上交所国债收益率曲线分析及应用研究

发布时间：2018-03-07 03:00

本文选题：上交所　切入点：国债　出处：《华东师范大学》2012年硕士论文　论文类型：学位论文

【摘要】：利率期限结构是金融理论应用研究最活跃领域之一,对该问题的研究很早就出现,现代利率期限结构理论从20世纪70年代才开始形成。该理论通常用于分析债券收益的动态变化及与宏观经济协变量之间的联系,它是金融产品设计、资产定价、风险管理、套利以及投机等方面的基准,也是各国中央银行控制短期利率走势、影响中长期利率变动的传递机制。基于以上的研究背景,本文以利率期限结构理论为基础,对债券到期收益率的计算过程,国债收益率曲线的拟合方法进行研究,分析研究了中国国债收益率曲线的重大理论价值和实践意义。本文通过系统介绍了国内外在国债收益率曲线研究方面的理论成果,提出了到期收益率计算过程的优化方法,并运用较为成熟的Nelson-Siegel参数模型对我国利率期限结构进行实证拟合,证明Nelson-Siegel是对我国国债交易市场的利率期限结构进行静态估计比较理想的一种估计方法。同时,本文侧重利率期限结构在投资领域的应用,实证分析其对债券组合投资的改进效果。本文的研究特色主要表现在：在理论应用方面,通过积极投资策略与利率期限结构理论相结合的研究,证明了投资策略在我国市场应用的有效性；研究结果还表明使用基于Nelson-Siegel方法拟合即期收益率曲线的理论价格法构建投资组合进行套期保值的效果要优于利用骑乘策略直接买入持有方法。最后,针对增强市场流动性、推广理性投资理念、促进金融产品创新等方面,本文提出对应的政策建议。
[Abstract]:Term structure of interest rate is one of the most active fields in the application of financial theory. The modern term structure theory of interest rates was formed in 1970s. This theory is usually used to analyze the dynamic change of bond yield and its relationship with macroeconomic covariates. It is the design of financial products, asset pricing, risk management. The benchmark of arbitrage and speculation is also the transmission mechanism for central banks to control the trend of short-term interest rate and affect the medium and long term interest rate movements. Based on the above research background, based on the theory of interest rate term structure, this paper studies the calculation process of bond maturity yield and the fitting method of bond yield curve. This paper analyzes and studies the important theoretical value and practical significance of the yield curve of China's national debt. By systematically introducing the theoretical achievements of the research on the yield curve of national debt at home and abroad, the paper puts forward the optimization method of the calculation process of the rate of return due. Using the mature Nelson-Siegel parameter model to simulate the term structure of interest rate in China, it is proved that Nelson-Siegel is an ideal method for static estimation of the term structure of interest rate in China's treasury bond market. This paper focuses on the application of term structure of interest rate in the field of investment and empirically analyzes its improvement effect on bond portfolio investment. The main research features of this paper are as follows: in the aspect of theoretical application, it proves the validity of the application of investment strategy in Chinese market through the combination of active investment strategy and term structure theory of interest rate; The results also show that the theoretical price method based on Nelson-Siegel method to fit the spot yield curve is more effective than the direct buying and holding method based on riding strategy. To promote rational investment concept and promote innovation of financial products, this paper puts forward corresponding policy suggestions.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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