Nelson-Siegel模型在我国国债利率期限结构中的应用

发布时间：2018-04-06 22:37

本文选题：利率期限结构　切入点：Nelson-Siegel模型　出处：《复旦大学》2013年硕士论文

【摘要】：自1996年以来,我国的利率市场化改革稳步推进。利率的市场化已经是当前我国金融改革和开发的核心内容。我国债券市场近十年来发展十分迅速,整体规模非常可观。高速崛起的中国债券市场,正日益受到各方的高度关注。有效地构造国债利率期限结构曲线,加强对利率走势的预测,对制定货币政策、金融产品的定价和防范利率风险等具有重大意义。在这样的背景下,本文通过Nelson-Siegel模型对我国国债利率期限结构展开研究。本文首先介绍了国债收益率曲线的选题背景和意义,接着在第二章介绍了利率期限结构的理论知识和国内外研究综述。然后在第三章介绍了国债收益率曲线的相关知识和本文对Nelson-Siegel模型的计算方法,我们选择的是Matlab函数中的fmincon函数包进行迭代优化计算,并对Nelson-Siegel模型进行了实证分析。在第四章中,我们对Nelson-Siegel模型进行了参数预测。在预测模型参数时,本文选择AR(1)模型和VAR模型进行三个参数的预测,从而预测利率期限结构。通过与真实值进行对比分析,得出的结论是用VAR模型来预测Nelson-Siegel模型的参数更加精准一些。最后本文从增加短期国债期限品种,完善国债市场交易机制,加快利率市场化改革进程,调整国债持有者结构,鼓励金融创新,协调货币政策和财政政策,建立国债投资基金,调整国债市场的功能定位,推出永久国债等几个方面给出了政策建议。
[Abstract]:Since 1996, our country interest rate marketization reform advances steadily.The marketization of interest rate is the core content of current financial reform and development in our country.Our country bond market develops very fast in the past ten years, the whole scale is very considerable.The high-speed rise of China's bond market is getting more and more attention.It is of great significance to construct the term structure curve of national debt interest rate effectively, to strengthen the forecast of interest rate trend, to make monetary policy, to price financial products and to guard against interest rate risk.In this context, this paper studies the term structure of interest rate in China by Nelson-Siegel model.This paper first introduces the background and significance of the Treasury yield curve, then in the second chapter introduces the theoretical knowledge of interest rate term structure and a summary of domestic and foreign research.Then in the third chapter, we introduce the relevant knowledge of the Treasury yield curve and the calculation method of Nelson-Siegel model in this paper. We choose the fmincon function package in the Matlab function for iterative optimization calculation, and make an empirical analysis of the Nelson-Siegel model.In chapter 4, we predict the parameters of Nelson-Siegel model.In order to predict the term structure of interest rate, we choose ARF-1) model and VAR model to predict the parameters of the model.The conclusion is that the VAR model is more accurate to predict the parameters of Nelson-Siegel model.Finally, this paper tries to improve the trading mechanism of the treasury bond market, speed up the reform process of interest rate marketization, adjust the structure of the holders of national debt, encourage financial innovation, coordinate monetary policy and fiscal policy, and establish the national debt investment fund.Adjustment of the function of the treasury bond market, the introduction of permanent treasury bonds and other aspects of the policy recommendations.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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