台灣地區長天期債券附條件交易利率差之研究

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Title:	台灣地區長天期債券附條件交易利率差之研究
Other Titles:	A study of the spread between the longer dated bond repo and reverse rates in Taiwan.
Authors:	黃憶萍;Huang, Yi-ping
Contributors:	淡江大學國際貿易學系國際企業學碩士班賈昭南;Chia, Chao-nan
Date:	2005
Issue Date:	2010-01-11 01:24:12 (UTC+8)
Abstract:	本文以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隔夜、21-30天期以及31-60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。綜合本文所獲得重要結論如下：臺灣地區貨幣市場三種債券附條件交易，完全不受金融同業拆款利率變動所影響。隔夜與31-60天期二種附條件交易，各自受到不同外生變數所影響；其中外匯市場的變動僅影響隔夜之附條件交易，股票市場的變動僅影響31天以上的長天期附條件交易。在利率差之長短期調整方面，隔夜與31-60天期二種附條件交易利率差變動幅度的變動，皆呈現過度調整的現象。最後，21-30天期之附條件交易，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。 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 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 three 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 adjustments rates of overnight and 31-60 days repos exhibit strong overshooting. Finally, the 21-30 days term repos act only as absorbers to the mismatched strategy conducted by the other term repos and reverses.
Appears in Collections:	[Graduate Institute & Department of International Business] Thesis

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