利率期間結構，通貨膨脹，與通膨連結交換

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Title:	利率期間結構，通貨膨脹，與通膨連結交換
Authors:	黃鴻明
Contributors:	中央大學財務金融學系
Keywords:	經濟學;通貨膨脹;仿射模型;卡曼濾波器;inflation;affine model;Kalman filter
Date:	2008-09-01
Issue Date:	2012-10-01 15:39:16 (UTC+8)
Publisher:	行政院國家科學委員會
Abstract:	近來由於原物料價格與原油價格不斷創新高，通貨膨脹已成為投資人與政府決策者所面對最主要的風險之一，本文嘗試使用櫃臺交易的通膨交換契約資料來估計實質利率與通膨風險貼水。此外，本文也導出了在仿射模型架構下的通膨交換契約評價公式。在仿射模型下，模型中隱含的風險因子之間的相關性與隨著時間變動的風險市場價格更能被有效率的估計。在實證研究方面，本文使用卡曼濾波器來估計相關參數，並且進一步檢定模型設定的正確性。最後，並以估計的結果來比較與真實資料之間的預測誤差。 ; Due to the recent uprising of commodity price and crude oil price, inflation has become a major concern for policy makers and household investors. This paper employs the OTC traded inflation swap data to estimate the real interest rates and inflation risk premiums, which compensate for inflation risks. In addition, this paper also provides a affine structure to price inflation swap contract. Under this structure, the correlations between risk factors and time-varying market price of risk can be efficiently captured. In empirical studies, we use Kalman filter Algorithm to estimate parameters. Some specification tests and pricing errors between historical values and estimated values will be also carefully examined. ; 研究期間 9708 ~ 9807
Relation:	財團法人國家實驗研究院科技政策研究與資訊中心
Appears in Collections:	[Department of Finance] Research Project

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