Nelson-Siegel模型在国债定价和绩效分解中的应用

发布时间：2018-09-06 06:22

【摘要】：无论对于宏观经济还是微观金融,利率期限结构都是一个核心主题,它直观而全面地反映了市场上不同期限资金的价格。国债的利率期限结构揭示了一个国家金融市场中利率波动的信息,它对于货币政策实施和金融投资指导都具有重要的参考作用。本文以Nelson-Siegel模型为主线,系统分析了模型特征和丰富的经济学含义,阐述了它相对于其他常见模型在我国利率期限结构构造、预测方面的优势和绩效归因分解上的应用,在研究中得出一些有益于实践的结论。 Nelson-Siegel模型比较适合构建我们的利率期限结构；通过固定λ值为1并有效地选择迭代初值,减少了迭代次数,满足了实务界实时利率期限结构构建的需求,提升了定价的效率,更有利于投资者进行套利机会的把握和投资组合策略的调整,也为国债期货的真实交易作了良好铺垫；通过预测Nelson-Siegel模型参数的方法可以有效进行利率期限结构的预测,VAR(1)模型的预测结果相比较而言要好一些,且在预测时间上,模型的短期预测能力较强,长期较弱；在固定收益类债券收益分解的实践应用中,应用了Nelson-Siegel模型参数进行收益率变动的分解方法,这填补了国内Nelson-Siegel模型参数应用上的空白,是一次大胆及超越式的尝试,对金融界投资绩效归因分析有极强的指导作用。本文完全从实践的角度出发,力图提出一个框架：找寻适合于我国精准利率期限结构构建的方法,并寻求合理的方式进行利率期限结构的预测和应用,在这个框架下利用银行间的国债数据来进行实证研究以期得到比较切实可行的应用。
[Abstract]:The term structure of interest rate is a core theme for both macro-economy and micro-finance, which directly and comprehensively reflects the price of funds with different maturity in the market. The term structure of the interest rate of national debt reveals the information of interest rate fluctuation in a country's financial market, which plays an important reference role in the implementation of monetary policy and the guidance of financial investment. Taking Nelson-Siegel model as the main line, this paper systematically analyzes the characteristics of the model and its rich economic meaning, and expounds its application to the construction, prediction of interest rate term structure and the decomposition of performance attribution compared with other common models in China. In the study, some useful conclusions are drawn. Nelson-Siegel model is more suitable for constructing our term structure of interest rate. By fixing 位 value of 1 and selecting the initial value of iteration effectively, the number of iterations is reduced. It meets the demand of real time interest rate term structure construction, improves the efficiency of pricing, helps investors to grasp the arbitrage opportunity and adjust the portfolio strategy, and makes a good foundation for the real transaction of treasury bond futures. The Nelson-Siegel (1) model can be used to predict the term structure of interest rate effectively by the method of predicting the parameters of the Nelson-Siegel model. The prediction results of the model are better than those of the model, and the short-term forecasting ability of the model is stronger than that of the model in the long term. In the practical application of fixed income bond income decomposition, this paper applies the decomposition method of Nelson-Siegel model parameters to the change of yield, which fills the blank in the application of domestic Nelson-Siegel model parameters, and is a bold and transcendental attempt. It has a strong guiding function to the attribution analysis of investment performance in financial circles. From the perspective of practice, this paper tries to put forward a framework: to find a method suitable for the construction of precise term structure of interest rate in China, and to find a reasonable way to predict and apply the term structure of interest rate. In this framework, the use of inter-bank bond data for empirical research in order to get a more practical application.
【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

【共引文献】