基于习惯形成的利率期限结构及其应用研究

发布时间：2018-03-16 08:54

本文选题：习惯形成　切入点：利率期限结构　出处：《安徽财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着利率市场化和国债市场规模的不断壮大,隐含在国债中的利率期限结构有着重要的意义,它是资产定价、风险管理和套期保值的基础,也是中央银行制定货币政策的分析工具。近年来,在资产定价模型中引入消费的研究十分活跃,一方面是由于消费在我国经济中发挥着越来越重要的作用,另一方面是由于理论界无法解释的两个资产定价之谜：股权溢价之谜和无风险利率之谜。现有研究表明,在资产定价模型中引入习惯形成可以一定程度上解释股权溢价之谜,然而现有研究主要是针对股票定价,随着我国国债市场的发展,研究消费对债券定价的影响也不容忽视。本文首先分析了基于习惯形成的利率期限结构模型的研究背景意义以及国内外关于本题的研究情况,然后在本文的第二章阐述了利率期限结构理论和习惯形成理论,并通过在效用函数里加入习惯形成因素,引入自由参数,使得剩余消费对无风险利率产生净影响,产生随时间变化的无风险利率以及随时间变化的债券风险溢价,从而推导出基于习惯形成的利率期限结构模型。同时,还引入一个外生的通货膨胀过程,并对该过程进行估计。最后是本文的实证研究部分,本文的实证结果表明,在模型中引入自由参数后,即允许剩余消费对无风险利率产生净影响,模型能够在一定程度上拟合短期债券和长期债券的均值和标准差,且短期债券和长期债券的收益率是剩余消费的减函数。本文的实证结果还发现,债券的风险溢价是随时间变化而变化的,本文模型能够证明期望假说的失效。
[Abstract]:With the marketization of interest rate and the growing scale of the national debt market, the term structure of interest rate implied in the national debt is of great significance. It is the basis of asset pricing, risk management and hedging. It is also an analytical tool for the central bank to formulate monetary policy. In recent years, the study of introducing consumption into the asset pricing model has been very active, on the one hand, because consumption is playing an increasingly important role in our economy. On the other hand, there are two asset pricing puzzles that the theoretical circle cannot explain: equity premium mystery and risk-free interest rate mystery. Existing studies show that the introduction of habit formation into asset pricing model can explain the equity premium puzzle to some extent. However, the existing research is mainly focused on stock pricing, with the development of the national debt market, the impact of consumption on bond pricing can not be ignored. This paper first analyzes the background significance of the term structure model of interest rate based on habit formation and the research situation of this topic at home and abroad. Then in the second chapter of this paper, the paper expounds the theory of term structure of interest rate and the theory of habit formation. By adding the habit forming factor into the utility function and introducing the free parameter, the surplus consumption has a net effect on the risk-free interest rate, and the risk-free interest rate changes with time and the bond risk premium changes with time. A term structure model of interest rate based on habit is derived, and an exogenous inflation process is introduced and estimated. Finally, the empirical research part of this paper, the empirical results show that, after introducing the free parameters in the model, that is, allow surplus consumption to have a net impact on the risk-free interest rate. The model can fit the mean value and standard deviation of short-term bond and long-term bond to some extent, and the yield of short-term bond and long-term bond is the minus function of surplus consumption. The risk premium of bonds varies with time. The model can prove the failure of expectation hypothesis.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;F224

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