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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/33977
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/33977


    Title: 跳躍過程下利率期間結構之估計與預測
    Authors: 歐陽德耀
    Ou Yang De Yau
    Contributors: 廖四郎
    江永裕



    歐陽德耀
    Ou Yang De Yau
    Keywords: 利率期間結構
    GMM法
    跳躍過程
    Date: 2002
    Issue Date: 2009-09-17 18:59:59 (UTC+8)
    Abstract: 摘要

    利率期間結構是指各種零息債券的殖利率與剩餘期間的對應關係,研究利率行為對資產管理及資產訂價都有非常重要的意義。在一般的資產訂價過程中,可以區分成兩股力量,一是”normal” diffusion,代表的是連續的新資訊導致資產的邊際改變。另一股力量則是”rare” jump,指的是少數的重要的資訊,是在間斷的時點釋放,造成一個超越邊際變動的影響。本論文探討的是,在政府貨幣政策所發出的跳動訊息下,對利率期間結構所產生的影響,並利用Duffie and Kan於1996年所提出的仿射利率期間結構(Affine term structure),加入跳躍過程下,利用一般化動差法(GMM, Generalized Method of Moments),估計模型的參數,進而預測未來利率的走勢。
    在第一章中我們將說明整個利率期間結構理論的演進,從利率期間結構的三大理論:預期理論(the expectation hypothesis)、期間偏好理論(the preferred habitat theory)、市場區隔論(the segmented markets theory),到近二十年來發展的連續隨機利率模型。
    而第二章主要在介紹加入跳躍過程的仿射利率期間結構(Affine term structure),並對政府貨幣政策的行為做一個模型設定,以便之後的參數估計。
    在第三章我們可以知道詳細的一般化動差法(GMM, Generalized Method of Moments)估計方式,運用在本論文模型上的用法。第四章則真正利用由1994年(民83年)11月24日,至2001年2月1日,共1738筆央行重貼現率,及180天期CP2的日資料,來估計模型的參數。當模型參數得知後,代入求解出的零息債券方程式,來估計利率期間結構。
    Reference: 參考文獻:
    羅家俊, [民90], “隨機利率下台灣公債市場殖利率曲線之估計”,國立政治大學金融研究所碩士論文
    葉仕國,[民86],”整合性利率期限結構模型之實證研究”,國立台灣大學商學研究所博士論文
    Ahn, M. and H. Thompson, (1988),”Jump-Diffusion Processes and the Term
    Structure of Interest Rates”, The Journal of Finance 43, 1, 155-174.
    Balduzzi, P., S. Das, S. Foresi and R. Sundaram, (1996), A Simple Approach
    to Three-Factor Affne Term Structure Models, Journal of Fixed Income 6, 43-53.
    Brito, Ricardo D., and Flôres Jr., Renato G. (2001):”A Jump-Diffusion Yield-Factor Model of Interest Rates,” working paper.
    Chan, K., A. Karolyi, F. Longstaff. and A. Sanders, (1992), An Empirical
    Comparison of Alternative Models of the Short-Term Interest Rate, The
    Journal of Finance 47, 1209-1227.
    Cox, John C., Jon E. Ingersoll, and Stephen A. Ross, (1985b), “A Theory of the Term Structure of Interest Rates,” Econometrica, 385-407.
    Cliff, Michael T.(2003):”GMM and MINZ Program Libraries for MATLAB” Krannert Graduate School of Management Purdue University.
    Das, S., (1999), The Surprise Element: Jumps in Interest Rate Diffusions,
    Manuscript (Harvard Business School, Harvard University, Cambridge,
    MA).
    Dai, Q., and K. Singelton: “Specification Analysis of Affne Term Structure Models,” Journal of Finance.
    Duffie, Darrell, and Kan, Rui. (1996):”A Yield-Factor Model of Interest Rates,” Mathematical Finance, Vol. 6, No. 4, 379-406.
    Heath, D., R. Jarrow, & A. Morton., (1990), “Bond Pricing and the Term Structure of Interest Rates: A discrete time Approximation,” Journal of Financial and Quantitative Analysis, v25, 419-440.
    Piazzesi, M., (1999), A Linear-Quadratic Jump-Diffusion Model with Scheduled and Unscheduled Announcements, Manuscript (Department of Economics, Stanford University, Stanford, CA).
    Piazzesi, M., (2002), An Econometric Model of the Yield Curve with Macroeconomic Jump Effects, NBER working paper no. 8246.
    Description: 碩士
    國立政治大學
    金融研究所
    90352008
    91
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0090352008
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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