银行间国债利率期限结构实证

发布时间：2018-03-10 13:44

本文选题：利率期限结构　切入点：优化算法　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：摘要：反应信用质量相同,但是期限不同的债券收益率关系的坐标图曲线被称为收益率曲线结构。本文选取国债收益率进行研究,这是因为国债收益率在一定程度上反映了金融市场基准利率的水平。随着我国利率市场化水平的不断加深,进一步构建完善的国债收益率曲线,不论是对政府、金融机构还是投资者都有很重要的意义。传统的静态方法,采用样条差值等方法,将国债即期收益率连接到一起,这种方法虽然可行但是经济意义不明,同时还有一些别的缺陷。而近几年来研究较多的Nelson-Siegel模型,是否能够直接应用到中国市场也需要仔细比对。在本文中,基于可获得的2012年交易日数据,采用Nelson-Siegel类型的静态参数模型,对于银行间中国国债即期利率进行期限结构构造。一共实践了三种期限结构模型,即Nelson-Siegel模型、Nelson-Siegel Svensson模型和Bjork-Christensen模型。为了择其最优,首先要找寻每个模型的最优结果：对于不同模型,均经多次计算,采用RMSE值比对,定下来最优远期利率衰减τ值,其次将得到的三个模型最优再进行比对,从而找到最适合中国利率市场实际情况的模型。值得注意的是,本文计算的不仅是单独某一天的期限结构,而是一段时间内的期限结构。这样将产生两个问题,首先,对于T的计算也将不仅仅满足于单独某一天,而是将运算扩展到了一段时期,需要试图在一段时间内定下一个普适的T值；其次,在三种静态模型的基础上,将分别得到各个模型的动态参量,更好的使用这些动态参量也可能成为一个未来研究的课题。最后,本文对动态参量的运用进行了一定尝试。在模型得到的不同时期的利率期限结构模型参数基础上,采用时间序列分析。以此期望在实际金融市场的预测方面提供一定的借鉴和比较。
[Abstract]:Absrtact: the coordinate graph curve reflecting the same credit quality but different maturity bond yield relationship is called the yield curve structure. This is because the rate of return on treasury bonds to some extent reflects the level of the benchmark interest rate in the financial market. As the level of interest rate liberalization in China continues to deepen, we further construct a perfect curve of the yield of government bonds, whether it is for the government, Financial institutions and investors are of great significance. The traditional static method, using spline difference and other methods, connects the spot yield of treasury bonds together. Although this method is feasible but the economic significance is not clear, there are also some other defects. In recent years, many Nelson-Siegel models have been studied. Whether it can be directly applied to the Chinese market also needs careful comparison. In this paper, based on the available data of 2012 trading day, the static parameter model of Nelson-Siegel type is used. In this paper, the term structure of the spot interest rate of Chinese treasury bonds is constructed. Three term structure models, namely, Nelson-Siegel model, Nelson-Siegel Svensson model and Bjork-Christensen model, are put into practice. First of all, the optimal results of each model should be found: for different models, the optimal forward interest rate attenuation 蟿 value is determined by multiple calculations, and the RMSE value is compared, and then the three models are optimized and compared. In order to find the most suitable for the actual situation of China's interest rate market model. It is worth noting that this paper not only calculates the term structure of a single day, but also the duration structure for a certain period of time. Two problems will arise. First, the calculation of T will not only be satisfied with a single day. But to extend the operation to a period of time, we need to try to set a universal T value within a period of time. Secondly, on the basis of the three static models, the dynamic parameters of each model will be obtained. Better use of these dynamic parameters may also become a future research topic. Finally, this paper tries to use the dynamic parameters. On the basis of the model parameters of interest rate term structure in different periods, By using time series analysis, we hope to provide some reference and comparison in the actual financial market forecast.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

【共引文献】