利率期限結構之估計與債券交易策略

Abstract

本研究以Nelson & Siegel為模型，利用高斯牛頓法迭代求解，估計台灣公債殖利率曲線。實證結果發現，此模型可捕捉市場上殖利率期限結構之形狀：正斜率帶駝峰狀，負斜率帶凹谷狀，以及單調遞增。此篇研究更是以台灣公債為資料，建構台灣公債交易之策略，以此探討台灣公債市場是否存有套利機會，並發現Nelson & Siegel模型可有效地估計台灣公債利率期限結構，並可視為債券交易策略背後之可靠工具。

This paper uses Nelson & Siegel model, the parsimonious model to fit the term structure in Taiwan bond market. We use the Newton-Gaussian method to estimate parameters of the yield curves. During the observation period, the estimated yield curve had various shapes. Nelson & Siegel model could describe the shapes of yield curves: monotonic, humped and S-shaped and is consistent with the real market. In addition, this paper will develop some trading strategies to examine whether Nelson & Siegel model could be a powerful tool to estimate the term structure interest rate in Taiwan bond market