https://scholars.lib.ntu.edu.tw/handle/123456789/165805
Title: | 中央政府公債利率期間結構之研究:VASICEK模型與三次指數式逐步嵌入模型之比較 | Other Titles: | Term Structure of R.O.C. Treasuries:Vasicek v.s. Cubic Exponential Spline Models | Authors: | 李賢源 | Keywords: | Term Structure of Interest Rates;Yield Curve;Cubic Exponential Spline;Vasicek and Fong;Calibration | Issue Date: | 1999 | Publisher: | 臺北市:國立臺灣大學財務金融學系暨研究所 | Abstract: | This project studied the term structure of R.O.C. Treasuries and drew the yield curve for this market. Due to the fact of insufficient bonds in Taiwan Treasury market, the yield curve cannot be obtained via directly bootstrapping bond data. This project relied on term structure models of interest rates to find out the yield curve. The studied models include the Vasicek and Fong (1982) model and the Vasicek (1977) model. Parameters in the Vasicek model are estimated with the calibration approach. One-factor and two-factor Vasicek models are estimated. On the other hand, Vasicek and Fong’s model is estimated by the OLS approach and the spline approach. Based on the estimated parameters for respective models, the deviation between the theoretical price and the observed price are computed. The project therefore select the model with the least deviation to draw the yield curve for R.O.C. Treasury market. The empirical evidence indicates that the linear model of Vasicek and Fong has the less deviation than their nonlinear model and Vasicek model. Moreover, Vasicek and Fong’s nonlinear model also outperform Vasicek model. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/16232 | Other Identifiers: | 882416H002016 | Rights: | 國立臺灣大學財務金融學系暨研究所 |
Appears in Collections: | 財務金融學系 |
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882416H002016.pdf | 657.26 kB | Adobe PDF | View/Open |
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