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題 名 | 利率期限結構估計模型之實證研究=An Empirical Study of the Term Structure Estimating Model |
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作 者 | 周建新; 于鴻福; 張千雲; | 書刊名 | 管理學報 |
卷 期 | 20:4 2003.08[民92.08] |
頁 次 | 頁775-804 |
分類號 | 562.12 |
關鍵詞 | 利率期限結構; 高斯牛頓法; Parsimonious模型; Term structure of interest rate; Gauss-newton method; Parsimonious model; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究以Nelson and Siegel(1987)的parsimonious model為基礎,並利用非線性方法之高斯-牛頓法(Gauss-Newton method),來估計台灣公債市場的利率期限結構。實證結果發現此一模型可以捕捉到市場上利率期限結構的形狀,其中有83.2%的觀察時點之模型的判定係數是大於90%以上,而在整個樣本期間內亦有34.6%的觀察時點,平均方根誤差百分比是小於1%;此外,就模型的平滑度而言,結果亦顯示即使透過牛頓-高斯法配適的過程,仍能保有parsimonious model之性質,獲得一平滑的利率期限結構。此外本模型所所之結果與基礎複合近似模型做一比較,發現在三種判斷準則上,均較基礎複合近似模型為佳,故以parsimonious model建構台灣市場的利率期限結構,具有相當不錯的估計結果。 |
英文摘要 | This paper uses the parsimonious model proposed by Nelson and Siegel (1987) to fit the term structure of the Taiwanese Government Bond market. The Gauss-Newton method is used to estimate parameters embedded in the parsimonious model. The results reveal that, during the observation period, the estimated term structure describes the shape of yield curve quite well, and is consistent with the real market. The evidences show that 83.2% of the observations have a R-square higher than 90%, and 34.6% of the observations have estimated price error percentage less than 1 %. In addition, the results from the parsimonious model using the Newton-Gauss method produces a very smooth structure. Also, comparing the results with B-Splines Model, we find the Nelson & Siegel model performs better in three judgment criteria. Hence, the Nelson & Siegel parsimonious model is suitable to estimate the term structure of Taiwanese Government Bond market. |
本系統中英文摘要資訊取自各篇刊載內容。