李賢源2006-07-262018-07-092006-07-262018-07-092000http://ntur.lib.ntu.edu.tw//handle/246246/16242本文探討(1) Adams and Deventer (1994) 最大平滑度配適法、以及(2)由 即期利率曲線直接轉換成隱含遠期利 率的方法，看兩種不同方法配適而得 之遠期利率曲線：(1)何種方法會有較 大之遠期利率值、或會有負的遠期利 率值等不合理之現象；(2)何種方法配 適而得之遠期利率預測相對應之未來 即期利率較準確。實證結果顯示， Adams and Deventer 模型所估之遠期 利率與國內票券次級市場商業本票的 利率期間結構之隱含遠期利率，平均 而言是一樣的。但是，由Adams and Deventer 模型所估之遠期利率與商業 本票的利率期間結構之隱含遠期利 率，兩者在預測對應之未來即期利率 的能力方面不佳，這個實證結果指出 不能應用推估之遠期利率來預測未來 的即期利率。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.application/pdf275719 bytesapplication/pdfzh-TW國立臺灣大學財務金融學系暨研究所Term Structure of Interest RatesImplied Forward RatesForward Rate CurveSpot Rate CurveYield CurveMaximum Smoothnessreporthttp://ntur.lib.ntu.edu.tw/bitstream/246246/16242/1/892416H002015.pdf