本文沿用Lin and Duan (2005)所採用之便利殖利率持有成本與買權模型來估算實物商品之便利殖利率，研究對象包含貴重金屬、能源商品與金融債券等三類，分別包含黃金、白銀、天然氣、無鉛汽油、10年期美國國庫券與30年期美國國庫券等6種商品。本文除了估算便利殖利率外，更藉由現貨價格與期貨價格的波動與便利殖利率之關係，以驗證Samuelson (1965)假說。最後本文運用了GARCH(1，1)、GARCH(1，1)-M及EGARCH(1，1)等三種模型來配適便利殖利率的走勢，並比較模型之配適程度。
 
實證結果發現，以買權模型所估算之實物商品便利殖利率皆大於持有成本模型所估得；實證結果亦發現，便利殖利率之期間結構多呈上升型態，與理論是一致的。在驗證Samuelson (1965)假說上，大部分貴重金屬與能源類商品皆符合其假說，即當便利殖利率處於低檔時，表示存貨位於高水準，此時現貨價格變動幅度與期貨價格波動幅度一致；當便利殖利率處於高檔時，表示存貨位於低水準，此時現貨價格波動幅度將大於期貨價格波動幅度。最後我們發現，貴重金屬與能源類之便利殖利率，以GARCH(1，1)與GARCH(1，1)-M模型配適效果較佳，且以GARCH(1，1)-M的配適結果相對最佳。

In this study, we use the cost-of-carry model and call options model to estimate convenience yields, which advanced by Lin and Duan (2005). The sample of the study includes three kind’s markets which are precious metal, energy and finance markets, and includes gold, silver, natural gas, gasoline, 10 year U.S. treasury notes and 30 year U.S. treasury bonds etc. Besides estimating the convenience yields, we also observe the relationship between the volatility of spot prices and future prices to test the hypothesis of Samuelson (1965). Finally, we use GARCH (1, 1), GARCH (1, 1)-M and EAGRCH (1, 1) models to fit the path of estimated convenience yields and compare which one is better.

The results show that the value of convenience yields estimated from call options model are higher than the cost-of-carry model. The term structure of convenience yields presents an upward sloping which is consistent with the storage theory. In testing the hypothesis of Samuelson (1965), the results show that at high inventory level, spot and futures prices have roughly the same variability, resulting in lower convenience yield; at low inventory level, spot prices of crude oil vary more than futures price, resulting in higher convenience yield. These results are consistent with Samuelson (1965) hypothesis. Finally, we find that both GARCH (1, 1) and GARCH (1, 1)-M can fit the path of convenience yields, and GARCH (1, 1)-M is the best.

目 錄

中文提要 I
英文提要 II
謝 詞 III
目 錄 IV
表目錄 VI
圖目錄 VII

第一章 緒論 1
1-1 研究背景與動機 1
1-2 研究目的 2
1-3 研究架構 4
1-4 研究流程 5
第二章 文獻探討 6
2-1 便利殖利率 6
2-2 便利殖利率之估計 8
2-3 配適便利殖利率之相關文獻 16
第三章 理論模型 17
3-1 便利殖利率之持有成本模型 17
3-2 便利殖利率之買權模型 19
第四章 研究方法 23
4-1 便利殖利率之估算原則 23
4-2 Samuelson(1960)假說 23
4-3 變異數異質性檢定 24
4-4 便利殖利率之配適模型 25
第五章 實證結果 29
5-1 資料來源與處理 29
5-2 商品現貨與期貨契約介紹 32
5-3 商品之觀察月、事件月與最後月 43
5-4 持有成本與買權模型下之便利殖利率 48
5-5 Samuelson (1965)假說驗證結果 54
5-6 便利殖利率之配適結果 59
第六章 結論與建議 74
6-1 結論 74
6-2 研究建議 75
參考文獻 76
附錄 79
附錄1 79
附錄2 81
附錄3 82


表目錄

表5-1、商品現貨價格與報酬之基本統計量 30
表5-2、紐約商業交易所之黃金及白銀期貨契約規格 35
表5-3、紐約商業交易所之天然氣及無鉛汽油期貨契約規格 39
表5-4、芝加哥期貨交易所之10年期美國債券與30年期美國債券期貨規格 42
表5-5、本研究設計之觀察月、事件月及最後月 44
表5-6、衝擊發生之觀察月、事件月與最後月設計 47
表5-7、持有成本與買權模型下之貴重金屬商品便利殖利率 48
表5-8、持有成本與買權模型下之能源商品便利殖利率 51
表5-9、持有成本與買權模型下之金融商品便利殖利率 53
表5-10、貴重金屬商品於持有成本模型下之Samuelson (1965)假說驗證 55
表5-11、能源商品於持有成本模型下之Samuelson (1965) 假說驗證 56
表5-12、貴重金屬商品於買權模型下之Samuelson (1965) 假說驗證 57
表5-13、能源商品於買權模型下之Samuelson (1965) 假說驗證 58
表5-14、商品便利殖利率之異質性檢定結果 60
表5-15、持有成本模型下，貴重金屬便利殖利率之GARCH (1，1) 模型(I)與GARCH-M模型 (II)配適 63
表5-16、持有成本模型下，能源便利殖利率之GARCH (1，1)模型(I)與GARCH(1，1) -M模型(II)配適 65
表5-17、買權模型下，貴重金屬便利殖利率之GARCH (1，1)模型(I)與GARCH(1， 1)-M模型(II)配適 69
表5-18、買權模型下，能源便利殖利率之GARCH (1，1)模型(I)與GARCH (1，1)-M模型(II)配適 71


圖目錄

圖1-1、研究架構圖 5
圖4-1、觀察月、事件月與最後月之設置圖 23
圖5-2、貴重金屬類現貨之月平均價 46
圖5-3、能源類商品現貨之月平均價 46
圖5-4、金融類商品現貨之月平均價 47
圖5-5、持有成本與買權模型下之黃金便利殖利率期間結構 49
圖5-6、持有成本與買權模型下之白銀便利殖利率期間結構 49
圖5-7、買權模型下，貴重金屬便利殖利率(連續)期限結構圖 50
圖5-8、持有成本模型下之能源商品便利殖利率期間結構圖 52
圖5-9、買權模型下之能源商品便利殖利率期間結構圖 52
圖5-10、買權模型下，能源便利殖利率(連續)期間結構圖 53

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