我国国债套期保值策略研究

发布时间：2018-06-25 11:37

本文选题：国债 + 利率风险　；参考：《复旦大学》2013年硕士论文

【摘要】：近年来,我国国债市场快速发展,发行和交易量屡创新高,在我国金融市场上占有越来越重要的地位。国债投资的风险主要来源于利率的波动,随着利率市场化改革的推进,市场利率波动将更为频繁和剧烈,并且随着参与主体的扩大,市场对持有的国债进行风险管理的需求日益迫切。在国债期货未推出,市场缺乏合适避险工具的情况下,研究我国利率期限结构的风险因素及债券投资组合的套期保值问题具有重要的理论和现实意义。对债券进行利率风险管理,首先必须构造出利率期限结构。本文在借鉴国外先进理论模型的基础上,基于我国银行间债券市场的实际情况,利用在西方国家成熟市场中广泛应用的Nelson-Siegel Svensson模型对我国国债利率期限结构进行了拟合估计,得到了我国银行间市场从2006年12月31日到2009年6月25日共597个交易日的国债利率期限结构,这段样本区间覆盖了我国宏观经济所经历的完整经济周期。在拟合出利率期限结构的基础上,本文运用主成分分析法对我国利率期限结构的日变化序列进行了分析,探究引起我国利率期限结构变化的主要风险因素。由于时间窗口的选取对主成分分析结论影响巨大,本文划分了两种情境：利率稳定时期和利率频繁波动时期。实证结果显示,总的来看三个主成分就足以对我国利率期限结构的变动进行解释。其中,在利率稳定时期,各主成分形态较为复杂,水平因素不明显,斜率和曲度因子的解释力较大,三个主成分对利率期限结构变动的影响随时间变化较为平稳。而在利率频繁波动时期,水平移动因素对利率期限结构变动的解释力度较大,各因素影响随时间变化而又较大的波动性。最后,本文比较了两种情境下久期-凸度法和主成分套期保值法的套期保值效果。结果表明,在利率稳定时期主成分套期保值方法具有较小而且稳定的跟踪误差,保值效果好于久期-凸度法。而在利率频繁波动时期,久期-凸度模型的套期保值效果要优于主成分套期保值方法。通过对我国国债套期保值策略的实证研究,本文期望能为国债市场的参与者提供国债套期保值的决策参考。
[Abstract]:In recent years, with the rapid development of the national debt market, the issuance and trading volume of China's treasury bonds have repeatedly reached a new high, which occupies a more and more important position in the financial market of our country. The risk of national debt investment mainly comes from the fluctuation of interest rate. With the promotion of market-oriented interest rate reform, the fluctuation of market interest rate will be more frequent and intense, and with the expansion of the participants, There is an increasingly urgent need for risk management of treasury bonds held by the market. In the absence of treasury bond futures and the lack of suitable hedging tools in the market, it is of great theoretical and practical significance to study the risk factors of the term structure of interest rates and the hedging of bond portfolio in China. To manage the interest rate risk of bonds, we must first construct the term structure of interest rate. From December 31, 2006 to June 25, 2009, the term structure of interest rate on treasury bonds in China's interbank market is obtained, which covers the complete economic cycle experienced by China's macro economy. On the basis of fitting the term structure of interest rate, this paper uses principal component analysis method to analyze the diurnal change sequence of term structure of interest rate in China, and probes into the main risk factors that cause the change of term structure of interest rate in China. Because the selection of time window has a great influence on the conclusion of principal component analysis, this paper divides into two situations: the period of interest rate stability and the period of frequent fluctuation of interest rate. The empirical results show that the three principal components can explain the change of interest rate term structure. In the stable period of interest rate, the principal components are more complex, the horizontal factors are not obvious, the slope and curvature factors are more explanatory, and the influence of the three principal components on the change of interest rate term structure is more stable with time. However, in the period of frequent fluctuation of interest rate, the explanation of the change of term structure of interest rate by horizontal moving factor is strong, and the fluctuation of each factor changes with time. Finally, this paper compares the hedging effects of the duration-convexity method and the principal component hedging method in two situations. The results show that the principal component hedging method has a small and stable tracking error in the period of interest rate stabilization, and the effect of hedging is better than that of the duration-convexity method. In the period of frequent interest rate fluctuation, the hedging effect of the model is better than that of the principal component hedging method. Through the empirical study on the hedging strategy of national debt in China, this paper hopes to provide the decision reference for the participants in the treasury bond market.
【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;F812.5

【参考文献】