三因子Vasicek模型对上交所国债利率期限结构的实证研究

发布时间：2018-03-03 12:13

本文选题：利率期限结构　切入点：三因子Vasicek模型　出处：《安徽财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：利率期限结构是指某一时点上,不同期限国债的利率与到期期限之间的关系。利率是现代市场经济和金融社会中一个最基础、最核心的变量。同时,它也是进行资产定价、保值及风险管理的基础。利率期限结构分为静态理论与动态理论。本文首先分析了国债利率期限结构的研究背景和意义,并总结概括了国内外关于利率期限结构研究情况,在论文第二章中首先详细地介绍传统利率期限结构理论,然后对本文使用的利率期限结构模型vasicek模型进行了推导。第三章详细阐述三因子vasicek模型的静态估计方法和动态估计方法。本文的实证研究部分,首先运用双时间变量参数Nelson-Siegel模型产生即期利率的数据。通过对各期利率进行因子分析,得出三因子模型几乎能全面描述即期利率的动态特征。其次根据得到的即期利率数据,通过卡尔曼滤波法得出三因子vasicek模型的参数。最后由三因子vasicek模型模型估计的误差均方根数据可以看出,模型对于1年期即期利率的拟合不够准确,但对于其他期限即期利率数据的拟合较为准确,特别是对3年期、4年期和5年期的拟合最为准确,根据卡尔曼滤波方法所估计出的模型数据与实际数据相比在整体上比较接近,因此,三因子vasicek模型能够比较准确地描述我国国债市场利率期限结构的动态特征。
[Abstract]:The term structure of interest rate refers to the relationship between the interest rate of national debt with different maturities and the maturity period at a certain point. Interest rate is the most basic and core variable in modern market economy and financial society. At the same time, it is also used for asset pricing. Interest rate term structure is divided into static theory and dynamic theory. This paper first analyzes the research background and significance of the term structure of the interest rate of national debt, and summarizes the research situation of the term structure of interest rate at home and abroad. In the second chapter, it introduces the traditional term structure theory of interest rate in detail. Then the vasicek model of interest rate term structure model used in this paper is derived. In chapter 3, the static and dynamic estimation methods of three-factor vasicek model are described in detail. In the part of empirical research, we first use the Nelson-Siegel model to generate the data of spot interest rate. It is concluded that the three-factor model can almost fully describe the dynamic characteristics of spot interest rate. Secondly, according to the obtained spot interest rate data, The parameters of the three-factor vasicek model are obtained by Kalman filter method. Finally, from the error root mean square data estimated by the three-factor vasicek model, it can be seen that the fitting of the model for 1-year spot interest rate is not accurate enough. However, the fitting of other term spot interest rate data is more accurate, especially for 3 years, 4 years and 5 years. The model data estimated by Kalman filter is close to the actual data on the whole. Therefore, the three-factor vasicek model can accurately describe the dynamic characteristics of the term structure of interest rate in China's treasury bond market.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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