應用Generalized M-vector模型於臺灣公債市場免疫策略之實證

Generalized M-vector Models and Portfolio Immunization: Evidence from Taiwan Government Bond Market

台灣公債市場免疫策略的實證研究中，傳統的免疫模型（例如M－square、M－absolute、M－vector等模型），皆可以得到不錯之免疫績效。Nawalkha et al. （2003）改良了前述傳統免疫模型，利用與現金流量到期日函數有關的債券報酬函數之泰勒展開式，並提出了Generalized M－vector模型。然而此一Generalized M－vector模型，是否能在台灣公債市場達成較好的免疫績效，仍不得而知。本研究首先採用指數基礎樣條模型為基礎，估計台灣公債市場的利率期限結構，並用以建構債券投資組合，以檢驗Generalized M－vector模型在台灣公債市場免疫策略之投資績效。實證結果發現：（一）公債投資組合中不存在債券賣空的限制下，Generalized M－vector模型的免疫績效是優於M－vector模型；（二）若公債投資組合中存在債券賣空的情況下，則Generalized M－vector模型的免疫績效，並未一致性的優於M－vector模型。

In Taiwan Government bond market, the empirical studies of bond immunization have shown that the traditional duration vector models, including the M-square, M-absolute and M-vector model, can offer good immunization performance. Recently, Nawalkha et al. (2003) corrected the aforementioned traditional duration vector models and derived a Generalized M-vector model, which is based on the Taylor series expansion of the bond return with respect to specific functions of the cash flow maturities. However, there is still no empirical result for applying this Generalized M-vector model in Taiwan Government bond market. This paper uses the exponential B-spline model to estimate the term structure of interest rates in Taiwan Government bond market and investigates the hedging performance of government bond portfolio constructed by the Generalized M-vector model approach. The empirical results indicate that (1) the Generalized M-vector model will provide better hedging performance than M-vector model when short selling in cash bond market is not allowed, (2) if short selling in cash bond market is allowed, we conclude that the Generalized M-vector model is not necessarily better than M-vector model in hedging the interest rate risk of bond portfolio.