基于直接预测债券风险溢价的积极投资策略研究

发布时间：2018-03-08 14:05

本文选题：债券　切入点：风险溢价　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：伴随着我国债券市场的发展壮大和利率市场化改革的不断推进,市场对于预测债券未来风险溢价提出了越来越高的要求。本文采用国外成熟的远期利率模型来预测债券未来的超额收益,并在预测结果的基础上构建积极的债券投资策略,最后将远期利率模型的预测能力和投资效果与传统的收益率曲线主成分因子模型进行对比分析,取得了较好的实证结果。首先,本文在梳理国内外相关文献的基础上,提出将国外成熟的远期利率模型应用于我国银行间国债市场。本文采用国内最新的债券市场数据进行拟合回归,发现在中国国债市场上远期利率对于债券超额收益确实具有显著的预测能力,而且这种预测能力随着债券到期时间的增加而增强。其次,本文将远期利率模型的预测结果用于构建债券积极投资策略,以此来验证预测结果是否具有实践价值。我们的实证结果显示,无论采用雷曼权重法还是两翼组合法,无论预测跨度为1周还是4周,本文模型构造的投资组合都具有显著的投资收益。最后,本文比较了远期利率模型和主成分因子模型的预测能力和投资效果。从模型的预测能力来看,无论在1周预测跨度条件下还是在4周预测跨度条件下,本文提出的远期利率模型所具有的预测能力要普遍高于传统的主成分因子模型。从模型构造策略的投资效果来看,在1周预测跨度下,远期利率模型预测结果构建的投资组合在投资业绩和投资成本方面均优于基于收益率曲线主成分因子预测结果构建的投资组合。在4周预测跨度下,两种模型在投资业绩和投资成本方面各有优势。
[Abstract]:With the development of China's bond market and the promotion of market-oriented interest rate reform, In this paper, the mature forward interest rate model is used to predict the future excess yield of bonds, and an active bond investment strategy is constructed on the basis of the forecast results. Finally, the forecasting ability and investment effect of forward interest rate model are compared with the traditional principal component factor model of yield curve, and good empirical results are obtained. This paper puts forward the application of foreign mature forward interest rate model to the interbank treasury bond market in China. This paper uses the latest domestic bond market data to fit the regression. It is found that forward interest rates do have a significant ability to predict excess bond yields in the Chinese treasury bond market, and this ability increases with the maturity of bonds. Secondly, In this paper, the forecasting results of forward interest rate model are used to construct the positive investment strategy of bonds to verify whether the forecast results have practical value. Our empirical results show that both Lehman weight method and two-wing combination method are used. Whether the forecast span is 1 week or 4 weeks, the portfolio constructed by this model has significant investment returns. Finally, In this paper, the forecasting ability and investment effect of forward interest rate model and principal component factor model are compared. The forward interest rate model proposed in this paper is generally superior to the traditional principal component factor model. From the view of the investment effect of the model construction strategy, under the forecast span of one week, The portfolio constructed by the forecasting results of the forward interest rate model is superior to the portfolio constructed based on the principal component prediction results of the yield curve in terms of investment performance and investment cost. The two models have respective advantages in terms of investment performance and investment cost.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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