臺灣博碩士論文加值系統

2007年5月，在央行無預警增加標購一年期定存單，加上阻貶台幣導致貨幣市場資金異常緊俏，除了推升拆款利率於3天內大幅彈升最高至5.10%，更使債券市場意識到未來利率彈升之勢不可擋，引發債券市場巨幅波動，自此債券市場轉進空頭，債券殖利率波動幅度遠較2006年為高，同時在債券放空交易之借券利率也出現了有別於金融市場認知，那就是借錢給別人還要付出利息之借券利率轉負的現象。也許觀察過去幾年債券市場中借券利率也曾經出現轉負現象，但是這種不正常現象持續出現在2007年，其負值在6月11當日平均值為負99.9999%，存在期間也長達數個月份。基本上債券放空之借券利率，本質上與一般RP 交易相同，但其反映出來的利率竟如此不同，同期間也發生了主流券963價格竟低於非主流券956之異常現象。Duffie (1996)曾經主張Special Repo Rate 比一般RP Rate 低，而且1997年Jordan and Jordan 也實證指出主流券更具有Reop Specialness ，支持Duffie論點；並且驗證當市場籌碼過度集中及較高投標倍數追逐標債時更容易出現Specialness現象。台灣債券市場借券制度雖始於2002年10月，但有資料查詢為2005年7月，然較引人注意之特殊異常借券利率僅出現於去年，本研究主要探討台灣債券市場之借券利率是否也如同Duffie論點，並以Jordan & Jordan 之模型實證台灣借券利率存在Specialness的現象，同時提出借券利率出現Specialness的合理解釋。
本研究主要發現如下：實證台灣債券借券市場確實存在Specialness的現象，同時歸納台灣債券市場借券利率何以出現Specialness 的合理論點以提供參考。


關鍵詞：SPECIAL REPO RATE、SPECIALNESS、借券利率、債券放空交易

By May 2007, The Central Bank of Taiwan had increased another 1-year ncd auction volume unexpectedly and intervened the currency market by tightening the Money Market as well. The interbank overnight rate was soared up sharply to 5.1% within 3 days and caused Taiwan Bond Market became bearish. During the same time, the pricing anomaly involved the short selling bond market and remained for a long period. In addition, owners of the benchmark 10 years bond were able to borrow at a negitive interest rate by pledging their bond. Basically there is rare difference between Repo Rate and Special Repo Rate under arbitrage free theory, but a significant difference does exist empirically. Duffie (1996) derives Special Repo Rate is lower than general Reop Rate and defines difference as Specialness, using empirical data, Jordan & Jordan (1997) show Duffie's model can explain Specialness phenomenon in American Bond Market. The purpose of this thesis is to examine whether the model of Jordan & Jordan applied to Taiwan Bond Market.

This thesis points out (1) Specialness exists in Taiwan Bond Market. (2)The reasons for the Specialness.

一、 緒論 1
1.1 研究動機 1
1.2 研究目的 4
1.3 研究流程 7
二、 文獻探討 8
2.1台灣債券市場簡介 8
2.2美國借券制度簡介(Special Repo Rate) 11
2.3 國內借券制度 13
2.4台灣RP市場與借券市場實務說明 13
2.4.1 附條件市場交易收付計算： 13
2.4.2借券交易計算： 14
2.5 國外文獻探討 15
三、 研究方法 18
3.1 資料來源及處理 18
3.2研究限制 19
3.3 理論價格模型 19
3.3.1 一般附條件理論 19
3.3.2 Special Repo Rate理論 19
3.3.3 Specialness 由供需決定 21
3.4 假設檢定 22
四、 實證分析 23
4.1 When Issued期間的Specialness 23
4.2 案例 24
4.3 實證分析結果 27
4.3.1 實證 Special 的影響 27
4.3.2 實證 Specialness 程度的影響 28
4.4 台灣異常借券利率之探討 29
五、 結論與建議 33
5.1 結論與管理意涵 33
5.2 建議 35

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中文部分
〔1〕 林婉蓉，「債券市場效率化發展之研究」，證券櫃檯第104期~105期 p.48~73
〔2〕 周一誠，「美國公債交易實務—論其借券機制」證券櫃檯第132期 p.17~26

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