積分型基礎樣條函數與利率期限結構估計

Interest Rate Term Structure Estimation with Integrated B-Spline Model

10.29723/TS.200707.0008

周建新(Jian-Hsin Chou)；于鴻福(Hong-Fwu Yu)；劉嘉烜(Chia-Hsuan Liu)

利率期限結構 ； 樣條函數 ； 修正高斯－牛頓法 ； Term structure of interest rate ； Spline ； modified Gauss-Newton method

東海科學

9卷1期（2007 / 07 / 01）

91 - 122

繁體中文

在利率期限結構的配適模型中，積分型基礎樣條函數係將折現因子設定為積分函數形式，故能得到較為精確且平滑之殖利率曲線。本文擬應用Ioannides (2003)所提出之積分型基礎樣條函數，來配適台灣公債市場的利率期限結構。本研究的樣本期間為2003年1月3日至2005年7月29日，以到期日在30年以內的台灣政府公債為研究樣本，總計公債樣本數為92筆。本文利用修正高斯牛頓法來求解模型中之參數，反推求得折現因子，透過轉換過程便可求得利率期限結構。實證研究發現在三種判斷準則上，積分型基礎樣條函數均顯著優於基礎樣條模型與Svensson模型，這顯示積分型基礎樣條函數，在台灣公債市場的利率期限結構估計上，具有相當不錯之配適能力。

Among term structure fitting models, the Integrated B-Spline model proposed by Ioannides (2003) specifies the discount factor as an integrated form, hence, it usually can obtain a more accurate and smooth yield curve. In this paper, we use the Integrated B-Spline model to fit the term structure of interest rates in Taiwan Government Bond (TGB) market. We use the weekly prices of almost all the government bonds during the sample period from January 2003 to July 2005. The sample comprises 92 TGBs with maturity dates less than 30 years. The modified Gauss-Newton method is used to estimate the embedded parameters, and the term structure of interest rates is obtained by transforming the discount factor into spot rate. The empirical results indicate that, under three criteria, the fitting performance of the Integrated B-Spline model is better than that of the B-Spline model and Svensson model. Therefore, we may suggest that the Integrated B-Spline model is more suitable to fit the term structure of Taiwan Government Bond market.

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