基于Nelson-Siegel模型国债积极投资策略的实证研究

发布时间：2018-03-03 18:39

本文选题：利率曲线　切入点：Nelson-Siegel模型　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：我国债券市场在2013年取得了较大的发展,在总交易规模、全年发行人民币债券总额以及年末托管余额方面都出现了较大的增长,其规模分别达到了262.7万亿、9万亿以及29.9万亿元,同比增长3.85%、12.5%和14.4%。另一方面,我国居民的理财需求也在快速的增长。根据普益财务数据,2013年我国共发行56827款银行理财产品,56.43万亿元的发行规模,同比增长85.87%。另外,2013年,深圳交易所的相关报告显示投资者人均持有4.49种金融产品,同比增长6.65%。一面是债券市场的快速发展,一面是居民理财需求的大幅增加,这必然催生人们对于债券的投资需求。并且债券这种金融产品风险较小,到期期限和每期现金流相对稳定。债券的这些特点使其非常适合风险厌恶并且有稳定现金流需求的普通投资者。本文正是希望通过对于利率曲线模型以及债券积极投资策略的研究分析,提出较为完善的投资策略,为实际投资当中的机构投资者服务。本文主要基于静态以及动态Nelson-Siegel模型对利率曲线进行研究。在静态Ne lson-Siegel模型的研究中,本文论述了β0、β1、β2以及β4即(β0+β1)的变动情况,并实证分析了基于β1和β2的三种投资策略。研究结果表明β0、β、β2以及β4具有较为明确的经济学含义,并且主成分分析结果表明β0、β1、β2所对应的水平因素、倾斜因素以及曲率因素,能很好地刻画利率曲线的变动。基于β1和p2的三种投资策略在综合考虑利率曲线水平变化的情况下能获得较好地收益。在动态Nelson-Siegel模型的研究中,研究结果表明动态模型能较好地预测1-3个月的利率曲线走势,特别是在利率曲线水平移动方面,这正好补充了上述投资策略的不足。在有一定宏观经济预期以及动态Nelson-Siegel模型对未来利率曲线的预测时,适时的选择合适的上述投资策略进行投资,不仅能提高投资的安全性,而且能使投资收益率大大增加。
[Abstract]:In 2013, the bond market of our country has made great progress. In the aspects of the total trading scale, the total amount of RMB bonds issued in the whole year and the deposit balance at the end of the year, the scale of the bond market has reached 262.7 trillion yuan and 29.9 trillion yuan respectively. On the other hand, the financial needs of Chinese residents are also growing rapidly. According to Pushi financial data, in 2013, China issued 56827 banking products worth 56.43 trillion yuan, an increase of 85.87 trillion yuan. In 2013, The relevant report of the Shenzhen Stock Exchange shows that the average investor holds 4.49 kinds of financial products, an increase of 6.65% over the same period last year. On the one hand, the rapid development of the bond market and, on the other hand, the substantial increase in residents' demand for financial management. This is bound to create a demand for investment in bonds, and bonds are a less risky financial product. The maturity and cash flow of each period are relatively stable. These characteristics of bonds make them very suitable for the ordinary investors who are risk-averse and have stable cash flow demand. This paper hopes to use the interest rate curve model and bond product. Research and Analysis of Polar Investment Strategies, This paper mainly studies the interest rate curve based on static and dynamic Nelson-Siegel models. This paper discusses the changes of 尾 0, 尾 1, 尾 2 and 尾 4 (尾 0 尾 1), and empirically analyzes three investment strategies based on 尾 1 and 尾 2. The results show that 尾 0, 尾 1, 尾 2 and 尾 4 have clear economic implications. And the results of principal component analysis show that the horizontal factors, inclination factors and curvature factors of 尾 _ 0, 尾 _ 1, 尾 _ 2, and 尾 _ 0, 尾 _ 1 and 尾 _ 2, The three investment strategies based on 尾 _ 1 and p _ 2 can obtain better returns when the level of interest rate curve is taken into account. In the study of dynamic Nelson-Siegel model, three investment strategies based on 尾 _ 1 and p _ 2 can be used to describe the change of interest rate curve. The results show that the dynamic model can predict the trend of interest rate curve for 1-3 months, especially in the horizontal movement of interest rate curve. When we have a certain macroeconomic expectation and dynamic Nelson-Siegel model to predict the future interest rate curve, we can not only improve the security of investment, but also choose the appropriate investment strategy to invest in the future. And can make investment rate of return increase greatly.
【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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