| Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理所 === 91 === Term structure of interest rate is the yield curve of zero coupon bonds for different maturity under the same default risk. Compared with other bond market, the Taiwanese Government bond market is an illiquid bond market with trading volume; therefore, we must include the illiquidity constraint when estimating the term structure of interest rate in Taiwanese Government bond market. This paper uses the parsimonious model originally proposed by Nelson and Siegel (1987) to fit the term structure for Taiwanese Government bonds; the modified Gauss-Newton method is used to estimate the parameters. The results show that Nelson and Siegel model, Extend Nelson and Siegel model and Nelson-Siegel-Svensson Model are quite suitable to estimate the term structure of Taiwanese Government bond market. Besides the parameters of alone three models have different economic meaning, and the shape of term structure can be completely determining the sings of these parameters.
The empiric findings of this study as follows: (1) Without estimating the effects of illiquidity the R-square value of these three models are higher than 0.9, it shows the superiority of all the models. (2) The fitting performance of Extend Nelson and Siegel model is better then Nelson-Siegel model means that adding a parameter can better capture the shape of term structure. (3) Compared with the case not taking illiquidity constraint into consideration, these three models will have better fitting performance if illiquidity constraint is taken into consideration.
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