本研究主要目的在採用指數基礎樣條函數模型與Nelson and Siegel (1987) 模型，配適台灣公債市場利率期限結梢，並搭配Jankowitsch and Nettekoven(2005)所提出的兩種交易策略:移動平均法(Moving Average)及自我 迴歸整合移動平均模型(Autoregressive Integrated Moving Average Model)，交易 台灣公債市場十年期指標公債，並與買入持有策略比較其投資績效之優劣。 實證結果顯示: (1)指數基礎樣條函數模型，較國內學者常用之Nelson and Siegel (1987)模型，對台灣公債市場的利率期限結構估計，具有更加的配適能 力。(2)移動平均法與ARIMA預測模型交易策略之績效，在殖利率呈現上升趨勢時，能顯著優於買入持有策略。(3)在移動平均交易策略下，搭配指數基礎樣條函數模型，會得到最佳之投資績效。(4) 若串聯所有十年期指標公債，在指數基礎樣條函數模型與Nelson and Siegel (1987)模型下，利用五日、七日、 十日移動平均交易策略的總和績效表現，不論在何種標準差設定下，累積總報 酬率大致優於買入持有策略。然而若考慮風險調整後之夏普指數，則不論何種 利率期限結構估計模型搭配何種交易策略，皆劣於買入持有策略。

This paper first used the Exponential B-spine model and Nelson and Siegel (1987) model to fit the term structure of Taiwan Government Bonds market. The pricing errors refer to the deviations between the models' prices and the observed market prices. Based on the pricing errors, we calculated the abnormal returns by using the trading rules of Moving Average (MA) and Autoregressive Integrated Moving Average (ARIMA) strategies proposed by Jankowitsch and Nettekoven (2005). The on-the-run government bonds with 1 O-year maturities were used to test their relative investment performances. Meanwhile, the performance of a buy-and-hold market portfolio was used as a benchmark. The empirical results indicated that: first, the fitting performance of Exponential B-spline is better than that of the Nelson and Siegel (1987) according to three judgment criteria. Second, both the MA and ARIMA strategies can significantly outperform the buy-and-hold strategy when the yield curve shows an increasing trend. Third, the MA strategy may have the best performance if being accompanied by the Exponential B-spline term structure fitting model. Fourth, if we connect all the on-the-run government bonds with 10-year maturities, the total returns of 5, 7 and 10 days MA strategies based on the Exponential B-spline model and Nelson and Siegel (1987) are greater than those of the buy-and-hold strategy. However, when the risk-adjusted Sharpe Index is taken into account, the buy-and-hold strategy is superior to all the combinations of investment strategies and term structure fitting models.

本研究為國內首篇運用指數基礎樣條函數模型與Nelson and Siegel (1987)模型，搭配兩種債券錯價交易策略，進行台灣公債市場十年期指標公債交易策略之實證研究。本研究首先利用指數基礎樣條函數模型配適國內公債市場的利率期限結構，並與一般學者公認相當不錯之Nelson and Siegel (1987) 的Parsimonious模型，比較其配適能力優劣。實證結果發現指數基礎樣條函數模型在三種判斷準則上，均優於Nelson and Siegel (1987)模型，因此本文認為指數基礎樣條函數模型，較國內學者常用之Nelson and Siegel (1987) 模型，對台灣公債市場的利率期限結構估計，具有更佳的配適能力。此外在交易錯價債券策略實證上，本文發現利用移動平均交易策略與ARIMA預測模型之實證結果，皆顯示在殖利率為上升走勢時，其投資績效能顯著優於買入持有策略之績效；然而由於實證期間，指標公債殖利率大時呈現下跌走勢，故各種不同之交易策略之績效，仍然不如串聯所有十年期指標公債之買入持有策略。 在國內債券市場日趨蓬勃，與台灣期交所適時推出本土之利率期貨市場之際，業者莫不全力發展利率衍生性產品，本研究之成果將可提供估計國內債市利率期限結構估計之最適模型，不但可作為主管機構用以掌握利率變化動態之參考，另外本文運用利率期限結構變化之資訊，從事債券積極投資策略操作，檢驗台灣公債市場是否存在超額報酬，亦可作為驗證債券市場效率性之參考，及提供實務界投資人作為觀察利率期限結構變化，從事債券積極投資策略操作之依據。