利率期限結構資訊對公債期貨避險之影響

The Impact of Term Structure Information on the Hedging of Government Bond Futures

10.6697/TBPJ.200906_2(2).0002

周建新(Jian-Hsin Chou)；張千雲(Chien-Yun Chang)；陳振宇(Zhen-Yu Chen)

卡曼過濾器 ； 利率期限結構 ； 避險比率 ； Kalman Filter ； Term Structure of Interests ； Hedge Ratio

臺灣企業績效學刊

2卷2期（2009 / 06 / 01）

169 - 191

繁體中文

本文以台灣公債現貨指數與台灣期交所發行之10年期公債期貨為例，利用卡曼過濾器(Kalman Filter)模型，探討Nelson and Siegel (1987)模型中的水平移動因子(β0)、斜率變化因子(β1)和曲度變化因子(β2)變化，對於避險比率估計的影響；同時本文以樣本外移動視窗技術，檢驗此一最適避險比率估計值的避險績效良寙。 實證結果顯示，國內公債期貨的最適避險比率之決定，確實會與利率期限結構所隱含之資訊內涵，具有統計上的顯著關聯性；然而在最適避險比率之持續性檢定上，並沒有足夠的證據能夠證明其與前期最適避險比率，具有統計上的關聯性。此外，在以不同現貨指數所建構的避險投資組合中，雖然樣本外避險績效在各種模型下的表現，無法一致地優於OLS模型，但仍優於避險效率為負值的完全避險策略，這說明了考慮利率期限結構資訊，確實有助於對國內公債期貨的最適避險比率之估計。

This paper employs the Kalman Filter to explore the impact of term structure information on estimating the hedge ratio for the 10 years Government Bonds futures trading in TAIFEX. Three parameters (i.e., the level parameter, β0; the slope parameter, β1; and the curvature parameter, β2) embedded in Nelson and Siegel (1987) are used to be the proxies for interest rate risk. In addition, a moving window technology is used to examine the out-of-sample hedging performance using different hedge ratio estimation models. The empirical results indicate that there is a statistically significant relationship between the optimal hedge ratio and the information contents embedded in the term structures. In addition, the persistence in time varying hedge ratio does not exist. i.e., the prior hedge ratio appears to be an insignificant determinant of hedge ratio in subsequent periods. In addition, it was found that, based on the Kalman Filter approach, the hedged portfolios of different maturity bond index will not necessarily have a greater out-of-sample hedging effectiveness than those based on Ordinary Least Squares (OLS) method. However, our proposed approach still provides better hedging performance than the naïve hedging strategy. Thus, we conclude that the information contents embedded in term structures are helpful in determining the hedge ratios of TAIFEX interest rate futures.

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