台灣公債市場價格效率性之探討

The Analysis on Pricing Efficiency of Taiwan Government Bond Market

葉俊傑(Chun-Chieh Yeh)

指導教授 ： 蕭榮烈

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2015年)

摘要

證券櫃買中心於2006年建構台灣公債之零息殖利率曲線並提供公債公平價格評價、利率衍生性金融商品定價及利率資產與負債風險管理之用途，本文藉由分析公債市場成交殖利率與理論殖利率之差異的影響因素及其相關性程度，作為提供國內銀行業、證券商、票券商、保險業者等金融機構及投資法人預測或分析公債殖利率走勢之參考依據。
本研究加入五年、十年、二十年殖利率差落後期等控制變數以及央行升、降息時段等虛擬變數於實證迴歸模型，並採用逐步迴歸分析法(Stepwise Regression)選擇顯著性解釋變數建構配適度佳之多元迴歸模型，並以近似無相關迴歸分析法(Seemingly Unrelated Regression)就多變量迴歸模型進行估計與分析，得出有效、不偏之影響價格效率顯著性因素。
實證結果發現，分析五年期公債價格效率性因素中，得出正向影響因素為核心CPI年增率、新台幣兌美元匯率、美國聯邦基金利率及貨幣機構實際流動準備值；十年期公債價格效率性之正向影響因素為央行1-30天期定存單利率及貨幣機構實際流動準備值，負向影響因素為國內銀行業淨買賣超金額及證券業淨買賣超金額；二十年期公債價格效率性因素中，得出負向影響因素為證券業淨買賣超金額，且於央行採行升息階段中，公債價格效率相較於利率穩定期間顯著改善，然而降息期間價格效率卻反而變得更差。

關鍵字

逐步迴歸分析法 ； 價格效率性 ； 殖利率差 ； 台灣公債 ； 近似無相關迴歸分析法

並列摘要

Taipei Exchange has constructed zero-coupon yield curve of Taiwan government bonds in 2006 to provide the fair price of the government bonds on the evaluation of bonds, the pricing of interest rate derivatives, and the interest-rate risk management of assets and liabilities. This paper studies the factors which affect the difference between the market yield and theoretical yield and examines the correlation analysis of them in order to propose the recommendations, or references in the prediction and analysis of the bond yields for the banks, securities companies, bills finance corporations, insurance companies, and investment institutions in Taiwan.
Integrating the five-year, ten-year, and twenty-year government bond yield spreads as controlled variables and the interest rates changed by Central Bank of the Republic of China (CBC) as dummy variables into the empirical regression model, this research obtains the significant factors of price efficiency by Stepwise Regression model and Seemingly Unrelated Regression Model.
The empirical results conclude that the positive factors of the five-year- government-bond price efficiency are core consumer price index, NTD/USD exchange rate, federal fund rate, and the actual liquid reserves of deposit money banks, the ten-year government bond’s factors are 1-month negotiable certificates of deposits weighted rate issued by CBC and the actual liquid reserves of deposit money banks, with the negative effects are the net amount of outright purchase and sale in banks and securities companies, and the positive effects of the twenty-year government bond’s factor is the net amount of outright purchase and sale in securities companies. Compared with interest rate changed, price efficiency of twenty-year government bond is more significant efficient in the interest-rate-rising period and it becomes less in the interest-rate-lowering period.

並列關鍵字

Stepwise Regression Model ； price efficiency ； yield spread ； Taiwan government bond ； Seemingly Unrelated Regression Model

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