台灣短期利率模型之預測績效

The Forecasting Performance of Taiwan short-term Interest Rate Models

李政峰(Cheng-Feng Lee)；連春紅(Chun-Hung Lien)；陳榮方(Jung-Fang Chen)；楊敏里(Min-Li Yang)

短期利率模型 ； CKLS模型 ； 均數復歸 ； 樣本外預測績效 ； short-term interest rate model ； CKLS model ； mean reversion ； out-of-sample forecasting performance

企業管理學報

68期（2006 / 03 / 01）

57 - 86

繁體中文

連續時間的利率模型在衍生性產品訂價與風險管理上至為重要，本文由預測績效的角度估計並比較連續短期利率模型在實證上表現，以選擇最適合描述台灣商業本票利率的模型。在參數估計方面，本文使用Nowman(1997)之近似做法將連續的利率過程寫成間斷模型，再利用準最大概似法(QML)估計之，並以資料的配適及樣本外預測績效之優劣比較各模型。實證結果顯示，台灣短期利率具有均數復歸現象，且波動性受利率水準值的影響，其敏感度係數估計值小於1，遠低於CKLS(1992)與Nowman(1997)所報導的美國實證結果；相較於一般化的未受限制利率模型，台灣短期利率以CIR-SR模型在資料配適度表現最好，但在預測績效之表現方面，考慮均數復歸且波動性隨利率水準值變動，並不能提升模型預測之精確度。

Continuous time interest rate models are very important in the pricing of derivative products and risk management. This paper estimates and compares several continuous short-term interest rate models, then attempts to find out the best interest rate model for Taiwan Commercial Paper. This study utilizes QML to estimate and compare the performance of continuous time short-term interest rate models of Taiwan Commercial Paper rate. It discretizes the continuous time models by using approaches of Nowman (1997), then this paper uses weekly and monthly data to estimate the parameters. The models are evaluated by data fit and out-of-sample forecasting performance. As for as Taiwan short-term interest rate is concerned, mean reversion exists and the relationship between the volatility of rate and the level is less than 1 and smaller than that of American T-bill rate reported in CKLS(1992) and Nowman (1997). This study also finds that CIR-SR model performs the best in terms of data fit, but not for forecasting performance.

1. 林常青,洪茂蔚,管中閔(2002).台灣短期利率的動態行為：狀態轉換模型之應用.經濟論文,30(1),29-55.
   連結：
2. Ait-Sahalia, Yacine(1999).Transition Densities for Interest Rate and Other Nonlinear Diffusions.Journal of Finance,54,1361-1395.
3. Ait-Sahalia, Yacine(2002).Maximum Likelihood Estimation of Discretely Sampled Diffusion: A Closed-form Approximation Approach.Econometrica,70,223-262.
4. Bandi, F.M.,P. C. B. Phillips(2003).Fully Nonparametric Estimation of Scalar Diffusion Models.Econometrica,71,241-283.
5. Bergstrom, A. R.(1984).Continuous Time Stochastic Models and Issues of Aggregation over Time.Handbook of Econometrics,2,1146-1210.
6. Bergstrom, A. R.(1990).Continuous Time Econometric Modelling.Oxford:Oxford University Press.
7. Bergstrom, A. R.(1983).Gaussian Estimation of Structural Parameters in Higher-Order Continuous Time Dynamic Models.Econometrica,51,117-152.
8. Bergstrom, A. R.(1986).The Estimation of Open Higher-Order Continuous Time Dynamic Models with Mixed Stock and Flow Data.Econometric Theory,2,350-373.
9. Bergstrom, A. R.(1985).The Estimation of Parameters in Nonstationary Higher-Order Continuous Time Dynamic Models.Econometric Theory,1,369-385.
10. Brennan, M. J.,Schwartz, E. S.(1980).Analyzing Convertible Bonds.Journal of Financial and Quantitative Analysis,15,907-929.
11. Brenner, R. J.,Harjes, R. H.,Kroner, K. F.(1996).Another Look at Models of the Short-Term Interest Tate.Journal of Financial and Quantitative Analysis,31(1),85-107.
12. Byers, S. L.,K. B. Nowman(1998).Forecasting U.K. and U.S. Interest Rates Using Continuous Time Term Structure Models.International Review of Financial Analysis,7(3),191-206.
13. Chan, K. C.,Karolyi, G. A.,Longstaff, F. A.,Sanders, A. B.(1992).An Empirical Comparison of Alternative Models of the Short-Term Interest Rate.Journal of Finance,47,1209-1227.
14. Cox, J. C.,Ingersoll, J. E.,Ross, S. A.(1980).An Analysis of Variable Rate Loan Contracts.Journal of Finance,35,389-403.
15. Cox, J. C.,Ingersoll, J. E.,Ross, S. A.(1985).A Theory of the Term Structure of Interest Rates.Econometrica,53,385-407.
16. Dahlquist, M.(1996).On Alternative Interest Rate Processes.Journal of Banking and Finance,20,1093-1119.
17. Dothan, L.(1978).On the Term Structure of Interest Rates.Journal Financial Economics,6,59-69.
18. Duffie, D.,K.J. Singleton(1993).Simulated Moments Estimation of Markov Models of Asset Prices.Econometrica,61,929-952.
19. Fair, R.,Shiller, R.(1990).Comparing Information in Forecasts from Econometric Models.Economic Review,80,375-389.
20. Florens-Zmirou, D.(1993).On Estimating the Diffusion Coefficient from Discrete Observations.Journal of Applied Probability,30,790-804.
21. Glosten, L. R.,R. Jaganathan,D. E. Runkle(1993).On the relation between the expected value and the volatility of the nominal excess return on stocks.Journal of Finance,48,1779-1801.
22. Gray, S. F.(1996).Modelling the Conditional Distribution of Interest Rates as a Regime-Switching Process.Journal of Financial Economics,42,27-62.
23. working paper.
24. Lo, Andrew W(1988).Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data.Econometric Theory,4,231-247.
25. Merton, R.(1973).Rational Theory of Option Pricing.Bell Journal of Economics and Management Science,4,141-183.
26. Nowman, K. B.(2002).The Volatility of Japanese Interest Rates Evidence for Certificate of Deposit and Gensaki Rates.International Review of Financial Analysis,11,29-38.
27. Nowman, K. B.(1997).Gaussian Estimation of Single-Factor Continuous Time Models of the Term Structure of Interest Rates.Journal of Finance,5,1695-1706.
28. Nowman, K. B.,B. Saltoglu(2003).Continuous Time and Nonparametric Modelling of U.S. Interest Rate Models.International Review of Financial Analysis,12,25-34.
29. Vasicek, O. A.(1977).An Equilibrium Characterization of the Term Structure.Journal of Financial Economics,5,177-188.
30. 張美菁(2001).高雄第一科技大學金融營運所.

1. 陳炤良(2018)。通貨膨脹連動之退休金帳戶保證價值。企業管理學報，116，53-76。