The Impact of Structural Change on the Calibration of Interest Rate Models: A Case Study for the Taiwan Insurance Market

結構性變化對利率模型校準之影響：台灣保險市場的實證研究

張智凱(Chih-Kai Chang)

《中國統計學報》 50卷3期 (2012/09) Pp. 105-125

https://doi.org/10.29973/JCSA.201209.0001

摘要

結構性變化將導致時間序列過程違反均數復歸的性質。本文利用統計方法以決定台灣利率資料的結構性變化時間點，所得到的結構性變化時間點與中央銀行2007年增加外匯準備之政策導致利率攀升之時間點吻合，而另一個結構性變化時間點為2008年底之金融危機。此一實證結果顯示，藉由統計模型決定之結構性變化時間點，採用金融危機後的資料校準模型比忽略結構性變化時間點之模型描述利率走向與均數復歸之效果較佳。整體而言，若利率變動為非線性但以均數復歸之模型配置之，將導致產生偏誤之利率情境。風險分析人員應注意資料中隱含之結構性變化，才能產生與合理之利率情境。

關鍵字

校準 ； 金融危機 ； 均數復歸 ； 單位檢定 ； 結構性變化

並列摘要

Structural change causes the underlying time series process to violate the mean-reversion property. This paper proposes a statistical procedure to determine the structural break dates for interest rate data in Taiwan. The break dates coincide with the interest rate hikes caused by the Central Bank's monetary policy of increasing foreign saving reserves during 2007 and the financial crisis at the end of 2008. Accordingly, the empirical results in this paper show that the calibration model with the dataset after the structural break date captures the downward trend and mean reversion pattern better than that of the whole historical dataset. Overall, if the interest rate is indeed nonlinear and is modeled on a simple mean reversion model, the resulting interest rate scenarios can be biased and inaccurate. Due to such a structural break nature, risk analysts must be cautious when specifying a time series process for consistent market interest rate scenarios.

並列關鍵字

Calibration ； financial crisis ； mean reversion ； unit root tests ； structural change

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