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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/87326


    Title: 動態短期利率期限結構模型:臺灣票券市場之實證研究
    Dynamic short-term structure model-A empirical study on Taiwanese Note Market
    Authors: 方世明
    Fang, Shi-Ming
    Contributors: 林炯垚
    Lin, Jiong-Yao
    方世明
    Fang, Shi-Ming
    Keywords: 利率
    期限結構
    利率隨機過程
    貨幣市場
    二項分配模型
    票券
    Date: 1996
    Issue Date: 2016-04-28 11:51:00 (UTC+8)
    Abstract: 本篇研究主要目的在於檢驗一般化一因子及二因子利率隨機過程模型何者對於臺灣貨幣市場利率 變動行為模式最具解釋能力。再運用模型所求得之 利率變動估計值及當期市場遠期利率，求解二項分 配未來短期利率之各結點估計值，形成二項分配利 率期限結構。由於二項分配利率期限結構為一任意 形態之樹狀結構，且同時考量過去利率波動程度及 市場對於未來之預期，故此一模型將可運用於對未 來利率水準之預測或作為存續期間模型之折現率以 改善利率風險衡量之理論限制。
    本研究運用GARCH模型作為估計參數之計量模型。經由實證結果分析，可規納以下幾點結論： 一、一般化一因子模型較考量波動性之二因子模型對於臺灣貨幣市場利率變動行為模式更具解釋能力。二、利率隨機過程模型對真實市場利率變動之解釋能力，隨資料來源天期增加逐步降低。（30天期優於180天期）三、欲以利率隨機過程模型估計利率波動動變異數參數，應避免建構太長天期之二項分配利率期限結構樹狀估計值。四、二項分配利率期限結構模型上之結點估計值，可視為符合過去波動程度及市場預期之未來利率水準上下限可能值，作為投資決策準則。 五、二項分配利率期限模型結點估計值，不僅決定於變動率，同時受模型估計期數個數影響。當個數越多時，上下限偏離程度越大。
    Reference: 中文部份：
    1 ,莊武仁“利率期限結構及其檢定“貨幣市場簡訊 民國80年12月。
    2 ,莊武仁 黃尹亭“臺灣貨幣市場利率期限結構之實證研究━━SR和DSR模型適用性之比較分析“臺灣銀行季刊 民國82年12月。
    3, 李清賢“臺灣貨幣市場短期利率模型適用性之比較分析" 淡江大學金融研究所碩士論文 84年6月。
    4, 鄭鼎立“壹灣地區貨幣市場利率非線性結構之探討”淡江大學金融研究所碩士論文 民國84 年6月。

    英文部份：
    Black, F and Scholcs, M, 1973 "The Pricing of Options and Corporate Liabilities," Jownal of Political Economy,637-654.
    Black, F, E,, Derman, and Toy, 1990 IIA One-Factor Model of Interest Rates and its Application to Treasury Bond Options" Financial Analysts journal ,33-99.
    Bollerslev, T, (1986), "Generalized Autoregressive Conditional heteroskedasticity", Journal of Econometrics 31,307-327.
    Brennam, M, J, and Schwartz, E, S, (1979), "A Continuous Time Approach to the Pricing of Bonds", JOW11al of Banking and Finance 3,133-155.
    Campbell, J, Y,, 1986 "Adefence of traditional hypotheses about the term structure of interest rates" Journal of Finance 41,183-193.
    Chan, K, e, G, A, Karolyi, F, A, Longstaff, and A, B, Sanders, July 1992“An Empirical Comparison of Alternative Models of the Short-Term Interest Rate" Journal of Finance, 1209-1227.
    Cox, J,e, 1,E,Ingersoll, and S, A, Ross, 1981 "A Re-Examination of Traditional Hypotheses About the Term Structure of Interest Rates", Journal of Finance 36,51-61.
    ---------, 1985a "An intertemporal general equilibrium model of asset prices" Econometrica 53, 363-384.
    ---------, 1985b "Theory of the Term Stucture of Interest Rates" Econometrica 53, 385-407.
    Dothan, L, U,, 1978, "On the //term Structure of Interest Rates", Journal of Financial Economics 6, 59-69.
    Engle, R, F,, 1982 "Autoregressive conditional heteroskedasticity with estimates of the variance of U,K inilatiol1 ,Ecol1ometrica 50, 987-1008.
    Fabozzi, F, J, and T, D, Fabozzi, `Handbook of Fixed Income Securities`, Fourth Edition, (IRWIN, INC), 798-800, 1171-1203.
    Gagnon, L, and L, D, Johnson, 1994 Spring "Dynamic Immunization under Stochastic Interest Rates 11 The Journal of portfolio management, 48-54.
    Hansen, L, P, 1982 "Large sample properties of Generalized Methed of Moments estimators" Econometrica 50,1029-1054.
    Hansen, L, P, and, K, J, Singleton, September 1982 "Generalized Instrumental Variables estimation of Nonlinear Rational Expectation Model" Econometrica, 1069-1286.
    Heath, D, R, Jarrow, and A, Mortol1, 1992 "Bond pricing and the term
    structure of interest rates : A new methodology" Econometrica 60,77-105.
    Ho, Thomas S, Y, and S, B, Lee, 1986 "Term structure movements and pricing interest rate contingent claims" Journal of Finance 41,1011-1029.
    Hull, 1, C and, A,White, Winter 1990 "Pricing interest-rate derivative securities" Review of Financial Studies, 573-592.
    Hull, J, c,, "Options, Futuress, and Other Derivative Securities", Second Edition (Englewood Cliffs, NJ:Prentice-hall, 1993), 370-410.
    Longstaff F, A, and E, S, Schwartz, September 1992 "Interest Rate Volatility and the Term Structw-e : A Two-Factor General Equilibrium Model" Journal of Finance, 1259-1282,
    Merton,, R, C,, 1971 "Optimum Consumption and portfolio rules in a continuous-time model" Journal of Economic Theory 3,337-413.
    Sanders, A, B, and, H, Unal, 1988 "ON the intertemporal stability of the short term rate of interest" Journal of Financial and Quantitative
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    Vasiek, O,,1977 "An equilibrium characterization of the tem1 structure" Journal Financial Economics 5, 177-188.
    Description: 碩士
    國立政治大學
    財務管理研究所
    83357011
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002002994
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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