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| 研究生： |
周碩宏 Shuo-hong Chou |
|---|---|
| 論文名稱： |
利率期限結構形狀之可預測性-台灣公債實證研究 The Predictability in the Shape of the Term Structure of Interest Rates: Empirical Study in Taiwan Government Bonds |
| 指導教授： |
林丙輝
Bing-Huei Lin |
| 口試委員: |
徐中琦
Jonchi Shyu 洪茂蔚 none 張傳章 none |
| 學位類別： |
碩士 Master |
| 系所名稱： |
管理學院 - 財務金融研究所 Graduate Institute of Finance |
| 論文出版年： | 2006 |
| 畢業學年度： | 94 |
| 語文別： | 英文 |
| 論文頁數： | 47 |
| 中文關鍵詞： | 利率期限結構 、預測性 、存續期間 、Nelson-Siegel模型 |
| 外文關鍵詞： | term structure of interest rates, predictability, duration, Nelson-Siegel model |
| 相關次數： | 點閱：277 下載：4 |
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本論文利用Nelson-Siegel來配適台灣公債市場之利率期限結構，並利用時間序列分析方法對參數之變動作預測，而參數之變動反映利率期限結構之變動，故參數預測之結果可供做為實際交易之參考。透過實證分析我們得到以下之結論：(1)Nelson-Siegel模型對台灣公債市場之利率期限結構提供良好的配適能力。(2)複雜的預測模型對於參數變動之預測，雖其樣本內配適能力較簡單的預測模型佳，但其樣本外準確率並未較佳。(3)對曲度參數做預測能提供最佳的交易績效，且比較預測準確率與正績效百分比，顯示曲度參數有最佳的可預測性。
In this paper, we employ the Nelson-Siegel model to fit Taiwan’s term structure of interest rates. The changes in the parameters reflect the changes in the shape of term structure of interest rates. Therefore, we use time series analysis to predict the change in the parameters. The results of prediction can be the indication of actual bond trading. The empirical study provides the following results. First, the Nelson-Siegel model provides a good fit to Taiwan’s term structure. Second, the complicated models do not guarantee the higher out-of-sample hit rate although these models do provide higher in-sample goodness of fit. Third, the trading performance of bet on curvature parameter is the best. Thus, the predictability of curvature is best because the percentage of positive return is close to the hit rate.
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