我国国债利率期限结构的比较研究

发布时间：2018-09-03 11:36

【摘要】： 当前,我国正在积极推进利率体制和汇率体制的市场化改革,随着市场化改革的不断深化,作为无风险利率的国债利率以及由不同到期期限的国债收益率组成的利率期限结构将在提供市场定价基础、促进债券市场的发展和完善、丰富央行调控工具和加强央行调控能力、提升金融机构的投资管理与风险控制水平等方面发挥越来越重要的作用。我国国债市场经过20年左右的发展,取得了巨大的发展。然而随着市场化进程的不断加快,我国国债市场以及国债利率期限结构逐渐暴露出许多急需解决的问题,要完善国债市场的运行机制,充分发挥国债利率期限结构在宏观经济调控、风险管理、资产定价等方面的重要作用,结合我国国债市场的特点对利率期限结构进行估计和分析就具有了重要的理论和实践意义。本文的研究思路是从利率期限结构理论入手,从利率期限结构形成假设、估计利率期限结构的方法与模型、利率期限结构动态模型和利率期限结构自身形态研究等四个方面对国内外研究现状进行述评。以此为基础,并结合我国国债市场的特点构建了估计和分析我国利率期限结构的模型。根据我国国债市场自身的特点,从实证的角度,拟合交易所和银行间市场国债收益率曲线,并以国债7天回购利率数据作为短期利率的代表,对比验证参数和非参数的方法是否适用研究我国短期利率的波动行为。最后结合实证研究的结果,探讨完善我国国债市场和国债利率期限结构的思路和方向。本文共分为五章,结构安排如下: 第一章是前言。简要阐述了本文研究的背景,分析了在我国进行利率期限结构研究所具有的理论意义和实践意义,在对国内研究现状进行评述的基础上,介绍本文的研究内容,同时说明了本文主要采用理论分析和实证分析相结合的方法进行研究。第二章是文献评述。本章主要回顾和评述了国内外对利率期限结构的相关研究。从利率期限结构形成假设、静态估计、利率期限结构自身形态和利率期限结构的动态模型等四方面对国外的利率期限结构研究进行分析评述。本章还对国内的一些利率期限结构研究进行了述评。第三章是我国国债利率期限结构研究的理论基础。本章以我国国债市场的历史回顾为研究起点,系统剖析我国国债市场的现状和特点,在全面分析已有模型和方法的基础上,构建出估计和分析我国国债利率期限结构的模型。第四章是我国国债利率期限结构的实证研究。本章利用我国的实际数据,采用息票剥离法、多项式样条法和Nelson-Siegel扩展模型分别对我国交易所国债市场和银行间国债市场的利率期限结构进行估计和分析,并对比实证分析的结果,分析我国国债市场的静态特征。使用国债回购数据,运用参数方法对我国利率期限结构的动态变化特征进行研究。本章还使用非参数的方法对利率期限结构的动态特征进行研究,并对比非参数方法和参数方法对我国国债利率期限结构实证研究的结果。第五章是我国国债利率期限结构的对比研究及思考。本章将交易所国债市场和银行间国债市场的利率期限结构的静态特征进行了对比,分析了产生差异的原因。并将中美两国的利率期限结构进行了对比,分析中美两国在利率期限结构方面产生差异的原因。根据实证研究和国内外对比的结果,探讨了完善我国利率期限结构和发展我国国债市场的思路和方向。本文主要完成了以下工作: 运用多种模型对我国国债利率期限结构进行估计。目前,对于固定收益证券利率期限结构的模型研究,国外已经有很多较为成熟的理论,然而,应用到我国国债市场的实际情况,这些模型就或多或少会出现一些不合理的地方,尤其是对国债利率期限结构的估计方面。鉴于此,本文在对各种模型和方法的优劣进行比较的基础上,应用息票剥离法、多项式样条法和Nelson-Siegel扩展模型对我国国债利率期限结构进行估计,对比三种模型估计我国国债利率期限结构的优劣。由于我国国债市场分为交易所市场和银行间市场(本文不考虑柜台市场),本文分别对两个市场的国债利率期限结构进行了估计,并对两个市场的期限结构进行对比,得出了一些结论。本文在现有的利率期限结构动态模型的基础上,建立了非参数利率期限结构模型。这种非参数模型依靠数据说话,克服了传统的参数化模型事先对利率的概率分布和参数形式进行某种假设的缺点。本文以交易所7天国债回购利率为样本,对建立的非参数利率期限结构模型进行了实证分析,并与参数化利率期限结构模型的代表Vasicek模型和CIR模型的实证结果进行了比较分析,得出了一定的结论。本文选取美国同期国债市场的交易数据,利用相同方法进行了利率期限结构的静态估计。通过对中美两国利率期限结构的比较,找出我国国债市场目前存在的问题,并探讨解决问题的思路和途径。本文的主要结论有: 从静态特征上分析,我国的利率期限结构已经初步具备市场经济国家的特征。通过样条函数、息票剥离法和Nelson-Siegel扩展模型对我国利率期限结构的静态估计,本文发现我国的国债利率期限结构整体呈现出向上的趋势,长期利率高于短期利率。对比研究表明,我国交易所市场国债利率期限结构和银行间市场国债利率期限结构存在明显的差异,且这种差异没有规律可寻,处于分割状态。这种差异和分割状态不利于一个基准市场利率的形成,进而不利于市场化进程的推进。通过对中美利率期限结构的对比可以看出,与美国的利率期限结构相比,我国的利率期限结构存在着许多的不完善,这种不完善是中国特殊的经济制度背景和国债市场的人为割裂造成的。与参数化模型相比,非参数方法能更准确地描述我国国债利率期限结构的状况。本文在对我国国债利率期限结构进行深入分析和全面对比的基础上,提出了完善我国国债市场和国债利率期限结构的思路和方向。本文认为要改变我国利率期限结构的不合理状态,最有效的方法就是将交易所市场和银行间债券市场统一起来,建立一个统一的国债市场。通过资本在两个不同市场之间的自由流动,促进市场的完善以及统一的市场基准利率的生成,为我国的利率市场化奠定一个坚实的基础。
