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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 姜堯民 | |
dc.contributor.author | Pin-Chu Wang | en |
dc.contributor.author | 王品筑 | zh_TW |
dc.date.accessioned | 2021-06-08T02:40:40Z | - |
dc.date.copyright | 2018-04-18 | |
dc.date.issued | 2018 | |
dc.date.submitted | 2018-02-26 | |
dc.identifier.citation | 國外文獻
1. Berman, J. (2013). The Maturity Structure of Treasury Debt: How Costly Is Mismanagement. The Yale Journal of Economics Fall 2013 Volume 2, 33-58. 2. Bierwag, G. O., Kaufman, G. G., and Khangy, C. (1978). Duration and bond portfolio analysis:an overview. The Journal of Financial and Quantitative Analysis, 13, 671-681. 3. Binsbergen, J. H., and Brandt, M. W. (2007). Optimal Asset Allocation in Asset Liability Management. The National Bureau of Economic Research, Working Paper. 4. Cassard, M., and Landau, D. F. (1997). Risk management of sovereign assets and liabilities. International Monetary Fund, Working paper. 5. Díaz, A., González, M. D. L. O., and Navarro, E. (2008). Bond Portfolio Imunization, Immunization Risk and Idiosyncratic Risk. Revista de Economia Financiera, 16, 8–25. 6. Fooladi, I., and Roberts, G. S. (1992). Bond Portfolio Immunization:Canadian Tests. Journal of Economics and Business, 44, 3-17. 7. Greenwood, R., Hanson, S. G. and Stein, J. C. (2008). A Gap-Filling Theory of Corporate Debt Maturity Choice. The National Bureau of Economic Research, Working Paper. 8. Greenwood, R., Hanson, S. G., & Stein, J. C. (2010). A Comparative-Advantage Approach to Government Debt Maturity. Harvard Business School, Working Paper. 9. Kaufman, G. G. (1983). Is immunization feasible? Evidence from the CRSP data. Innovations in Bond Portfolio Management: Immunization and Duration Analysis, 163-180. 10. McEnally, R. W. (1977). Duration as a practical tool for bond management. The Journal of Portfolio Management, 3, 53-57. 11. Sanchez, J. M., Sapriza, H., and Yurdagul, E. (2014). Sovereign Default and Maturity Choice. Federal Reserve Bank of St. Louis, Working Paper. 12. Wenzel, R. (2010). The Incredible Mismanagement of Treasury Debt. Economic Policy Journal. 國內文獻 1. 李賢源 (2002)。提升中央政府債務基金之管理績效。行政院財政改革委員會委託研究。 2. 林達聰、顏春蘭、陳瑞珍、徐振文、賴嘉華 (2009)。我國政府債務存續年期管理機制之研究。財政部國庫署98年度研究報告。 3. 徐振文 (2004)。健全我國中央政府債務基金運作效能之研究。國立政治大學行政管理碩士學程論文。 4. 陳建德 (2014)。美國十年期公債殖利率是否為景氣領先指標。國立成功大學財務金融研究所碩士論文。 5. 廖欽福 (2009)。財政紀律專題二:面對債務國家來臨的困境,台灣的因應之道。台灣新社會智庫。 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/20133 | - |
dc.description.abstract | 本研究主要在探討台灣政府發行公債時,在做發行年限選擇時是否有一定的標準,抑或是沒規則的發行。目前,台灣的公債市場尚未健全,且公債發行仍未完全的規律發行,因此希望透過本研究能找出政府發債的考量因子,同時給予相關建議。應變數部分將以加權平均存續期間以及加權平均到期期限來分別作迴歸,而本研究所推論政府考量的因子分別為各年度政府預算盈餘與赤字,長短期公債市場利率,每年度公債到期金額。同時,也使用美國數據作為對照,來看美國是否也依據本研究所列出的因子在做發債年期選擇考量。
實證結果顯示,2003至2016年的研究期間,不論台灣及美國的政府預算盈餘與赤字和加權平均到期期限以及存續期間有負向相關,尤以美國特別顯著。代表政府赤字越嚴重時,政府會選擇多發行長期公債作為因應。而公債市場利率則與發行年限較無顯著關係。最後,以公債到期金額來看,因各年期公債分類不同,同時因為三十年公債近年來才較為廣泛且大量的發行,可能會導致研究結果有所偏誤,其結果不顯著。綜上所述,本研究指出,政府公債發行時最主要考量的因素為預算。 | zh_TW |
dc.description.abstract | This paper examines the factors which will be taken into account when Taiwan Government issues the treasury notes and bonds. Also, the test that is there with same criteria when the government decides what kind of government notes and bonds they issue, how long the maturity is, and how many quantities are issued. Taiwan government bond market still not is perfect and regular-issued. So, I hope to find the factors that affect government bond issued and give some advice. The dependent variable will use weighted average duration and weighted average maturity to regress. The independent variable will be government budget surplus or deficit, three months government bills market interest rate, ten years government bonds market interest rate, and the bonds amount retired every year. This paper also compares with the US data. To see if the US would consider the same factors when issuing the government bonds.
The empirical results reveal that not only Taiwan but also the US, the government budget will affect the weighted average duration and weighted average maturity. And they present negative correlation. It means that when the government budget deficit more serious the government will choose to issue longer maturity bonds. However, the bonds market interest rate is not significant correlation. Last, the bonds amount retired every year will be affected by the bonds classification. Also, the thirty years bonds issued large and stable in the recent year, so it might cause the bias, and make the result no significant. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T02:40:40Z (GMT). No. of bitstreams: 1 ntu-107-R04723015-1.pdf: 1346963 bytes, checksum: d4f20f4ec3814f297f6631dcb7576ead (MD5) Previous issue date: 2018 | en |
dc.description.tableofcontents | 誌謝 I
摘要 II ABSTRACT III 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 3 第三節 研究架構及流程 5 第二章 文獻回顧 5 第一節 年度預算 6 第二節 利率變動 8 第三節 存續期間配合與到期期限配合 9 第三章 研究方法 14 第一節 研究範圍 14 第二節 變數選擇與說明 15 第三節 研究假設 20 第四節 模型建立 24 第四章 實證分析及結果 30 第一節 台灣實證結果 30 第二節 美國實證結果 44 第五章 結論與建議 55 第一節 結論 55 第二節 建議 56 參考文獻 57 | |
dc.language.iso | zh-TW | |
dc.title | 台灣政府公債發行期限之選擇因素 | zh_TW |
dc.title | The Selection Factors of Maturity in Taiwan Government Bond | en |
dc.type | Thesis | |
dc.date.schoolyear | 106-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 張邦茹,黃柏凱 | |
dc.subject.keyword | 加權平均存續期間,加權平均到期期限,政府預算,公債市場利率,公債到期金額, | zh_TW |
dc.subject.keyword | weighted average duration,weighted average maturity,budget,market interest rate,bonds retired amount, | en |
dc.relation.page | 58 | |
dc.identifier.doi | 10.6342/NTU201800665 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2018-02-26 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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