配適台灣票券市場遠期利率曲線：最大平滑度法與即期利率直接推估法
Other Title
Fitting the Forward Rate Curve of Taiwan Bill Market:
the Maximum Smoothness Approach vs the Implied Forward Rate Method
the Maximum Smoothness Approach vs the Implied Forward Rate Method
Date Issued
2000
Date
2000
Author(s)
DOI
892416H002015
Abstract
Two approaches of fitting forward
rate curves are explored in this paper,
including the maximum smoothness
approach proposed by Adams and
Deventer (1994) and the approach of
deriving implied forward rates from the
current term structure of commercial
paper prices. Two main topics are
studied: (1) which forward rate curve
generates implausibly high values of
forward rates or even negative values; (2)
which curves’ forward rates have more
effective forecasting power about the
future spot rates? The empirical
evidence indicates that: (1) on average,
both approaches generate the same
forward rates and do not produce
implausible values of forward rates; (2)
the generated forward rates have no
forecasting power on the future spot
rates.
Subjects
Term Structure of Interest
Rates
Rates
Implied Forward Rates
Forward
Rate Curve
Rate Curve
Spot Rate Curve
Yield
Curve
Curve
Maximum Smoothness
Publisher
臺北市：國立臺灣大學財務金融學系暨研究所
Type
report
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