基于JSZ正则化的高斯仿射利率期限结构模型研究

发布时间：2018-05-31 00:13

  本文选题：国债市场 + 收益率曲线　； 参考：《南方金融》2017年04期

【摘要】：基于中债收益率曲线数据,采用JSZ正则化方法,构建以三个主成分作为可观测定价因子的高斯仿射模型,研究我国国债利率期限结构的拟合和预测效果,在此基础上提取利率期限结构中隐含的期限溢价信息。实证分析表明:可观测高斯仿射模型对我国国债利率期限结构具有良好的拟合和预测效果;我国国债利率的期限溢价在统计上显著存在,且随着期限的增加呈现出先增后减的特征;我国国债利率的期限溢价水平与经济景气高度相关,在经济下行时趋于上升,在经济向好时则趋于下降。
[Abstract]:Based on the data of Chinese bond yield curve and JSZ regularization method, a Gao Si affine model with three principal components as the observable pricing factor is constructed to study the fitting and forecasting effect of the term structure of the interest rate of China's treasury bonds. On this basis, the term premium information implied in the term structure of interest rate is extracted. The empirical analysis shows that the observable Gao Si affine model has a good effect on fitting and predicting the term structure of national debt interest rate in China, and the term premium of national debt interest rate is statistically significant. The term premium level of national debt interest rate in China is highly related to the economic boom, and tends to rise when the economy is down, and then to decline when the economy is good.
【作者单位】： 阜阳师范学院;
【分类号】：F812.5;F832.51
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本文编号：1957439