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學校名稱輔仁大學
系所名稱金融研究所
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學號493755082
研究生(中)張文祥
研究生(英)Chang Wen-Hsiang
論文名稱(中)比較五種流動性定義在台灣公債殖利率曲線之配適
論文名稱(英)To Compare the Fitness of Five Definitions of Liquidity Applied in the Yield Curve of Taiwanese Government Bond Market
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指導教授(中)林蒼祥
指導教授(英)Willism T.Lin
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關鍵字(中)殖利率曲線 流動性 B-Spline模型
關鍵字(英)Yield Curve Liquidity B-Spline
摘要(中)台灣與印度等新興公債市場之冷熱門公債交易量的差距很大,K.V. Subramanian以加入流動性考量的B-Slpine模型配適印度公債殖利率曲線,其配適效果優於未考慮流動性的模型。本研究除沿用Subramanian之流動性目標加權函數,並將流動性的衡量方法由原先的一種擴增至五種,再比較這五種不同定義之流動性衡量在B-Spline模型與加入存續期間倒數為權重的B-Spline修正模型的配適表現。實證結果顯示,無論是B-Spline基本模型或B-Spline修正模型,採用公債交易量之平方根作為流動性衡量基準,其實證結果與配適能力皆有不錯的表現,應為合理可行的方法之一。
摘要(英)In emerging bond market, like Taiwanese and Indian government bond market are aniso-liquid bond markets. K.V. Subramanian added liquidity constraint to B-Spline model when fitting the yield curve of Indian government bond market,the performance of fitting was better than the B-Spline model without liquidity constraint . This paper uses Subramanian’s liquidity-weighted objective function and augments four other methods about the measure of liquidity.To compare fitting performance of the B-Spline model and modified B-Spline model with five liquidity-weighted objective functions . The empiric findings of this study are as follow : Both the B-Spline model and modified B-Spline model which use the liquidity benchmark with the square root of trading volume are better than those models which use other functions in fitting performance.So, this is a feasible and suitable method to estimate the yield curve of the Taiwanese Government Bond market.
論文目次目錄 第一章 緒論………………………………………………………………………1 第一節 研究背景…………………………………………………………… 1 第二節 研究動機與目的…………………………………………………… 3 第三節 研究架構…………………………………………………………… 5 第二章 文獻回顧…………………………………………………………………7 第一節 票息效果…………………………………………………………… 8 第二節 即期利率、遠期利率與折現函數………………………………… 9 第三節 Spline配適函數……………………………………………………12 第四節 流動性考量………………………………………………………… 15 第三章 研究方法……………………………………………………………… 20 第一節 未考慮流動性之B-Spline 模型………………………………… 20 第二節 流動性之衡量方法………………………………………………… 28 第三節 考慮流動性之B-Spline 實證模型……………………………… 30 第四節 決定子區間個數與節點位置……………………………………… 32 第五節 判斷準則 ………………………………………………………… 32 第四章 實證分析……………………………………………………………… 35 第一節 資料來源與篩選…………………………………………………… 35 第二節 綜合權重計算方式之比較………………………………………… 37 第三節 B-Spline基本模型加流動性的實證結果分析……………………39 第四節 B-Spline修正模型加流動性的實證結果分析……………………48 第五章 結論………………………………………………………………………56 參考文獻………………………………………………………………………58
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異動記錄M admin Y2008.M7.D3 23:18 61.59.161.35