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 Title
Term Structure of R.O.C. Treasuries：Vasicek v.s. Cubic Exponential Spline Models
Date Issued
1999
Date
1999
Author(s)
DOI
882416H002016
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.
Subjects
Term Structure of Interest
Rates
Rates
Yield Curve
Cubic Exponential
Spline
Spline
Vasicek and Fong
Calibration
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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