Term Structure Fitting and Bond Trading Strategy

• Main Authors: Lai Yen-Ru, 賴彥汝
• Other Authors: 李存修
• Format: Others
• Language: en_US
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/40001084781214797074

碩士 === 國立臺灣大學 === 財務金融學研究所 === 93 === This paper uses Nelson & Siegel model, the parsimonious model to fit the term structure in Taiwan bond market. We use the Newton-Gaussian method to estimate parameters of the yield curves. During the observation period, the estimated yield curve had various shapes. Nelson & Siegel model could describe the shapes of yield curves: monotonic, humped and S-shaped and is consistent with the real market. In addition, this paper will develop some trading strategies to examine whether Nelson & Siegel model could be a powerful tool to estimate the term structure interest rate in Taiwan bond market