- 學位論文
台灣地區短天期債券附條件交易利率差之研究
A Study 0n The Spread between short dated Repo Rates and Reverse Repo Rates in Taiwan
摘要
儘管金融市場中衍生性商品的文獻不斷出現，但是對於附條件交易的RP(repurchase agreement)市場於大競爭環境中，實務操作上常見於資金運用方面，而學術研究報導卻很少見。鑑於近年來附條件交易市場之活絡及交易量與日劇增，為喚起國人的重視與了解因此本人以2003年八月十一日到2004年八月十日共252筆日統計資料，對臺灣地區貨幣市場三種不同天期債券附賣回與附買回加權平均利率差的行為，進行實證分析，期能找尋影響利率差的因素以及各種附條件交易之性質與功能。以使市場中操作者作最有利之判斷，及最大利潤的選擇以因應經營環境變動中之挑戰，並立於不敗之地。 綜合本文所獲得重要結論如下：第一，臺灣地區貨幣市場三種債券附條件交易，完全不受拆款利率變動所影響。 第二，隔夜、2-10天、11-20天三種附條件交易，各自受到不同外生變數所影響；其中外匯市場的變動影響及於20天以內之附條件交易，股票市場的變動僅影響及於31天以上的長天期附條件交易。第三，隔夜、2-10天、11-20天、三種附條件交易三個市場的利率差變動幅度的變動，皆呈現過度調整的現象。最後，2-10天附條件交易，主要是扮演沖銷其他期別附條件非配對策略下所產生部位不平衡的功能。
並列摘要
This article attempts to uncover the behavior and the function of the spread between the repo rates and reverse repo rates on bond transactions in Taiwan’s money market. Using 252 daily data covering the period between August 11, 2003 and August 10, 2004, the behavioral equations which are derived from the operating strategies of the bond dealers as well as three exogenous variables, the overnight call loan rate, the stock price index and foreign exchange rate, are formulated to interpret the behavior of five different kinds of interest rate spreads and estimated by OLS. The empirical results have shown different behavior among the interest rate spreads over the five different categories are：First, the overnight call loan rates have no effect at all on the spreads. Second, the overnight repos and the below 20 days term repos rates spreads are affected by the foreign exchange market movements; while the above 30 days term repos rates spreads are affected by the stock market movements. These results exhibits strong complements between the five different repo agreements and the call loan market；and strong substitutes between corresponding repos and the associated financial assets, namely the stock and the foreign exchange. Third, the 2-10 days and the 21-30 days term repos act only as absorbers to the mismatched strategy conducted by the other term repos and reverses. Finally, the adjustments rates of all five spreads exhibit strong overshooting.