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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/34015
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34015


    Title: 台灣公債避險實證
    Authors: 李文孝
    Lee , Wenhsiao
    Contributors: 廖四郎
    龐元愷



    李文孝
    Lee , Wenhsiao
    Keywords: 交叉避險
    誤差修正模型
    利率期貨
    Date: 2003
    Issue Date: 2009-09-17 19:06:06 (UTC+8)
    Abstract: 隨著台灣公債市場近幾年的交易量越來越大,且債市將面臨空頭的走勢,公債避險的重要性就愈重要。雖然今年開始有公債期貨上市,但交易量小且流動性不足,無法有效滿足避險者需求。因此本研究以利率走勢與台灣較接近的美國市場作為避險工具,選擇CBOT的利率期貨(包括5年期、10年期、30年期)做避險工具,台灣的公債做避險標的(5年期、10年期、20年期)。透過交叉避險探討在不同避險模型(包括單純法、最小平方法、誤差修正模型、GARCH模型)以及不同避險期間(日、週、雙週、月)下是否有顯著的效果。資料期間為2000年至2004年3月,實證結果顯示:公債現貨與美國期貨間存在共整合關係,表示現貨與期貨之間有長期均衡關係,但現貨與期貨間並無明顯異質變異情況。各模型中以誤差修正模型避險效果最佳;最小平方法與GARCH 模型避險效果次之且相似;單純法避險效果最差,且多為負效果。避險比例除了日資料外多具有顯著性,且隨著避險期間越長效果越佳。另外,避險比例在樣本期間內的穩定性相當高,顯示台美的利率結構算滿穩定的。5年期公債以5年期利率期貨規避最有效;10年期公債以10年期利率期貨規避最有效;20年期公債以30年期利率期貨規避最有效。其避險效果約在60%至70%,顯示交叉避險仍存在無法避免的風險。
    It is necessary and important for the hedge on Taiwan government bond because of the increasing trading volume and imminent bearish market. Although the 10-Year bond futures issue this year, it can’t satisfy hedgers for low trading volume and liquidity. Therefore, this study chooses the interest rate futures issued by CBOT to hedge Taiwan government bonds. Through cross hedging, to research which hedging model including Naïve hedge, OLS, ECM and GARCH model has the better hedge performance.
    Reference: 【中文部分】
    1. 周立中,1998,美國公債期貨的避險效果之實證研究,淡江大學財務金融研究所,碩士論文。
    2. 林靖文,2001,最適公債期貨避險策略之實證研究,高雄第一科技大學,財務管理研究所,碩士論文。
    3. 楊玉嬌,1996,台幣利率之避險研究,元智工學院管理研究所,碩士論文。
    4. 譚丹琪,1992,利率期貨規避利率風險之研究,台灣大學商學研究所,碩士論文。
    5. 龐元愷,1992,利率期貨避險策略之研究,台灣大學商學研究所,碩士論文。
    【英文部分】
    1. Anderson, R.W., and Danthine, J., 1981, “Cross Hedging” , The Journal of Political Economy, Vol. 89, No.6, pp. 1182-1196.
    2. Bollerslev, 1986, “Generalized autoregressive Heteroskedasticity” Journal of Econometrics , Vol.31, 307-327.
    3. Box, G.E.P. and Jenkins, G.M., 1976, “Time Series Analysis: Forecasting and Control”, 2nd edn., Holden-Day, San Francisco
    4. Brooks, C., 2002, “Introductory Econometrics for Finance”, Cambridge University Press.
    5. Cecchetti, S. G., Cumby, R. E. and Figlewski, S., 1988,“Estimation of the Optimal Futures Hedge”, The Review of Economics and Statistics, Vol.70, pp. 623-630.
    6. Ederington, L., 1979,“The Hedging Performance of the New Hedging Markets”,The Journal of Finance, Vol.34, pp. 157-170.
    7. Engle, R.F., 1982, “Autogressive Conditional Heteroskedasticity with estimates of Variance of United Kingdom Inflation”, Econometrica, 987-1007
    8. Engle, R. F. and C. W. J. Granger, 1987, “Cointegration and Error Correction: Representation, Estimation and Testing”, Econometrica, Vol. 55(1), 251-276.
    9. Ferguson, R. and Leistikow, D., 1998,“Are Regression Approach Futures HedgeRatios Stationary?”, The Journal of Finance, Vol.18, No.7, pp. 851-866.
    10. Gagnon, L. S., and Lypny, G., 1995,“Hedging Short-Term Interest Risk under Time-Varying Distributions”, The Journal of Futures Markets, Vol.15, No.7, pp. 767-783.
    11. Gagnon, L. S., Mensah and Blinder, E.H., 1989,“Hedging Canadian Corporate Debt:A Comparative Study of the Hedging Effectiveness of Canadian and U.S.Bond Futures”, The Journal of Futures Markets, Vol.9, No.1, pp. 29-39.
    12. Ghosh, A., 1993,“Hedging with Stock Index Futures:Estimation and Forcasting with Error Correction Model”, The Journal of Futures Markets, Vol.13, No.7, pp. 743-752.
    13. Grammatikos, T. and Saunders, L., 1983, “Stability and the Hedging Performance of Foreign Currency Futures” , The Journal of Futures Markets, Vol.3, No.3, pp. 295-305.
    14. Heifner, Richard G., “Optimal Hedging Levels and Hedging Effectiveness in Cattle Feeding”, Agricultural Economics Research 24, 25-36.
    15. Johnson, L., 1960 “The Theory of Hedging and Speculation in Commodity Futures”, Review of Economic Studies, Vol. 27, 139-151.
    16. Koutmos, G. and Pericli, A., 1998,“Dynamic Hedging with Mortgage-Backed Securities”, The Journal of Fixed Income, Vol. 8, Iss. 2; p. 37.
    17. Phillips, Peter. C. B. and Pierre Perron, 1988 “Testing for a unit root in timeseries regression”, Biometrika, Vol. 75, 335-346.
    18. Richard T. Baillie and Robert J. Myers, 1991, “Bivariate GARCH Estimation ofthe Optimal Commodity Futures Hedge”, Journal of Applied Econometrics, Vol.6, 109-124.
    19. Said, S. and Dickey, D.A., 1984, “Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order”
    20. Stein, J. L., 1961, “The simultaneous determination of spot and futures prices”, American Economic Review, Vol. 51, 1012-1025.
    21. Wilkinson, K.J., Rose, L.C. and Young, M.R., 1999,“Comparing the Effectiveness of Traditional and Time Varying Hedge Ratios Using New Zealand and Australian Debt Futures Contracts”, The Financial Review, pp. 79-94.
    22. Witt, H. J., Schroeder, T.C., and Hayenga, M.L., 1987,“Comparison of Analytical Approaches for Estimating Hedge Ratios for Agricultural Commodities”, The Journal of Futures Markets, Vol.7, No.2, pp. 135-146.
    23. Working H., 1953, “Futures Trading and Hedging”, American Economic Review, Vol. 43(3), 314-343.
    Description: 碩士
    國立政治大學
    金融研究所
    91352001
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0913520011
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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