JGB JGBs for Individual Investors Inflation- Indexed b

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2 JGB JGBs for Individual Investors Inflation- Indexed bonds CPI % 1, % GDP 34.2% P.107 Fabozzi 2013 P

3 6 Nelson and Siegel 1987 Nelson and Siegel Dolan 1999 Reisman and Zohar 2004 Fabozzi, Martellini and Priaulet 2005 Diebold and Li 2006 Jankowitsch and Nettekoven 2005 Moving Average Autoregressive Integrated Moving Average Model ARIMA Nelson and Siegel 1987 Diebold and Li 2006 ARIMA Ang, Alles, and Allen 1998 β 1 Jankowitsch and Nettekoven

4 Nelson-Siegel Nelson and Siegel Nelson and Siegel Nelson and Siegel Laguerre Nelson and Siegel β 0 β 1 β 1 β 2 β 2 β 2 U Nelson and Siegel 2003 Newton method Diebold and Li 2006 ARIMA 1. β 1 β

5 中國議題期之殖利率曲線較本期更為陡峭時反向買入短期債券並賣出長期債券因此本文首先利用前述之時間數列參數預測模型預測下一期 t + 1 之斜率因子 βˆ 並將與第 t 期所估計之斜率因子 β 計算其差異 1, t + 1 1,t 交易策略買進訊號出現之時機其判定準則表示如下 d t = βˆ1,t +1 β 1,t 反 1 如果 dt < 0 則視為買入短天期債券賣出長天期債券之訊號出現向加碼 2 如果 dt > 0 則視為買入長天期債券賣出短天期債券之訊號出現定存型 2. 到期期限配置交易策略到期期限配置策略之實證步驟如下 1 估計 Nelson and Siegel 模型參數並利用 ARIMA 模型分別預測 βˆ0 βˆ1 2 本文利用債券理論價格個別以各參數對其微分計算出 β0 β1 β2 對債券價格的敏感程度以探討各個利率期限結構參數因子移動對蝶式 7 策略績效的影響 3 將樣本期間內流動性最佳之兩組年期指標債券之樣本資料與預測參數 βˆ βˆ 代入分別求得年期的 Dˆ Dˆ 0 1 0, t 1, t 4 分別利用預測之 βˆ0 βˆ1 作為到期期限配置操作策略判斷指標並將 Dˆ Dˆ 代入 Grieves 1999 與 Fabozzi, Martellini, and Priaulet , t 1, t 中所提之現金存續期間中立權重法 Cash and Dollar Duration-Neutral Weighting 長短債現金存續期間相等權重法 Fifty-Fifty Weighting 利差迴歸權重法 Regression-Weighting 與到期日權重法 MaturityWeighting 等四種到期期限配置策略即可求得各種到期期限配置投資組合在每週之短期中期與長期債券的最適投資權重其中以 βˆ βˆ 參數作為判斷指標之判斷過程如下 0 1 A. 釘住 β0 策略當 βˆ0,t +1 > β 0,t時表示預期未來利率水準上升執行賣出到期期限配置策略亦即賣長短期債券和買中期債券反之即執行買進到期期限配置策略 B. 釘住 β1 策略若 dt < 0 且 β1,t 為負值時執行買進中期公債並賣 7 72 其中 β0,t β1,t β2,t 分別為 β0 β1 β2 利率因子對債券價格變動的敏感度即現金存續期間 $duration 公式請參見莫宇傑 2012 人文與社會科學簡訊

6 3. Jankowitsch and Nettekoven k u i,t σ i,t 2 1 k m A. ε i,t > μ i,t + m σ i,t B. ε i,t < μ i,t m σ i,t Datastream Nelson and Siegel 1987 β 1 < 0 β 2 > 0 β 1 > 0 Smoothness Nelson and Siegel 1987 β 1 β

7 (Spotrate) (t) /08/ /10/31 (T) (Spotrate) 2011/07/ (t) /08/ /10/31 (T) Nelson and Siegel Model (Spotrate) 2011/07/ (t) /08/ /10/31 (T) 2011/07/01 Nelson and Siegel β β % 74

8 10 5 J24-J % 2. β 0 β % 0.01% 0.14% 0.28% β 0 β % 3.25%

9 Nelson and Siegel 1987 β 0 β % 8 Ang, Alles and Allen Ang, Alles and Allen % 76

10 Ang, S., Alles, L., and Allen, D. 1998, Riding the Yield Curve: An Analysis of International Evidence, The Journal of Fixed Income, 8 3, pp Diebold, F.X. and LI, C. 2006, Forecasting the Term Structure of Government Bond Yields, Journal of Econometrics, 130, pp Dolan, C. P. 1999, Forecasting the Yield Curve Shape: Evidence in Global Markets. The Journal of Fixed Income, 10 1, pp Fabozzi, F.J. 2013, Bond Markets, Analysis and Strategies, 8 th Edition, Pearson, New Jersey. Fabozzi, F. J., Martellini L., and Priaulet, P. 2005, Predictability in the Shape of the Term Structure of Interest Rates. The Journal of Fixed Income, 15 1, pp Grieves, R. 1999, Butterfly Trades, Journal of Portfolio Management, 26 1, pp Jankowitsch, R., and Nettekoven, M. 2005, Trading Strategies Based on Term Structure Model Residuals, SSRN Working Paper. Nelson, C.R. and Siegel, A.F. 1987, Parsimonious Modeling of Yield Curves, Journal of Business, 60 4, pp

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