[Abstract]:At present, China is actively pushing forward the market-oriented reform of interest rate system and exchange rate system. With the deepening of market-oriented reform, the term structure of interest rate as a risk-free interest rate and the yield of bonds with different maturities will provide market pricing basis, promote the development and perfection of the bond market and enrich the central government. It is playing an increasingly important role in improving the investment management and risk control of financial institutions.
China's national debt market has made tremendous progress after 20 years'development. However, with the acceleration of the market-oriented process, China's national debt market and the term structure of national debt interest rate gradually expose many urgent problems to be solved. We should improve the operation mechanism of the national debt market and give full play to the term structure of national debt interest rate in macroeconomic regulation and control. It is of great theoretical and practical significance to estimate and analyze the term structure of interest rate according to the characteristics of China's national debt market.
Starting from the theory of term structure of interest rate, this paper reviews the current research situation at home and abroad from four aspects: the formation hypothesis of term structure of interest rate, the method and model of estimating term structure of interest rate, the dynamic model of term structure of interest rate and the study of its own form. According to the characteristics of China's national debt market, this paper fits the yield curve of treasury bonds in the exchange and inter-bank markets from the empirical point of view, and takes the 7-day repurchase interest rate data of national debt as the representative of short-term interest rate, compares and verifies the applicability of parameter and non-parameter methods. Finally, combining with the results of empirical research, this paper discusses the ideas and directions of perfecting the term structure of interest rate in China's national debt market and national debt.
This article is divided into five chapters. The structure is as follows:
The first chapter is the preface. It briefly expounds the background of this paper, analyzes the theoretical and practical significance of the research on term structure of interest rate in China, and introduces the research contents of this paper on the basis of reviewing the domestic research situation. It also illustrates the method of combining theoretical analysis with empirical analysis in this paper. Conduct research.
