臺灣博碩士論文加值系統

本研究以利率交換市場為主體，並透過歐洲美元期貨市場以及債券市場的殖利率曲線家族，分析以利率交換市場推導而得的即期利率以及遠期利率曲線，是否能有效的在其餘兩市場進行評價，藉此觀察不同市場的連結程度與制衡關係。實證結果顯示利用利率交換市場的即期利率曲線對債券評價較貼近債券市場的實際價格，然而利用歐洲美元期貨市場的即期利率來評價會產生較大的誤差。因此可以嘗試在兩個市場間操作部位，達到套利的目標。

本篇分為六個章節。第一章為緒論，首先提及研究的動機及架構。第二章為金融市場的簡介，分別介紹歐洲美元市場以及利率交換市場。第三章為文獻回顧，介紹以往學者用來建立利率期限結構的模型。第四章為研究方法，主要透過Bloomberg進行殖利率曲線家族的分析。第五章為實證結果，呈現遠期利率利差與債券評價的價差結果。第六章為本篇的結果與討論。

This article takes the IRS market as the mainstay, which analyzes the relationship between the yield curve families of the IRS market, Eurodollar futures market and bond market. Furthermore, using the spot curve and forward curve of the IRS Market to evaluate the underlying in other two markets and then observing the linkage and balances between these three financial markets. The empirical results show that using the spot curve of the IRS market to evaluate the bond is closer to the actual price of the bond market. However, using the spot rate of the Eurodollar futures market to evaluate it will produce a large estimation error. Therefore, we can try to make the positions between two markets to achieve the goal of arbitrage.

This article is divided into six chapters. The first chapter is the introduction. It mentions the intuition and structure of the research. The second chapter is an introduction to the financial market. This part introduces the Eurodollar market and the IRS market. The third chapter is a review of the literature, which introduces the model of the term structure of interest rates. The fourth chapter is the research methodology, which mainly analyzes the family of yield curve through Bloomberg. The fifth chapter is the empirical result, which presents the result of the forward rate spread and bond evaluation. The sixth chapter is the conclusion and discussion of this article.

口試委員會審定書-#
誌謝-i
中文摘要-ii
ABSTRACT-iii
目錄-iv
圖目錄-vii
表目錄-ix
第一章 緒論-1
第一節 研究動機-1
第二節 研究架構-1
第二章 金融市場的簡介-3
第一節 歐洲美元期貨市場的定價-3
第二節 IRS市場的資金流動-5
第三章 文獻回顧-6
第一節 模型種類的介紹-6
(一)均衡模型-6
(二)實證模型-7
第二節 建立即期利率曲線的方法-7
(一)指數函數-7
(二)基礎樣條函數-9
(三)債券分割-10
(四)Bloomberg採用的方法-11
第四章 研究方法-12
第一節 不同利率的定義-12
第二節 Bloomberg建立殖利率曲線家族的步驟-12
(一)曲線分割(Curve Stripping)-13
(二)內插法(Interpolation Method)-14
第三節 Bloomberg所呈現的歐洲美元期貨市場-18
(一)歐洲美元期貨合約的遠期利率-18
(二)實證方法-20
第五章 實證結果-22
第一節 遠期利率比較結果-22
(一)遠期利率的線圖走勢-22
(二)遠期利率的利差分析-25
第二節 債券比較結果-30
(一)債券評價的比較-30
(二)到期殖利率的比較-33
第三節 綜合比較-35
(一)平均遠期利率利差的分析-35
(二)平均評價價差的分析-36
(三)平均到期殖利率的分析-37
第六章 結果與討論-38
第一節 研究結果-38
第二節 後續討論-39
參考文獻-40
附錄-42

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