Forecasting the Term structure of Interest Rates and Trading Strategies:The Case of Taiwanese Government Bonds
碩士 === 國立臺灣科技大學 === 財務金融研究所 === 95 === Our aggressive government promotes the system of the bond market to improve in recent years. With accelerating specialization of the domestic capital market, it is eagerest that makes the participant in the market attempt to forecast the term structure of inter...
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ndltd-TW-095NTUS53040012015-12-11T04:04:31Z http://ndltd.ncl.edu.tw/handle/27154882462396272553 Forecasting the Term structure of Interest Rates and Trading Strategies:The Case of Taiwanese Government Bonds 臺灣利率期限結構預測與交易策略之研究 Yi-hsien Wang 王怡�� 碩士 國立臺灣科技大學 財務金融研究所 95 Our aggressive government promotes the system of the bond market to improve in recent years. With accelerating specialization of the domestic capital market, it is eagerest that makes the participant in the market attempt to forecast the term structure of interest rates in the future. In order to construct an efficient and accurate bond yield curve model, this study try to research the Multiple Discriminant Analysis Model of McAdams and Karagiannis (1994) in the first time. According to the daily data of the deal system by Taiwanese bond market, it forecasts that there is a tendency toward in the bond market. It is interesting to contrast the Nelson and Siegel (1987) Model. Through two trading strategies, this study can observe that two models can forecast the term structure of interest rates accurately. It shows to get to the result of positive returns. This research is by recommending and stating the basic definition of two interest rate models briefly. Using the operation of trading strategies, the investor can forecast the term structure of interest rates. With trading strategies, the investor can superior to understand the model of interest rates. This study of the MDA model, Nelson and Siegel model, conclusions are the followings : the Bullet-Barbell trading strategy has a characteristic of immunization. The spread trading strategy has characteristics, including of risky, and high expectancy return. It is possible that the model can forecast the term structure of interest rates, so that any kind of transaction strategies will get the brilliant performance. Bing-huei Lin 林丙輝 學位論文 ; thesis 63 zh-TW |
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碩士 === 國立臺灣科技大學 === 財務金融研究所 === 95 === Our aggressive government promotes the system of the bond market to improve in recent years. With accelerating specialization of the domestic capital market, it is eagerest that makes the participant in the market attempt to forecast the term structure of interest rates in the future. In order to construct an efficient and accurate bond yield curve model, this study try to research the Multiple Discriminant Analysis Model of McAdams and Karagiannis (1994) in the first time. According to the daily data of the deal system by Taiwanese bond market, it forecasts that there is a tendency toward in the bond market. It is interesting to contrast the Nelson and Siegel (1987) Model. Through two trading strategies, this study can observe that two models can forecast the term structure of interest rates accurately. It shows to get to the result of positive returns.
This research is by recommending and stating the basic definition of two interest rate models briefly. Using the operation of trading strategies, the investor can forecast the term structure of interest rates. With trading strategies, the investor can superior to understand the model of interest rates.
This study of the MDA model, Nelson and Siegel model, conclusions are the followings : the Bullet-Barbell trading strategy has a characteristic of immunization. The spread trading strategy has characteristics, including of risky, and high expectancy return. It is possible that the model can forecast the term structure of interest rates, so that any kind of transaction strategies will get the brilliant performance.
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author2 |
Bing-huei Lin |
author_facet |
Bing-huei Lin Yi-hsien Wang 王怡�� |
author |
Yi-hsien Wang 王怡�� |
spellingShingle |
Yi-hsien Wang 王怡�� Forecasting the Term structure of Interest Rates and Trading Strategies:The Case of Taiwanese Government Bonds |
author_sort |
Yi-hsien Wang |
title |
Forecasting the Term structure of Interest Rates and Trading Strategies:The Case of Taiwanese Government Bonds |
title_short |
Forecasting the Term structure of Interest Rates and Trading Strategies:The Case of Taiwanese Government Bonds |
title_full |
Forecasting the Term structure of Interest Rates and Trading Strategies:The Case of Taiwanese Government Bonds |
title_fullStr |
Forecasting the Term structure of Interest Rates and Trading Strategies:The Case of Taiwanese Government Bonds |
title_full_unstemmed |
Forecasting the Term structure of Interest Rates and Trading Strategies:The Case of Taiwanese Government Bonds |
title_sort |
forecasting the term structure of interest rates and trading strategies:the case of taiwanese government bonds |
url |
http://ndltd.ncl.edu.tw/handle/27154882462396272553 |
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