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題名：應用Generalized M-vector模型於臺灣公債市場免疫策略之實證
書刊名：中山管理評論
作者：周建新 引用關係／于鴻福 引用關係／張千雲 引用關係／李欣芳
作者(外文)：Chou, Jian-hsin／Yu, Hong-fwu／Chang, Chien-yun／Lee, Hsin-fang
出版日期：2009
卷期：17:2
頁次：頁483-515
主題關鍵詞：利率期限結構；Exponential B-spline模型；免疫策略；Generalized M-vector 模型；Term structure of interest rates；Exponential B-spline model；Immunization strategy；Generalized M-vector model
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台灣公債市場免疫策略的實證研究中，傳統的免疫模型（例如M-square、M-absolute、M-vector等模型），皆可以得到不錯之免疫績效。Nawalkha et al. (2003)改良了前述傳統免疫模型，利用與現金流量到期日函數有關的債券報酬函數之泰勒展開式，並提出了Generalized M-vector模型。然而此一Generalized M-vector模型，是否能在台灣公債市場達成較好的免疫績效，仍不得而知。本研究首先採用指數基礎樣條模型為基礎，估計台灣公債市場的利率期限結構，並用以建構債券投資組合，以檢驗Generalized M-vector模型在台灣公債市場免疫策略之投資績效。實證結果發現：（一）公債投資組合中不存在債券賣空的限制下，Generalized M-vector模型的免疫績效是優於M-vector模型；（二）若公債投資組合中存在債券賣空的情況下，則Generalized M-vector模型的免疫績效，並未一致性的優於M-vector模型。
In Taiwan Government bond market, the empirical studies of bond immunization have shown that the traditional duration vector models, including the M-square, M-absolute and M-vector model, can offer good immunization performance. Recently, Nawalkha et al. (2003) corrected the aforementioned traditional duration vector models and derived a Generalized M-vector model, which is based on the Taylor series expansion of the bond return with respect to specific functions of the cash flow maturities. However, there is still no empirical result for applying this Generalized M-vector model in Taiwan Government bond market. This paper uses the exponential B-spline model to estimate the term structure of interest rates in Taiwan Government bond market and investigates the hedging performance of government bond portfolio constructed by the Generalized M-vector model approach. The empirical results indicate that (1) the Generalized M-vector model will provide better hedging performance than M-vector model when short selling in cash bond market is not allowed, (2) if short selling in cash bond market is allowed, we conclude that the Generalized M-vector model is not necessarily better than M-vector model in hedging the interest rate risk of bond portfolio.
期刊論文
1.林丙輝、周建新(19980100)。Pricing and Hedging of Cash-Settled Bond Futures。中國財務學刊，5(3)，1-32。new window  延伸查詢new window
2.Steeley, J. M.(1991)。Estimating the Gilt-Edged Term Structure Basis Splines and Confidence。Journal of Business Finance and Accounting，18(4)，513-529。  new window
3.Lin, B. H.(2002)。Fitting the term structure of interest rates using B-spline : the case of Taiwanese government bonds。Applied Financial Economics，12，55-75。  new window
4.Hartley, H. O.(1961)。The Modified Gauss-Newton Method for the Fitting of Non-Linear Regression Functions by Least Squares。Technometrics，3(2)，269-280。  new window
5.McCulloch, J. H.(1971)。Measure the Term Structure of Interest Rates。Journal of Business，44(1)，19-31。  new window
6.Shea, G. S.(1985)。Interest Rate Term Structure Estimation with Exponential Splines: A Note。Journal of Finance，40(1)，319-325。  new window
7.Barrett, W. B.、Gosnell, Jr. T. F.、Heuson, A. J.(1995)。Yield curve shifts and the selection of immunization strategies。Journal of Fixed Income，5(2)，53-64。  new window
8.Nelson, C. R.、Siegel, A. F.(1987)。Parsimonious Modeling of Yield Curves。The Journal of Business，60(4)，473-489。  new window
9.周建新、于鴻福、張千雲(20030800)。利率期限結構估計模型之實證研究。管理學報，20(4)，775-804。new window  延伸查詢new window
10.謝承熹(20000800)。以分段三次方指數函數配適臺灣公債市場之利率期限結構：線性最適化與非線性最適化之比較。中國財務學刊，8(2)，25-47。new window  延伸查詢new window
