為探討近期利率上升對國際債再投資風險之影響，本論文延續杜昌燁與張士傑（2021）之研究，基於指數型Lévy process隱含年利率模型以COS法衡量於評估期間再投資風險的變化。隱含年利率模型的部分以年期不小於30年、不可贖回期限5年、贖回頻率1年截至2022年4月之國際債發行資料進行模型的配適，配適結果eNIG模型較能捕捉國際債隱含年利率之統計特徵。
再投資風險的評估相較於杜昌燁與張士傑（2021）之研究計算時點，與國際債隱含年利率走勢相近之美國儲備經濟數據30年期公債固定期限利率（DGS30）自1.93%上升至2.95%，以相同起始隱含年利率所計算出的再投資風險下降了20-30 bps落在94-155 bps，即在利率上升後購入相同殖利率（IRR）之國際債，所面臨的再投資風險有所下降；此外，國際債起始隱含年利率增加1%，再投資風險增加約30 bps，即購入之國際債殖利率增加1%，所面臨的再投資風險上升約30 bps。

In order to explore the impact of the recent rise in interest rates on the reinvestment risk of international bonds, this paper continues the research of Tu and Chang (2021), and uses the COS method to measure the change in reinvestment risk during the evaluation period based on the exponential Lévy process implied annual interest rate model. The implied annual interest rate model is fitted with the international bond issuance data with a term of not less than 30 years, a non-redeemable period of 5 years, and a redemption frequency of 1 year as of April 2022. As a result, the eNIG model can better capture the statistical characteristics of the implied annual interest rate of international bonds.
The assessment of reinvestment risk compared with the research and calculation time of Tu and Chang (2021), the U.S. Reserve Economic Data 30-year Treasury bond fixed-term interest rate (DGS30), which has a similar trend to the implied annual interest rate of international bonds, increased from 1.93% to 2.95% and the reinvestment risk calculated at the same initial implied annual interest rate has dropped by 20-30 bps to 94-156 bps. That is, the reinvestment risk faced by purchasing international bonds with the same yield (IRR) decreases after the interest rate rises; In addition, the initial implied annual interest rate of international bonds increases by 1%, and the reinvestment risk increases by about 30 bps. That is, the purchased international bond yield increases by 1%, and the reinvestment risk faced increases by about 30 bps.

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