Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/95715


Title: 一般均衡利率期限結構理論─台灣公債市場之實證研究
Authors: 廖志峰
Contributors: 李桐豪
廖志峰
Keywords: 跨期資本資產訂價模型
跨期一般均衡資產價格理論
一般均衡利率期限結構理論
一般化動差法
名目利率期限結構
實質利率期限結構
Date: 2002
Issue Date: 2016-05-09 16:52:27 (UTC+8)
Abstract:   利率是影響金融市場中金融工具的主要因素,對經濟體系而言,是貨幣面與實質面的橋樑,代表使用負債資金所需支付的成本;對法人機構、投資個人而言,利率是進行任何融資、投資活動的重要參考指標。近年來,利用一般均衡、無套利評價理論來研究利率期限結構和利率或有請求權(Contingent Claims)訂價的文獻有如雨後春筍一般;另一方面,由於時間序列(Time Series)於1980年代的快速發展,諸如:ARCH家族、GARCH家族、隨機變異性(Stochastic Volatility),兩套方法互相結合運用,有愈來愈多文獻顯示,其對現實的利率期限結構具有一定水準的解釋能力。
  隨著國際金融市場的多元化、自由化與無國界化,金融創新與金融商品的大量問世,如何合理估計利率期限結構,以運用於投資決策、或預測未來利率走勢,及對利率風險的管理,這都隱含利率期限結構的重要性。本文擬針對著一般均衡利率期限結構模型加以分析,並驗證在我國公債市場應用的可行性。
  一般均衡利率期限結構模型,由Cox、Ingersoll and Ross(1985a、b)正式提出,其為單因子一般均衡利率期限結構模型;Longstaff and Schwartz(1992)提出二因子一般均衡利率期限結構模型,因其利率期限結構隱含一個限制式,故LS兩因子實證模型以差分形式進行,故將損失兩個參數(gamma、eta);基於此點,本文試圖採用Gibbons and Ramaswamy(1993)的實質報酬率觀念,希望經由調整物價因素後的殖利率樣本資料,可消除時間趨勢不穩定的因子,藉以判斷包含(gamma、eta)的完整兩因子一般均衡模型是否能更充分解釋利率期限結構;另一方面,亦可透過Gibbons and Ramaswamy(1993)的實質報酬率觀念,觀察二因子一般均衡利率期限結構模型所獲得的名目利率期限結構與實質利率期限結構的差異。
  本文實證結果並不令人滿意,調整物價因素後的殖利率樣本資料,仍存在不穩定的情況;本文以差分與模擬的方式,建構出台灣公債市場利率期限結構。另一方面,亦發現本文調整物價因素的方法,在較長的樣本期間下並不適宜。
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Description: 碩士
國立政治大學
經濟學系
89258013
Source URI: http://thesis.lib.nccu.edu.tw/record/#A2010000380
Data Type: thesis
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