本研究探討美國短期利率模型之實證研究，並且在利率模型漂浮項分為對稱與不對稱兩種形式，在擴散項部份除了考慮水準效果以外，分析加入1979年10月至1982年9月狀態改變之虛擬變數與1994年1月以後聯準會利率政策透明化對美國三個月國庫券利率波動性的影響，採用一個新的方法稱為GARCH-X模型，並考量條件變異數在不同分配下，對捕捉短期利率波動之效果；透過上述的方法使條件變異數的傳統模型與古典的短期利率模型結合。實證結果發現漂浮項不對稱的GARCH-X模型不但在解釋波動上優於其他擴散模型，此外更反映了正負衝擊所帶來的不對稱現象，因此可視為美國三個月國庫券利率之最佳模型。

The short-term interest rate is fundamental to many of theoretical and empirical financial, yet no consensus has emerged on the dynamics of its volatility.
This paper aims to capture the dynamics of short-term interest rate volatility by allowing volatility to depend on both level effects and information shocks. Using a GARCH-X model, asymmetric linear GARCH-X model and considering the conditional variance in normal and GED distribution three main conclusions emerge from the present study.
First, we find that the 3-month Treasury bill rate series reach its respective historical high levels during the early 1980s. There have been significant regime shifts in the way that Federal Reserve handled the money supply and interest rates during the sample period considered in this paper. Specifically, October 1979 - September 1982 period witnessed the Federal Reserve's experiment. Second, a reduction in the volatility of the 3-month Treasury bill rate due to disclosure of policy actions supports the resolution of the uncertainty hypothesis. Finally, the asymmetric linear drift GARCH-X-GED in the short-term interest rate is the best model.

目錄	
第一章 緒論.....................................................................................................................	1
第一節 研究動機......................................................................................................	1
第二節 研究目的......................................................................................................	2
第三節 研究架構......................................................................................................	4
第二章 文獻回顧...............................................................................................................	6
第一節 短期利率理論模型..................................................................................	6
第二節 實證研究之相關文獻..............................................................................	10
第三章 研究方法...............................................................................................................	28
第一節 模型檢定.....................................................................................................	28
第二節 實證模型.....................................................................................................	34
第三節 不對稱檢定................................................................................................	41
第四章 實證分析...............................................................................................................	46
第一節 基本統計量檢定.........................................................................................	46
第二節 模型檢定......................................................................................................	50
第三節 GARCH-X模型檢驗..................................................................................	53
第四節 模型不對稱檢定.........................................................................................	61
第五章 結論.......................................................................................................................	66
參考文獻..............................................................................................................................	68
	
	
	
	
	
	
	
表次	
表2 – 1	CKLS短期利率模型之參數設定條件..................................................	11
表3 – 1	不同分配之GARCH-X檢定...................................................................	41
表4 – 1	短期利率的基本統計量............................................................................	48
表4 – 2	ARCH與GARCH效果檢定....................................................................	50
表4 – 3	ADF單根檢定－水準項...........................................................................	52
表4 – 4	ADF單根檢定－差分項...........................................................................	52
表4 – 5	PP單根檢定－水準項...............................................................................	53
表4 – 6	PP單根檢定－差分項...............................................................................	53
表4 – 7	GARCH-X 模型參數估計值......................................................................	56
表4 – 8	GARCH-X（P）模型參數估計值.............................................................	58
表4 – 9	不同分配檢定..............................................................................................	59
表4 – 10	利率政策透明化效果檢定.......................................................................	60
表4 – 11	AGARCH-X模型參數估計值.................................................................	62
表4 – 12	不對稱漂浮項效果檢定............................................................................	63
表4 – 13	不對稱診斷檢定（一）............................................................................	64
表4 – 14	不對稱診斷檢定（二）............................................................................	65
		
		
		
		
		
		
		
		
		
圖次	
圖1 – 1	研究流程........................................................................................................	5
圖4 – 1	原始利率走勢...............................................................................................	47
圖4 – 2	原始序列ACF與PACF................................................................................	47
圖4 – 3	一階差分之利率水準....................................................................................	49
圖4 – 4	利率一階差分之ACF....................................................................................	50

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