我国国债利率期限结构及其影响因素的静态拟合

发布时间：2018-01-31 07:40

本文关键词： 国债利率期限结构 NSS模型搜索算法 VEC模型　出处：《兰州大学》2014年硕士论文　论文类型：学位论文

【摘要】：利率期限结构,是指在某一时点到期期限不同的金融资产的收益率与到期期限的关系,是金融产品设计、衍生品定价、保值与避险、风险投资的基础,是金融数学领域经久不衰、常谈常新的重要课题之一。随着我国利率市场化进程的不断推进,尤其是2013年央行宣布放开商业银行贷款利率0.7的下限,让市场供需决定利率水平成为大势所趋,而对作为基准利率的国债收益率曲线的研究愈发重要。本文先介绍了利率期限结构自形成以来的各传统理论和利率模型,通过对比分析这些理论各自的优势和局限,并确立以NSS模型搜索算法估计我国债券市场国债利率期限结构,以及收益率曲线与宏观经济变量之间的动态关系的研究思路。通过对2007年1月1日至2012年12月30日银行间债券市场国债收益率月度数据的实证分析,结果发现：(1)采用NSS模型搜索算法来拟合银行间市场的国债收益率曲线效果良好,曲线具有弹性、富有解释力,可以较准确地描绘出我国国债收益率曲线的形态；(2)利用VEC模型研究国债收益率与宏观经济变量的关系发现变量间存在一组长期协整关系,表示长期利率因子与工业产出水平呈现负相关、与物价水平和货币供应量呈现正相关；利用VEC模型的误差修正模型可以发现变量间存在短期协整关系,工业产出水平会影响利率因子程度,货币供应量对短中期利率因子有显著的正向影响等结论。
[Abstract]:Term structure of interest rate refers to the relationship between the yield of financial assets with different maturity period and the maturity period at a certain point. It is the basis of financial product design, derivatives pricing, hedging and hedging, and risk investment. It is one of the most important subjects in the field of financial mathematics. With the development of interest rate marketization in our country, especially in 2013, the central bank announced the release of the lower limit of 0.7 interest rate for commercial banks. Let the market supply and demand determine the level of interest rate becomes the general trend, and the study of Treasury yield curve as the benchmark interest rate becomes more and more important. This paper first introduces the traditional theories and interest rate models since the formation of term structure of interest rate, and analyzes the advantages and limitations of these theories. And establish the NSS model search algorithm to estimate the bond market interest rate maturity structure. And the dynamic relationship between the yield curve and macroeconomic variables. An empirical study of the monthly data of bond yield in the interbank bond market from January 1st 2007 to December 30th 2012. Analysis. The result shows that the NSS model search algorithm is used to fit the yield curve of the interbank market. The curve has the advantage of elasticity and explanation. We can accurately describe the form of the yield curve of our country's national debt; 2) using VEC model to study the relationship between treasury bond yield and macroeconomic variables, it is found that there is a long-term cointegration relationship between the variables, which indicates that the long-term interest rate factor is negatively correlated with the level of industrial output. It has a positive correlation with price level and money supply. Using the error correction model of VEC model, it can be found that there is a short-term cointegration relationship between variables, and the level of industrial output will affect the degree of interest factor. Money supply has significant positive effects on short-and medium-term interest rate factors.
【学位授予单位】：兰州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F812.5;F832.51

【参考文献】