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題名 | 臺灣公債市場利率期限結構之估計--基礎樣條模型與指數樣條模型之比較=Fitting the Term Structure of Interest Rates in Taiwan Government Bonds Market--A Comparison between B-Spline Model and Exponential Spline Model |
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作者姓名(中文) | 周建新; 于鴻福; 胡德榮; | 書刊名 | 管理研究學報 |
卷期 | 6:1 民95.01 |
頁次 | 頁49-74 |
分類號 | 564.592 |
關鍵詞 | 基礎樣條模型; 指數樣條模型; 利率期限結構; B-spline model; Exponential spline model; Term structure of interest rates; |
語文 | 中文(Chinese) |
中文摘要 | 本研究之主要目的在比較基礎樣條模型與指數樣條模,在臺灣公市場利率期限結構估計的配適能力優劣。由於國內在基礎樣條模型相關研究四對於基楚樣條模參數及節點的設定,皆無因應債券到期日實際情形分段估算,故本研究為配合參數設定的實際意義,將樣本期間分成三個階段進行估算,分別設定不同的節點位置,以求獲得更精確的估算結果。實證結果發現使用分段估算的基礎樣條模型,在利率期限結構估計的配適能力上,將有顯著之提升。 在指數樣條模型方面,本文為國內首篇應用此一模型於臺灣公債市場之實證研究,而實結果亦發指數條條模在三種判斷準則上,圾優於基礎樣條模,故本研究認為指數樣條模型,較國內學常用之基礎樣條模,對臺灣公債市場的利率期限結構估計,會有更佳的配適能力。 |
英文摘要 | This paper is to compare B-spline model with exponential spline model about their term structure fitting performances in Taiwan Government Bond (TGB) market. The previous empirical studies have applied the B-spline model in estimating the TGB term structure without considering different bond’s maturity and specifying the appropriate parameters and knots. For the real phenomena of setting parameters, this paper divides the sample periods into three sub-periods and separately specifies different time horizon and knot values, and wants to get more precise fitting performance. The empirical findings conclude that the B-spline model modified by parameters specification within different sub-periods will significantly increase the fitting performance in estimating the TGB term structure of interest rates. Furthermore, this paper applies the exponential spline model in the TGB term structure estimation. The empirical results show that the performance of the exponential spleen model is better than that of the B-splien model according to three judgment critiera. Therefore, we may suggest that the exponential spline model can be considered as one alternative to the B-spline model that is frequently used in estimating the term structure in TGB market. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。