| dc.contributor.advisor | 廖四郎 | zh_TW |
| dc.contributor.author (Authors) | 方惠蓉 | zh_TW |
| dc.creator (作者) | 方惠蓉 | zh_TW |
| dc.date (日期) | 2002 | en_US |
| dc.date.accessioned | 17-Sep-2009 18:58:58 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 18:58:58 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 18:58:58 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0090352001 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/33973 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 90352001 | zh_TW |
| dc.description (描述) | 91 | zh_TW |
| dc.description.abstract (摘要) | 在現代資產定價的研究中，短期利率扮演一個很重要的角色。短期利率模型中最重要的一類是連續時間的擴散模型(continuous-time diffusion model)。這些模型有一個特性：假設已知利率的動態過程，亦即對利率模型的漂移項及擴散項作特定函數型態假設，而並無完整的經濟理論說明為何如此設定。我們知道不同的利率模型設定會推導出不同的商品評價公式，因此任意函數型態的模型一旦設定偏誤太大，勢必對評價公式的準確性造成很大的影響。有鑑於此，近幾年來利用無母數統計方法來估計利率模型的文獻與日具增。因為利用無母數統計方法可以減少對利率模型的任意設定。基於對短期利率模型任意參數設定的懷疑，以及欲探究台灣短期利率的動態過程究竟為何種型態，因此本文以Stanton(1997)的無母數統計法利率模型，以台灣貨幣市場30天期的商業本票利率資料作實證分析。而為了更清楚了解無母數法利率模型的表現，本文亦採用CKLS (1992)所發展的估計方法，以一般化動差法(Generalized method of moment, GMM)估計九個有參數利率模型，將所得到結果與無母數法的利率模型比較。最後，我們利用估計出的無母數利率模型來建構利率期間結構，並與實際資料作比較。本文實證結果發現，台灣短期利率的動態過程不管是漂移項或擴散項函數皆呈現非線性型態，且漂移項函數呈現負斜率的均數回歸(mean reverting)現象，而擴散項函數大致是隨利率水準愈大而其數值亦愈大。因此若以非線性、具有均數回歸且擴散項是遞增的函數式來設定利率模型的參數，應該較能刻劃台灣短期利率動態過程。另外，從有參數模型的實證結果發現，漂移項或擴散項函數，只要其中一項設定有誤，不僅會使該項的預測能力變差，亦連帶會影響另一項的預測能力，進而也會影響模型的整體表現。這意味著以無母數方法來估計利率模型有其必要性。最後，我們利用無母數法利率模型所估計的利率期間結構與實際的資料比較，發現估計結果還算不錯。 | zh_TW |
| dc.description.tableofcontents | 目錄 …………………………………………………………………………..1表次 …………………………………………………………………………..2圖次 …………………………………………………………………………..2第壹章 緒論 第一節 研究動機 ……………………………………………………..3第二節 研究目的 ……………………………………………………..3第三節 研究架構 ……………………………………………………..5第貳章 文獻回顧第一節 參數利率模型理論回顧 ……………………………………..7第二節 參數利率模型之估計方法 ………………………………….12第三節 無母數統計法利率模型理論 ……………………………….14第參章 理論基礎與實證方法第一節 無母數統計法利率模型理論 ………………………………17第二節 實證方法 …………………………………………………….21第三節 核密度估計式和漂移項、擴散項函數逼近式的模擬 ……...26第肆章 資料處理與說明第一節 資料來源與選取說明 ………………………………………30第二節 結構性改變的模擬 ………………………………………….35第伍章 實證結果與分析第一節 無母數統計法利率模型實證結果與分析 …………………37第二節 無母數利率模型與參數模型之比較 ……………………….40第三節 利率期間結構的估計 ………………………………………44第陸章 結論與建議第一節 結論 …………………………………………………………48第二節 未來研究建議 ……………………………………………….50參考文獻 ………………………………………………………………...51-53附錄A~F ..……………………………………………………………….54-64 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0090352001 | en_US |
| dc.subject (關鍵詞) | 無母數統計法利率模型 | zh_TW |
| dc.subject (關鍵詞) | 漂移項函數 | zh_TW |
| dc.subject (關鍵詞) | 擴散項函數 | zh_TW |
| dc.subject (關鍵詞) | 核密度函數 | zh_TW |
| dc.subject (關鍵詞) | 核函數 | zh_TW |
| dc.subject (關鍵詞) | 帶寬 | zh_TW |
| dc.title (題名) | 短期利率模型的台灣實證--無母數法 | zh_TW |
| dc.type (資料類型) | thesis | en |
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