The second chapter is literature review. This chapter mainly reviews and reviews the relevant research on term structure of interest rate at home and abroad. It analyzes and comments on the foreign research on term structure of interest rate from four aspects: formation hypothesis of term structure of interest rate, static estimation, self-shape of term structure of interest rate and dynamic model of term structure of interest rate. Some interest rate term structure studies are reviewed.
Chapter 3 is the theoretical basis for the study of the term structure of interest rate of national debt in China.Based on the historical review of the national debt market in China, this chapter systematically analyzes the current situation and characteristics of the national debt market in China, and constructs a model for estimating and analyzing the term structure of interest rate of national debt on the basis of a comprehensive analysis of existing models and methods.
Chapter 4 is an empirical study on the term structure of interest rate of treasury bonds in China.Using the actual data of our country, this chapter estimates and analyzes the term structure of interest rate of the Treasury bond market of stock exchange and the inter-bank treasury bond market of our country respectively by using the method of coupon stripping, polynomial spline and Nelson-Siegel extended model, and compares the results of empirical analysis. This paper analyzes the static characteristics of China's treasury bond market. Using the data of treasury bond repurchase, the dynamic characteristics of the term structure of interest rate in China are studied by parametric method. Results of syndrome studies.
Chapter Five is a comparative study and Reflection on the term structure of interest rate of Chinese Treasury bonds. This chapter compares the static characteristics of the term structure of interest rate between the exchange treasury bond market and the inter-bank treasury bond market, and analyzes the reasons for the differences. According to the results of empirical research and comparison at home and abroad, this paper discusses the way and direction of perfecting the term structure of interest rate and developing China's treasury bond market.
This paper mainly completed the following work:
Many models are used to estimate the term structure of interest rate in China's Treasury bonds. At present, there are many mature theories abroad about the term structure of interest rate in fixed income securities. In view of this, on the basis of comparing the advantages and disadvantages of various models and methods, this paper estimates the term structure of interest rate of China's national debt by using the coupon stripping method, polynomial spline method and Nelson-Siegel extended model, and compares the three models to estimate the term structure of interest rate of China's national debt. China's national debt market is divided into exchange market and inter-bank market (this paper does not consider the over-the-counter market). This paper estimates the term structure of the interest rates of the two markets, and compares the term structure of the two markets, and draws some conclusions.
Based on the existing dynamic models of interest rate term structure, this paper establishes a non-parametric model of interest rate term structure. This model relies on data to overcome the shortcomings of the traditional parametric model which assumes the probability distribution and parameter form of interest rate beforehand. This paper makes an empirical analysis of the non-parametric term structure model of interest rate, and compares it with the empirical results of Vasicek model and CIR model, which represent the parametric term structure model of interest rate, and draws some conclusions.
In this paper, we use the same method to estimate the term structure of interest rate by comparing the term structure of interest rate between China and the United States, find out the existing problems in China's national debt market, and explore the way to solve them.
The main conclusions of this paper are:
From the static analysis, the term structure of interest rate in our country has already possessed the characteristics of a market economy country. Through the static estimation of the term structure of interest rate in our country by spline function, coupon stripping method and Nelson-Siegel extended model, this paper finds that the term structure of interest rate in our country's treasury bonds presents an upward trend as a whole, and the long-term interest rate is higher than that in other countries. Short term interest rates.
The comparative study shows that there are obvious differences between the term structure of interest rate of treasury bonds in China's exchange market and the term structure of interest rate of treasury bonds in the inter-bank market, and the differences are irregular and in a state of segmentation.
By comparing the term structure of interest rates between China and the United States, we can see that compared with the term structure of interest rates in the United States, there are many imperfections in the term structure of interest rates in China.
Compared with the parametric model, the non-parametric method can describe the term structure of interest rate more accurately.
On the basis of thorough analysis and comprehensive comparison of the term structure of interest rate of national debt in China, this paper puts forward the train of thought and direction of perfecting the term structure of national debt market and interest rate of national debt. Unify and establish a unified treasury bond market. Through the free flow of capital between the two different markets, promote the perfection of the market and the formation of a unified market benchmark interest rate, lay a solid foundation for China's interest rate marketization.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2007
【分类号】：F832.51;F224

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