基于预测中国市场收益率曲线变动的债券积极投资策略研究

发布时间：2018-04-02 13:12

本文选题：国债　切入点：市场收益率曲线　出处：《复旦大学》2012年硕士论文

【摘要】：随着基金规模的壮大,保险机构的发展,中国债券市场的投资者结构逐渐多元化,对市场利率的博弈更加激烈。并且随着中国金融市场改革的深化,利率市场化将得以实现,市场的有效性将逐步加强,投资者通过积极的债券投资策略获取超额收益的难度将提高。本文选取中国银行间债券交易市场2007年-2009年每个交易日的债券交易数据,以VBA和Matlab编程,通过Nelson-Siegel模型拟合中国银行间债券市场每个交易日的市场收益率曲线,然后分析中国国债市场收益率曲线呈现的特征,统计分析拟合获得的模型参数之间的关系及特点,还有参数实际表达的经济意义。文中进一步将理论联系实际,拓展理论的实际应用,研究中国国债市场收益曲线变动对投资者选择投资策略的影响,结合模型参数的变动和曲线变动的特征,给投资者提供国债投资策略的选择建议。
[Abstract]:With the expansion of fund size, development of insurance institutions, the structure of China bond market investors gradually diversified, the game on the market interest rate is more intense. And with the deepening of the financial market reform Chinese, the interest rate market will be achieved, the effectiveness of the market will gradually strengthen, investors through active bond investment strategy is difficult to obtain excess returns this paper will improve. Bond transaction data from 2007 China inter-bank bond market -2009 each trading day, with VBA and Matlab programming, through the Nelson-Siegel model fitting curve China inter-bank bond market each trading day the market return and then analyze the characteristics of the income Chinese bond market rate curve, statistical analysis of the characteristic and the relation between the model parameters obtained by fitting parameters, and the practical expression of the economic significance. This paper will be integrating theory with practice, The practical application of the expansion theory is studied to study the impact of the change of the yield curve on the investment strategy of investors in China's treasury bond market. Combined with the variation of the model parameters and the characteristics of the curve change, we provide investors with suggestions for the investment strategy of treasury bonds.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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