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題名：利率期限結構估計與其資訊內涵應用
作者：張千雲 引用關係
作者(外文)：Chien-Yun Chang
校院名稱：國立高雄第一科技大學
系所名稱：管理研究所
指導教授：周建新
學位類別：博士
出版日期：2008
主題關鍵詞：債券基金；利率期限結構；主成份分析；極端值理論；Nelson-Siegel模型；Nelson and Siegel model.；bond fund；term structure of interest rate；principle component analysis；extreme value theory
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本文將針對國內資本市場中，與利率相關性較高的債券基金與金融機構股票，做為本文的二大研究議題，並分別探討利率期限結構資訊內涵，是否能解釋債券基金報酬與金融機構股票風險的變動，幫助投資人分別就報酬與風險，擬定投資策略或進行風險管理。
在主題一的部份，實證結果發現：(1)部份債券基金的特性會影響基金的績效；(2)國內債券基金超額報酬率，對於長短期利差變動所帶來的利率風險最為敏感；此外，固定收益型債券基金對於利率期限結構變動的敏感度，較類貨幣型債券基金為低；(3)本文以利率期限結構變化為策略執行的訊號，模擬債券基金的投資，無論就固定收益型或類貨幣型債券基金之績效而言，債券基金特性的資訊與對市場利率風險的掌握，將有助於投資人獲取較佳的操作績效。
在主題二的部份，本文結合金融機構股票報酬率的時間序列與橫斷面資料，利用極端值理論，並以Nelson-Siegel模型的水平移動 、斜率變化與曲度變化三者，做為利率因子的替代變數，探討利率因子變化對於金融類股風險值的影響程度。實證結果顯示利率因子與金融機構風險值間呈現負向關係，代表利率下降會導致金融機構的風險值增加。對於不同業務內容的金融機構，其風險值與利率變化的關聯性亦有所不同。而金控業由於其業務多元化可以分散風險，故能有效降低長短期利率變化對於其風險值的影響程度。
This paper investigates the information content embedded in the term structure of interest rates. The bond fund returns and the Value-at-Risk (VaR) for stock returns of financial institutions are intensive examination in the thesis.
In the first part of the thesis, the empirical results indicate that, First, the partial characters of bond funds present significant influences on both quasi money market fund and the real bond fund returns. Second, the results also show that the slope factor, it has a significantly positive effect on bond fund returns. Thus, the effects of the term structure of interest upon the real bond fund returns are less sensitive than that upon the quasi money market fund. Third, this paper simulates active trading strategy base on the signal of the variation of the term structure of interest rate. The result supports the strategy with the bond fund characters and term structure of interest rate can obtain excess return for all bond funds.
In the second part, a time-series and cross-sectional combined data is employed. We investigate the relationship between the Value-at-Risk (VaR) for stock returns of financial institutions base on extreme value theory (EVT) and three interest rates factors based on Nelson-Siegel (1987) model. The empirical results indicate that a negative relationship between the calculated VaRs and the interest rate factors is significant. In addition, we conclude the outcome is quite different among different financial sector stocks. The financial holding companies could diversify their business risk, and it can effectively reduce the impact of term structure movements on their VaR calculations.
The employment of information contents from term structure estimating should be definitely necessary and imperative. The results of this paper can be helpful for the investors to draft their strategies and to effectively manage their portfolios.
一、中文部份
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4.周建新、于鴻福、張仲賢、張千雲，2004，「以修正之B-Spline 模型建構台灣公債市場之利率期限結構」，輔仁管理評論，第12卷，第2期，41-66頁。
5.周建新、于鴻福、陳振宇，2006，「台灣政府公債市場遠期利率期限結構之估計-GCV模型與VRP模型之比較」，商管科技季刊，第7卷，第1期，103-127頁。new window
6.周建新、于鴻福、胡德榮，2006，「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」，管理研究學報，第6卷，第1期，49-74頁。new window
7.周建新、于鴻福、張千雲，2003a，「利率期限結構估計模型之實證研究」，管理學報，第20卷，第4期，767-796頁。new window
8.周建新、于鴻福、張千雲，2003b，「以線性規劃法估計台灣公債市場利率期限結構之實證研究」，管理科學研究，第1卷，第1期，31-47頁。new window
9.周建新、黃彥騰，2005，「應用 Chebyshev Polynomials模型估計台灣公債市場之利率期限結構」，台灣金融財務季刊，第6卷，第1期，11-29頁。new window
10.陳其財，2006，「行政院金融監督管理委員會處理國內債券基金持有結構式債券問題之探討」，證券暨期貨月刊，第24卷，第12期，47-62頁。
11.陳振遠、高蘭芬、劉永仁，2005，「基金經理人群集行為與股價關聯性之探討」，管理科學與統計決策，第2卷，第1期，51-66頁。new window
12.陳安琳、洪嘉苓、李文智，2001，「共同基金經理團隊屬性與基金績效之研究」，證券市場發展季刊，第13卷，第3期，1-27頁。new window
13.許培基、陳軒基、黃淑貞，2005，「基金經理人為何出現群集行為？」，管理評論，第24卷，第4期，57-81頁。new window
14.黃聖棠、溫英幹、鄢欽瑞，2006，「共同基金之績效評比－台灣地區之實證研究(1995-2002)」，華岡經濟論叢，第5卷第2期，31-67頁。
15.廖麗娟，2005，「以風險值(Value at Risk)之觀念衡量債券基金市場風險」，證券櫃檯，第111期，36-56頁。
16.蔣松原，2000，「建構台灣公債市場殖利率曲線」，貨幣觀測與信用評等，第22卷，99-119頁。
17.謝承熹，2000，「以分段三次方指數函數配適台灣公債市場之利率期限結構：線性最適化及非線性最適化之比較」，中國財務學刊，第8卷，第2期，25-47頁。




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