中国超长期国债的相对流动性溢价与收益率曲线的结构性建模

发布时间：2018-02-25 03:07

本文关键词： 超长期国债流动性利率期限结构模型　出处：《金融研究》2017年04期 　论文类型：期刊论文

【摘要】：现阶段中国10年期以上超长期国债收益率的编制是完善收益率曲线的重要工作。针对超长期国债流动性较低的市场特征,本文通过引入一个刻画其相对流动性溢价的因子,建立了一个扩展的Nelson-Siegel(NS)无套利利率期限结构模型。实证研究表明:该模型对1-30年期的整条国债收益率曲线具有良好的横截面拟合效果;投资者对超长期国债收益率要求平均为正的流动性溢价,对15-30年期收益率的贡献在13-63个基点;模型提取出的流动性因子与传统的流动性指标具有高度的相关性和一致性;脉冲响应的结果表明流动性因子与三个NS因子之间存在着显著的互动关系,而方差分解表明流动性因子在长期对水平因子和斜率因子的贡献较大。
[Abstract]:At present, it is an important work to perfect the yield curve of China's 10-year bonds. In view of the market characteristics of low liquidity of ultra-long term bonds, this paper introduces a factor to describe the relative liquidity premium of these bonds. An extended term structure model of Nelson-Siegeler NS) with no arbitrage interest rate is established. The empirical study shows that the model has a good cross-section fitting effect for the whole yield curve of 1-30 years old treasury bonds. Investors require an average positive liquidity premium to the yield of ultra-long term bonds and contribute 13-63 basis points to the yield of 15-30 years, and the liquidity factors extracted by the model are highly correlated and consistent with the traditional liquidity index. The results of pulse response show that there is a significant interaction between the liquidity factor and the three NS factors, while the variance decomposition indicates that the liquidity factor has a great contribution to the horizontal factor and slope factor in the long run.
【作者单位】：厦门大学王亚南经济研究院;
【基金】：国家自然科学基金项目(70903053、71273007) 中央国债登记结算有限责任公司委托“金融工程咨询项目”的资助
【分类号】：F224;F812.5

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