11.Fisher, L.、Weil, R. L.(1971)。Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naïve and Optimal Strategies。The Journal of Business，44(4)，408-431。  new window
12.Vasicek, O. A.、Fong, H. G.(1984)。A Risk Minimizing Strategy for Portfolio Immunization。The Journal of Finance，39(5)，1541-1546。  new window
13.Redington, F. M.(1952)。Review of the Principle of Life-office Valuations。Journal of the Institute of Actuaries，78(3)，286-340。  new window
14.Chambers, D. R.、Carleton, W. T.、Waldman, D. W.(1984)。A New Approach to Estimation of the Term Structure of Interest Rates。Journal of Financial and Quantitative Analysis，19(3)，233-252。  new window
15.李桐豪(20010300)。債券市場發展對貨幣政策之影響。中央銀行季刊，23(1)，23-45。new window  延伸查詢new window
16.Vasicek, Oldrich A.、Fong, H. Gifford(1982)。Term Structure Modeling Using Exponential Splines。Journal of Finance，37(2)，339-348。  new window
17.史綱、丁子雲(1992)。臺灣公債組合的利率風險免疫性策略研究。證券市場發展季刊，16，99-123。new window  延伸查詢new window
18.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，6(1)，49-74。new window  延伸查詢new window
19.周建新、于鴻福、張千雲、楊孟波(2002)。利率期限結構變動與公債投資組合免疫策略。企業管理學報，59，97-122。new window  延伸查詢new window
20.Chambers, D. R.、Carleton, W. T.、McEnally, R. W.(1988)。Immunizing Default-free Bond Portfolios with a Duration Vector。Journal of Financial and Quantitative Analysis，23(1)，89-104。  new window
21.Fong, H. G.、Vasicek, O.(1983)。The Tradeoff between Return and Risk in Immunized Portfolios。Financial Analysts Journal，39(5)，73-78。  new window
22.Lin, B. H.(1999)。Fitting the Term Structure of Interest Rates for Taiwanese Government Bonds。Journal of Multinational Financial Management，9(3/ 4)，331-352。  new window
23.Macaulay, F. R.(1938)。Some Theoretical Problems Suggested by the Movement of Interest Rates, Bond Yields, and Stock Prices in the U.S. Since 1856。Journal of the Royal Statistical Society，101(3)，620-623。  new window
24.Nawalkha, S. K.、Chambers, D. R.(1996)。An Improved Immunization Strategy: M-absolute。Financial Analysts Journal，52(5)，69-76。  new window
25.Nawalkha, S. K.、Chambers, D. R.(1997)。The M-vector Model: Derivation and Testing of Extensions to M-square。Journal of Portfolio Management，23(2)，92-98。  new window
26.Nawalkha, S. K.、Soto, M. G.、Zhang, J.(2003)。Generalized M-vector Models for Hedging Interest Rate Risk。Journal of Banking and Finance，27(8)，1581-1604。  new window
27.Soto, G. M.(2001)。Immunization Derived from a Polynomial Duration Vector in the Spanish Bond Market。Journal of Banking & Finance，25(6)，1037-1057。  new window
28.Wu, T.(2003)。What Makes the Yield Curve Move?。FRBSF Economic Letter，15，1-3。  new window
研究報告
1.Deacon, M.、Derry, A.(1994)。Estimating the Term Structure of Interest Rates。Bank of England。  new window
2.Waggoner, D. F.(1997)。Spline Methods for Extracting Interest Rate Curves from Coupon Bond Prices。Federal Reserve Bank of Atlanta。  new window
3.Wu, T.(2001)。Monetary Policy and the Slope Factor in Empirical Term Structure Estimations。  new window
學位論文
1.吳逸豪(1998)。債券價格之N階泰勒展開式的免疫效果(碩士論文)。國立臺灣大學。  延伸查詢new window
2.賴曉璐(1997)。政府公債殖利率曲線形狀與免疫策略的選擇(碩士論文)。國立台灣大學。  延伸查詢new window
3.郭鎧輝(1998)。公債免疫投資組合在臺灣公債市場之研究--M-VectorModel之實證研究與模擬分析(碩士論文)。國立中正大學。  延伸查詢new window
4.吳文榮(1994)。臺灣公債利率風險免疫投㈾組合之最佳策略。  延伸查詢new window
5.李佳樹(1997)。政府公債免疫投資策略之研究。  延伸查詢new window
6.張麗娟(1993)。臺灣公債免疫投資組合之策略。  延伸查詢new window
圖書
1.Powellm, M. J. D.(1981)。Approximation Theory and Methods。New York：Cambridge University Press。  new window
 
 
 
 
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