三節 利率期限結構估計之實證模型15
第三章 研究方法28
第一節 實證模型28
第二節 判斷準則35
第四章 實證分析37
第一節 資料敘述37
第二節 實證結果分析38
第三節 未考慮流動性B-spline模型與流動性加權B-spline模型的比較54
第五章 結論59
參考文獻61
附錄 台灣公債之樣本資料64

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